文献类型：期刊文献

英文题名：Intraday Pattern in Bid-Ask Spreads and Its Power-Law Relaxation for Chinese A-Share Stocks

作者：Ni, Xiao-Hui[1];Zhou, Wei-Xing[1,2,3]

机构：[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

年份：2009

卷号：54

期号：2

起止页码：786

外文期刊名：JOURNAL OF THE KOREAN PHYSICAL SOCIETY

收录：;WOS:【SSCI(收录号:WOS:000263371300042)，SCI-EXPANDED(收录号:WOS:000263371300042)】；

基金：We are grateful to Gao-Feng Gu for fruitful discussion and Liang Guo for preprocessing the raw data. This work was partly supported by the National Natural Science Foundation of China (Grant No. 70501011), the Fok Ying Tong Education Foundation (Grant No. 101086), the Shanghai Rising-star Program (Grant No. 06QA14015) and the Program for New Century Excellent Talents in University (NCET-07-0288).

语种：英文

外文关键词：Econophysics; Bid-ask spreads; Intraday pattern; Relaxation dynamics; Chinese stocks; Power law

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.