Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market

Details Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market

2011-10-20

arxiv.org/abs/1110.4455v1

Economy

Quantitative Finance

Statistical Finance

Scientific paper

Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating the autocorrelation function and the Detrended Fluctuation Analysis (DFA), we find that the spread return is lack of long-range memory, while the spread volatility is long-range time correlated. Moreover, by applying the Multifractal Detrended Fluctuation Analysis (MF-DFA), the spread return is observed to possess a strong multifractality, which is similar to the dynamics of a variety of financial quantities. Differently from the spread return, the spread volatility exhibits a weak multifractal nature.

Affiliated with

Also associated with

No associations

Rating

Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-551304