Day of the week effect : a look at the AMEX.

• Main Authors: Choo, Rong Shan., Goh, Swee Cheng., Neo, Wei Sheng.
• Other Authors: Shrestha, Keshab Man
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/10380
• Institution: Nanyang Technological University

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.