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Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
Xiao-Hui Ni,Wei-Xing Zhou *
School of Business, East China University of Science and Technology
*Correspondence author
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Funding: 自然科学基金,霍英东基金,上海市青年科技启明星计划（No.,,）
Opened online:16 October 2007
Accepted by: none
Citation: Xiao-Hui Ni,Wei-Xing Zhou.Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks[OL]. [16 October 2007] http://en.paper.edu.cn/en_releasepaper/content/15690
 
 
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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