Journal of Financial and Quantitative Analysis Vol. 24 No. 3 1989
Seasonality in NASDAQ Dealer Spreads
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.
- DOI
- 10.2307/2330819
- Volume
- 24
- Issue
- 3
- Pages
- 395
- Sources
- crossref openalex