This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
 McInish, Thomas H
Wood, Robert A

Additional information is available for the following registered author(s):

Abstract

The behavior of time-weighted bid-ask spreads over the trading day are examined. The plot of minute-by-minute spreads versus time of day has a crude reverse J-shaped pattern. Schwartz identifies four determinants of spreads: activity, risk, information, and competition. Using a linear regression model, a significant relationship between these same factors and intraday spreads is demonstrated, but dummy variables for time of day have a reverse J-shape. For given values of the activity, risk, information, and competition measures, spreads are higher at the beginning and end of the day relative to the interior period. Copyright 1992 by American Finance Association.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-1082%28199206%2947%3A2%3C753%3AAAOIPI%3E2.0.CO%3B2-L&origin=repec
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 47 (1992)
Issue (Month): 2 (June)
Pages: 753-64
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:47:y:1992:i:2:p:753-64

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Degryse, H. & Jong, F. de & Ravenswaaij, M. van & Wuyts, G., 2002. "Aggressive orders and the resiliency of a limit order market," Discussion Paper 80, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  2. Ilze Kalnina & Oliver Linton, 2006. "Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError," STICERD - Econometrics Paper Series /2006/509, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  3. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Barry Goss, 2006. "Liquidity, volume and volatility in US electricity futures: the case of Palo Verde," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 43-46, January. [Downloadable!] (restricted)
  5. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics. [Downloadable!]
  6. Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  7. Chitru S. Fernando & Srinivasan Krishnamurthy & Paul A. Spindt, 2002. "Is the Offer Price in IPOs Informative? Underpricing, Ownership Structure, and Performance," Center for Financial Institutions Working Papers 01-33, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  8. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
    Other versions:
  9. Scott D. Below & Joseph K. Kiely & Willard McIntosh, 1996. "REIT Pricing Efficiency; Should Investors Still Be Concerned?," Journal of Real Estate Research, American Real Estate Society, vol. 12(3), pages 397-412. [Downloadable!]
  10. Miguel Angel Martinez & Gonzalo Rubio & Mikel Tapia, 2003. "Understanding the ex-Ante cost of liquidity in the limit order book: A note," DFAEII Working Papers 200203, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
  11. Henry L. Bryant & Michael S. Haigh, 2004. "Bid-ask spreads in commodity futures markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 923-936, September. [Downloadable!] (restricted)
  12. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department. [Downloadable!]
  13. Ryan Davies, 2000. "Registered trader participation during the Toronto Stock Exchange's pre-opening session," Working Papers 997, Queen's University, Department of Economics. [Downloadable!]
  14. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507008, EconWPA. [Downloadable!]
  15. K.C. Chan & Wai-Ming Fong & Rene M. Stulz, 1994. "Information, Trading and Stock Returns: Lessons from Dually-Listed Securities," NBER Working Papers 4743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York. [Downloadable!]
  17. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, EconWPA. [Downloadable!]
    Other versions:
  18. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," University of California at San Diego, Economics Working Paper Series 97-12r, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  19. Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach

    The views presented in the paper are not necessarily shared by the European Centra," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470. [Downloadable!]

  20. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507009, EconWPA. [Downloadable!]
  21. Scott D. Below & Joseph K. Kiely & Willard McIntosh, 1995. "An Examination of Informed Traders and the Market Microstructure of Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 10(3), pages 335-361. [Downloadable!]
  22. Frank Gerhard & Nikolaus Hautsch, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Paper 99-19, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2008-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.