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An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks ABSTRACT The behavior of time‐weighted bid‐ask spreads over the trading day are examined. The plot of minute‐by‐minute spreads versus time of day has a crude reverse J‐shaped pattern. Schwartz identifies four determinants of spreads: activity, risk, information, and competition. Using a linear regression model, a significant relationship between these same factors and intraday spreads is demonstrated, but dummy variables for time of day have a reverse J‐shape. For given values of the activity, risk, information and competition measures, spreads are higher at the beginning and end of the day relative to the interior period. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

The Journal of Finance , Volume 47 (2) – Jun 1, 1992

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References (27)

Publisher
Wiley
Copyright
1992 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1992.tb04408.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT The behavior of time‐weighted bid‐ask spreads over the trading day are examined. The plot of minute‐by‐minute spreads versus time of day has a crude reverse J‐shaped pattern. Schwartz identifies four determinants of spreads: activity, risk, information, and competition. Using a linear regression model, a significant relationship between these same factors and intraday spreads is demonstrated, but dummy variables for time of day have a reverse J‐shape. For given values of the activity, risk, information and competition measures, spreads are higher at the beginning and end of the day relative to the interior period.

Journal

The Journal of FinanceWiley

Published: Jun 1, 1992

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