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Seasonality in NASDAQ Dealer Spreads

Author

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  • Fortin, Richard D.
  • Grube, R. Corwin
  • Joy, O. Maurice

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.

Suggested Citation

  • Fortin, Richard D. & Grube, R. Corwin & Joy, O. Maurice, 1989. "Seasonality in NASDAQ Dealer Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 395-407, September.
    • Handle: RePEc:cup:jfinqa:v:24:y:1989:i:03:p:395-407_01
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    Cited by:

    1. Gur Huberman & Dominika Halka, 2001. "Systematic Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, June.
    2. Steven L. Jones & Winson Lee, 1995. "Evidence On The Behavior Of Bid And Ask Prices At The Turn Of The Year: Implications For The Survival Of Stock Return Seasonality," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 383-400, December.
    3. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
    4. Weigerding, Michael, 2020. "Seasonal liquidity effects and their determinants on the covered bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 288-303.

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