Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
首发时间:2007-10-16
Abstract: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 $\\\\\\\\\\\\\\\\beta_{\\\\\\\\\\\\\\\\rm{SHSE}}=0.20\\\\\\\\\\\\\\\\pm0.067$ for the Shanghai market and $\\\\\\\\\\\\\\\\beta_{\\\\\\\\\\\\\\\\rm{SZSE}}=0.19\\\\\\\\\\\\\\\\pm0.069$ 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.
keywords: Econophysics Bid-ask spreads Intraday pattern Relaxation dynamics Chinese stocks Power law
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Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
摘要: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 $\\\\\\\\\\\\\\\\beta_{\\\\\\\\\\\\\\\\rm{SHSE}}=0.20\\\\\\\\\\\\\\\\pm0.067$ for the Shanghai market and $\\\\\\\\\\\\\\\\beta_{\\\\\\\\\\\\\\\\rm{SZSE}}=0.19\\\\\\\\\\\\\\\\pm0.069$ 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.
关键词: Econophysics; Bid-ask spreads; Intraday pattern; Relaxation dynamics; Chinese stocks; Power law
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No.1569012449611925****
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