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Spread determinants and the day-of-the-week effect

Author

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  • Narayan, Paresh Kumar
  • Mishra, Sagarika
  • Narayan, Seema
Abstract
In this paper, we examine the determinants of the dollar bid–ask spread for each day of the week over the period 1998–2008. Using a panel cointegration approach, we estimate the determinants of the spread in both the short-run and long-run. Our main findings suggest that: (1) there are day-of-the-week effects for certain groups of firms; (2) the panel error correction model also reveals day-of-the-week effects, and the speed of adjustment to equilibrium following a shock is faster on Fridays; and (3) the effects of volume and volatility on the spread are mixed, with only some sectors experiencing the day-of-the-week effect.

Suggested Citation

  • Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2014. "Spread determinants and the day-of-the-week effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 51-60.
    • Handle: RePEc:eee:quaeco:v:54:y:2014:i:1:p:51-60
    DOI: 10.1016/j.qref.2013.07.008
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