Schmalenbach Business Review

, Volume 70, Issue 3, pp 209–230 | Cite as

Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra

  • Martin Angerer
  • Georg Peter
  • Sebastian Stoeckl
  • Thomas Wachter
  • Matthias Bank
  • Marco Menichetti
Original Article


This paper explores the statistical and economical significance of intra-day and -week patterns in bid-ask spreads. We investigate a large panel of high frequency data for stocks traded on the XETRA trading platform and observe significant patterns in spreads. In addition to showing the robustness of our findings over time, as well as in cross-section, we are also able to demonstrate the patterns’ predictability in an out-of-sample approach. Our findings have clear implications, especially for uninformed but discretionary liquidity traders, which allow significant and economically relevant reductions of transaction costs.


Intra-day Bid-ask spread Liquidity Timing Discretionary trader 

JEL Classification

G10 G14 

Supplementary material

41464_2018_49_MOESM1_ESM.pdf (100 kb)
Appendix II – List of stocks and sample selection


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Copyright information

© Schmalenbach-Gesellschaft für Betriebswirtschaft e.V. 2018

Authors and Affiliations

  1. 1.Institute for FinanceUniversity of LiechtensteinVaduzLiechtenstein
  2. 2.LLB Asset Management AGVaduzLiechtenstein
  3. 3.LGT Bank BendernBendernLiechtenstein
  4. 4.Department of Banking and FinanceUniversity of InnsbruckInnsbruckAustria

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