Weekday and Monthly Patterns of Liquidities
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초록
Employing the U.S. TAQ data, I analyze the weekday and monthly liquidity patterns of spread and depth. Empirical evidence indicates that weekday spread (depth) pattern follows (Inverted) U-shape, implying that spreads (depths) are greater (smaller) on Monday and Friday during the coarse tick size period. But, such trend vanishes after decimalization. And, I show that January has higher spread and depth than any other month. But I don’t find any strong evidence to support the cause and effect relation between spread and return in January.
Abstract
Employing the U.S. TAQ data, I analyze the weekday and monthly liquidity patterns of spread and depth. Empirical evidence indicates that weekday spread (depth) pattern follows (Inverted) U-shape, implying that spreads (depths) are greater (smaller) on Monday and Friday during the coarse tick size period. But, such trend vanishes after decimalization. And, I show that January has higher spread and depth than any other month. But I don’t find any strong evidence to support the cause and effect relation between spread and return in January.
참고문헌 (27)
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