Intraday pattern in bid-ask spreads and its power-law relaxation for chinese a-share stocks
文献类型：期刊论文
| 作者 | Ni, Xiao-Hui1; Zhou, Wei-Xing1,2,3 |
| 刊名 | Journal of the korean physical society
 |
| 出版日期 | 2009-02-01 |
| 卷号 | 54期号:2页码:786-791 |
| 关键词 | Econophysics Bid-ask spreads Intraday pattern Relaxation dynamics Chinese stocks Power law |
| ISSN号 | 0374-4884 |
| 通讯作者 | Ni, xiao-hui() |
| 英文摘要 | We use high-frequency data of 1364 chinese a-share stocks traded oil the shanghai stock exchange and shenzhen stock exchange to investigate the intraday patterns ill the hid-ask spreads. the daily periodicity in the spread time series is confirmed by using a lomb analysis and the intra clay bid-ask spreads are found to exhibit all l-shaped pattern with all idiosyncratic fine structure. the intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30 am to 10:30 am with exponents beta(shse) = 0.19 +/- 0.067 for the shanghai market and beta(szse) = 0.18 +/- 0.069 for the shenzhen market. the power-law relaxation exponent beta of individual stocks 18 roughly normally distributed. there is evidence showing that, the accumulation of information widening the spread is all endogenous process. |
| WOS关键词 | SPECTRAL-ANALYSIS ; NYSE STOCKS ; TIME-SERIES ; SPACED DATA ; MARKET ; DISSIPATION ; COMPONENTS ; TURBULENCE ; MODEL |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Multidisciplinary |
| 语种 | 英语 |
| WOS记录号 | WOS:000263371300042 |
| 出版者 | KOREAN PHYSICAL SOC |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2395607 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Ni, Xiao-Hui |
| 作者单位 | 1.E China Univ Sci & Technol, Sch Business, Sch Sci, Res Ctr Econophys, Shanghai 200237, Peoples R China 2.E China Univ Sci & Technol, Engn Res Ctr Proc Syst Engn, Minist Educ, Shanghai 200237, Peoples R China 3.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Ni, Xiao-Hui,Zhou, Wei-Xing. Intraday pattern in bid-ask spreads and its power-law relaxation for chinese a-share stocks[J]. Journal of the korean physical society,2009,54(2):786-791. |
| APA | Ni, Xiao-Hui,&Zhou, Wei-Xing.(2009).Intraday pattern in bid-ask spreads and its power-law relaxation for chinese a-share stocks.Journal of the korean physical society,54(2),786-791. |
| MLA | Ni, Xiao-Hui,et al."Intraday pattern in bid-ask spreads and its power-law relaxation for chinese a-share stocks".Journal of the korean physical society 54.2(2009):786-791. |
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来源：中国科学院大学
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