Day-of-the-Week Effect and Spread Determinants: Some International Evidence From Equity Markets

30 Pages Posted: 13 Aug 2019

See all articles by Konstantinos Gkillas

Konstantinos Gkillas

Hellenic Mediterranean University

Dimitrios I. Vortelinos

University of Lincoln; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese; University of Piraeus - Department of Banking and Financial Management

Mark E. Wohar

University of Nebraska at Omaha

Date Written: May 18, 2019

Abstract

We investigate the day-of-the-week effect in relation to bid ask spreads determinants by employing a comprehensive dataset of international equity markets from 2000 until 2015 incorporating different market phases, such as various booms and crashes. To this end, we apply a battery of tests regarding returns patterns and a panel cointegration technique. Given that there is growing evidence that stock markets behave differently on different days of the week, we find that there is significant evidence in favor of an international day-of-the-week effect concerning the impact of prices, volatility and volume on bid ask spreads. A panel error correction model allows us to infer a day-of-the-week effect in the speed of adjustment of spreads. Our results entail significant implications for investors, market regulators and policy-makers.

Keywords: Day-of-the-week, Bid ask spread, Panel error correction, Equity markets

Suggested Citation

Gkillas, Konstantinos and Vortelinos, Dimitrios I. and Babalos, Vassilios and Wohar, Mark E., Day-of-the-Week Effect and Spread Determinants: Some International Evidence From Equity Markets (May 18, 2019). Available at SSRN: https://ssrn.com/abstract=3434805 or http://dx.doi.org/10.2139/ssrn.3434805

Konstantinos Gkillas (Contact Author)

Hellenic Mediterranean University ( email )

Estavromenos
Heraklion, 71410
Greece

HOME PAGE: http://www.gillas.gr

Dimitrios I. Vortelinos

University of Lincoln ( email )

Brayford Pool
Lincoln, Lincolnshire LN6 7TS
United Kingdom
0044(0)1522835634 (Phone)

HOME PAGE: http://www.lincoln.ac.uk/lbs/staff/3005.asp

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese ( email )

Antikalamos
Kalamata, KALAMATA 24100
Greece

HOME PAGE: http://www.teikal.gr

University of Piraeus - Department of Banking and Financial Management ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

Mark E. Wohar

University of Nebraska at Omaha ( email )

Department of Economics
6708 Pine Street MH 332S
Omaha, NE 68182
United States
402-554-3712 (Phone)
402-554-2853 (Fax)

HOME PAGE: http://cba.unomaha.edu/faculty/mwohar/WEB/homepage.html

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