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- W1967037533 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." @default.
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- W1967037533 date "2014-02-01" @default.
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- W1967037533 title "Spread determinants and the day-of-the-week effect" @default.
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- W1967037533 doi "https://doi.org/10.1016/j.qref.2013.07.008" @default.
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