Day of the week effect : a look at the AMEX.
This study sets out to investigate the day-of-the-week effect on 4 different types of bidask spread as a form of transaction costs. The data used for this study consists of stocks listed in the American Stock Exchange (AMEX) during the period of February 2001 to December 2001. Specifically, the b...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10380 |
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| Institution: | Nanyang Technological University |
| Summary: | This study sets out to investigate the day-of-the-week effect on 4 different types of bidask
spread as a form of transaction costs. The data used for this study consists of stocks
listed in the American Stock Exchange (AMEX) during the period of February 2001 to
December 2001. Specifically, the behavior of the four different types of bid-ask spread
namely; absolute, relative, time-weighted absolute and time weighted relative, is
examined. The initial finding shows that there is no day-of-the-week effect. This is
substantiated with analysis in the areas of total quote of the stock and weekly spread.
Further analysis is carried out to investigate whether there is any statistical difference
between the spreads of the industries. We will also examine the determinants of the
spreads, namely market capitalization, trading volume and stock price. Our results show
that there is statistical difference between the spread of the industries. In addition, we are
able to attribute the determination of spreads to trading volume and market capitalization.
Price only impacts on absolute but not relative spread. This implies that it is better to
analyze the relative spread instead of absolute spread. |
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