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Seasonality in NASDAQ Dealer Spreads

Published online by Cambridge University Press:  06 April 2009

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

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 24 , Issue 3 , September 1989 , pp. 395 - 407
Copyright
Copyright © School of Business Administration, University of Washington 1989

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