SSRNTrading, Microstructure & Execution
Intraday Dynamics of NASDAQ Stocks in the Electronic Trading Era: Uncovering Strong U-Shape Patterns in Trading Volume and Bid-Ask Spread
NASDAQ stocks exhibit a U-shaped pattern in bid-ask spreads and trading volumes due to aggressive trading at market open and close, especially for smaller stocks and those with larger order imbalances.
Featured in No. 45 on 17 Apr 2024 · 5 days after release · 0 citations today
- Released
- 12 Apr 2024
- First featured
- No. 45 · 17 Apr 2024
- Citations (Semantic Scholar)
- 0
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- Identifier
- SSRN 4792199
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