Seasonality in NASDAQ Dealer Spreads

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-...

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Bibliographic Details
Published in:Journal of financial and quantitative analysis 1989-09, Vol.24 (3), p.395-407
Main Authors: Fortin, Richard D., Grube, R. Corwin, Joy, O. Maurice
Format: Article
Language:English
Subjects:
Arithmetic mean
Datasets
Differences
Empirical evidence
Investment return rates
Movement
NASDAQ
Nasdaq Composite Index
Quantitative analysis
Seasonal
Seasonal variations
Securities trading
Spread
Statistical analysis
Statistical median
Stock markets
Stock prices
Transaction costs
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Summary: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.
ISSN:0022-1090
1756-6916
DOI:10.2307/2330819