Hostname: page-component-78c5997874-8bhkd Total loading time: 0 Render date: 2024-11-15T07:34:57.006Z Has data issue: false hasContentIssue false
  • English
  • Français

Seasonality in NASDAQ Dealer Spreads

Published online by Cambridge University Press:  06 April 2009

Richard D. Fortin ,
R. Corwin Grube  and
O. Maurice Joy
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper examines the seasonal behavior of proportional dealer spreads for OTC NASDAQ common stocks. Results indicate there is seasonality in dealer spreads. Spreads tend to be larger in the second half of the calendar year, peaking in December. At the turn-ofthe-year, spreads tend to peak in mid- to late December and then recede during January. The last trading day in December produces the largest daily decline in spreads during the turn-of-the-year period.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 24 , Issue 3 , September 1989 , pp. 395 - 407
Copyright
Copyright © School of Business Administration, University of Washington 1989

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Amihud, Y., and Mendelson, H.. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics, 17 (12 1986), 223–249.Google Scholar
Glosten, L. R., and Milgrom, P. R.. “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders.” Journal of Financial Economics, 14 (03 1985), 71–100.Google Scholar
Keim, D. B. “Size Related Anomalies and Stock Return Seasonality: Further Empirical Evidence.” Journal of Financial Economics, 12 (06 1983), 13–32.Google Scholar
Keim, D. B. “The CAPM and Equity Return Regularities.” Financial Analysts Journal, 42 (05/06 1986), 19–34.Google Scholar
Lakonishok, J., and Smidt, S.. “Volume and Turn of the Year Behavior.” Journal of Financial Economics, 13 (09 1984), 435–455.Google Scholar
Lamoureux, C. G., and Sanger, G. C.. “Firm Size and Turn-of-the-Year Effects in the OTC/NASD AQ Market.” Journal of Finance(forthcoming).Google Scholar
Morse, D., and Ushman, N.. “The Effect of Information Announcements on the Market Microstructure.” Accounting Review, 58 (04 1983), 247–258.Google Scholar
Ritter, J. R. “The Buying and Selling Behavior of Individual Investors at the Turn of the Year.” The Journal of Finance, 43 (07 1988), 701–717.CrossRefGoogle Scholar
Roll, R. “Vas ist das? The Turn of the Year Effect and the Return Premia of Small Firms.” Journal of Portfolio Management, 9 (Winter 1983), 18–28.CrossRefGoogle Scholar
Stoll, H. R. “The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks.” Journal of Finance, 33 (09 1978), 1153–1172.Google Scholar
Stoll, H. R., and Whaley, R. E.. “Transaction Costs and the Small Firm Effect.” Journal of Financial Economics, 12 (06 1983), 57–79.CrossRefGoogle Scholar