New York Stock Exchange (NYSE) : Day-of-the-week effect and bid-ask spreads

• Main Authors: Guo, Lisa Xiuhui, Ernest Julian Sutanto, Quek, Benny Shiwei
• Other Authors: Shrestha, Keshab Man
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/10367
• Institution: Nanyang Technological University

In this project, we investigate the presence of the Day-of-the-Week (DOW) effect in transaction costs measured by various types of bid-ask spreads (BAS). The analysis of 2,270 companies listed on the New York Stock Exchange (NYSE) indicate that the DOW effect is only present for percentage BAS and n...