Economy – Quantitative Finance – Statistical Finance
Scientific paper
2007-10-12
Journal of the Korean Physics Society 54 (2), 786-791 (2009)
Economy
Quantitative Finance
Statistical Finance
12 Elsart pages including 7 eps figures
Scientific paper
10.3938/jkps.54.786
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30AM to 10:30AM with exponents $\beta_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and $\beta_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-law relaxation exponent $\beta$ of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process.
Ni Xiao-Hui
Zhou Wei-Xing
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