search query: @author Lee, J. / total: 57
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| Author: | Lee, J. Lin, J. |
| Title: | Volatility and liquidity at NYSE opening calls: a closer look |
| Journal: | Journal of Financial Research
1995 : WINTER, VOL. 18:4, p. 479-494 |
| Index terms: | FINANCE LIQUIDITY RESEARCH |
| Language: | eng |
| Abstract: | The literature suggests that the bid-ask spread is responsible, at least in part, for greater price volatility and more negative autocorrelation at the open than at the close. In this study, the authors find that these phenomena are not related to the bid-ask spread, but are related instead to pricing errors by specialists or linit-orer traders around the open. The results show that on average, the implied spread earned by liquidity suppliers is lower at the open than at the close. These results refute the contention that specialists exploit their monopoly position and earn a higher profit at the opening call. |
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