Narayan, Paresh Kumar; Mishra, Sagarika; Narayan, Seema - In: The Quarterly Review of Economics and Finance 54 (2014) 1, pp. 51-60
In this paper, we examine the determinants of the dollar bid–ask spread for each day of the week over the period 1998–2008. Using a panel cointegration approach, we estimate the determinants of the spread in both the short-run and long-run. Our main findings suggest that: (1) there are...
