  Financial markets show a number of non-stationarities, ranging from
volatility fluctuations over ever changing technical and regulatory market
conditions to seasonalities. On the other hand, financial markets show various
stylized facts which are remarkably stable. It is thus an intriguing question
to find out how these stylized facts emerge. As a first example, we here
investigate how the bid-ask-spread between best sell and best buy offer for
stocks develops during the trading day. For rescaled and properly smoothed data
we observe collapsing curves for many different NASDAQ stocks, with a slow
power law decline of the spread during the whole trading day. This effect
emerges robustly after a highly fluctuating opening period. Some so called
large-tick stocks behave differently because of technical boundaries. Their
spread closes to one tick shortly after the market opening. We use our findings
for identifying the duration of the market opening which we find to vary
largely from stock to stock.
