Monthly Regularities in the OTC National Market System

Evidence indicates that there are important monthly regularities in the rates of return, percentage dealer spreads, and trading volume of National Market System (NMS) over-the-counter (OTC) companies. With the last trading day of a month included in the first half of the next month, rates of return...

Full description

Saved in:
Bibliographic Details
Published in:Financial analysts journal 1991-11, Vol.47 (6), p.93-95
Main Authors: Fortin, Richard D., Joy, O. Maurice
Format: Article
Language:English
Subjects:
Calendars
Eschatology
Implications
Investment policy
Investment return rates
Investments
Investors
Online securities trading
Over the counter stock
Over the counter trading
Portfolio management
Prices
Rates of return
Securities markets
Statistical analysis
Stock exchanges
Stock markets
Stock prices
Studies
Technical Note
Transaction costs
Trends
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Evidence indicates that there are important monthly regularities in the rates of return, percentage dealer spreads, and trading volume of National Market System (NMS) over-the-counter (OTC) companies. With the last trading day of a month included in the first half of the next month, rates of return are higher in the first half of the month, while percentage spreads are lower. Rates of return are relatively low at mid-month, while percentage spreads and volume are relatively high. There are 2 time frames worth emphasizing at the turn of the month. On the last trading day of the month, rates of return surge upward. Trading volume jumps for all but the largest stocks. In the 5-day trading week beginning on the last trading day of the month, rates of return are extraordinarily high; percentage spreads are at their lowest levels for the month. The existence of such regularities suggests that investors may be able to use them to plan and improve their investment transaction activities.
ISSN:0015-198X
1938-3312
DOI:10.2469/faj.v47.n6.93