IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v47y1992i5p1999-2014.html
   My bibliography  Save this article

Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January

Author

Listed:
  • Clark, Robert A
  • McConnell, John J
  • Singh, Manoj

Abstract

Using end-of-month bid-ask spreads for 540 NYSE stocks over the period 1982-87, the authors document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross-sectional regressions do not, however, provide evidence of a significant correlation between changes in spreads at the turn of the year and January stock returns. Either there is no cause and effect relation between the coincidental seasonals in bid-ask spreads and January returns for NYSE stocks or the data are too "noisy" to reveal any relation. Copyright 1992 by American Finance Association.

Suggested Citation

  • Clark, Robert A & McConnell, John J & Singh, Manoj, 1992. " Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January," Journal of Finance, American Finance Association, vol. 47(5), pages 1999-2014, December.
  • Handle: RePEc:bla:jfinan:v:47:y:1992:i:5:p:1999-2014
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0022-1082%28199212%2947%3A5%3C1999%3ASINBSA%3E2.0.CO%3B2-7&origin=repec
    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 search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. Faruk Bostanci & Saim Kilic, 2010. "The Effects of Free Float Ratios on Market Performance: An Empirical Study on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 1-14.
    3. 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.
    4. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    5. A. R. Zafer Sayar & Onder Kaymaz & Ali Alp, 2010. "The Effect of the Transparency Level of the ISE-Listed Banks on Liquidity," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 27-58.
    6. Mehmet Hasan Eken & Taylan Ozg├╝r Uner, 2010. "Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 59-95.
    7. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
    8. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
    9. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
    10. repec:eee:jbfina:v:82:y:2017:i:c:p:133-150 is not listed on IDEAS
    11. Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
    12. Chalmers, John M. R. & Kadlec, Gregory B., 1998. "An empirical examination of the amortized spread," Journal of Financial Economics, Elsevier, vol. 48(2), pages 159-188, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:47:y:1992:i:5:p:1999-2014. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/afaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.