SEASONALITIES IN NYSE BID-ASK SPREADS AND STOCK RETURNS IN JANUARY

被引:9
作者
CLARK, RA
MCCONNELL, JJ
SINGH, M
机构
[1] PURDUE UNIV,W LAFAYETTE,IN 47907
[2] BOSTON COLL,CHESTNUT HILL,MA 02167
关键词
D O I
10.2307/2329007
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Using end-of-month bid-ask spreads for 540 NYSE stocks over the period 1982-1987, we 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.
引用
收藏
页码:1999 / 2014
页数:16
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