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.

Don B. Panton, V. Parker Lessig, O. Maurice Joy, Comovement of International Equity Markets: A Taxonomic Approach, The Journal of Financial and Quantitative Analysis, Vol. 11, No. 3 (Sep., 1976), pp. 415-432

Robert H. Litzenberger, O. Maurice Joy, Charles P. Jones, Ordinal Predictions and the Selection of Common Stocks, The Journal of Financial and Quantitative Analysis, Vol. 6, No. 4 (Sep., 1971), pp. 1059-1068