Why does the bid-ask spread vary over the day?

Applied Economics Letters

Volumn 6, Issue 9, 1999, Pages 563-567

  Levin, Eric J ^a   Wright, Robert E ^a,b  

^a UNIVERSITY OF STIRLING   (United Kingdom)

^b CEPR   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040368109     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048599352600     Document Type: Article

References (8)

1. Admati, A.R. and Pfleiderer, P. (1988) A theory of intraday patterns: volume and price variability, Review of Financial Studies, 1, 3-40.
2. Brock, W. and Kleidon, A. (1992) Periodic market closure and trading volume: a model of intraday bids and asks, Journal of Economic Dynamics and Control, 16, 451-89.
3. Chan, K., Christie, W. and Schultz, P. (1995) Market structure and the intraday pattern of bid-ask spreads for NASDAQ Securities, Journal of Business, 68, 35-60.
4. Cohen, K., Maier, S., Schwartz, R. and Whitcomb, D. (1979) Market makers and the market spread: a review of recent literature, Journal of Financial and Quantitative Analysis (Proceedings Issue), 14, 819-35.
5. Foster, F.D. and Viswanathan, S. (1990) A theory of intraday variations in volumes, variances and trading costs in securities markets, Review of Financial Studies, 3, 593-624.
6. Kleidon, A. and Werner, I. (1993) Round-the-clock trading: evidence from U.K. cross-listed securities. NBER Working Paper no. 4410, Bureau of Economic Research, Cambridge.
7. Lee, C., Mucklow, B. and Ready, M. (1993) Spreads, depths, and the impact of earnings information: an intraday analysis, Review of Financial Studies, 6, 345-74.
8. McInish, T. and Wood, R. (1992) An analysis of intraday patterns in bid/ask spreads for NYSE stocks, Journal of Finance, 47, 753-64.