文献类型：期刊文献

英文题名：Quantifying bid-ask spreads in the Chinese stock market using limit-order book data

作者：Gu, G.-F.; Chen, W.; Zhou, W.-X.

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China;[4]Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China

年份：2007

卷号：57

期号：1

起止页码：81

外文期刊名：EUROPEAN PHYSICAL JOURNAL B

收录：;WOS:【SSCI(收录号:WOS:000247484500012)，SCI-EXPANDED(收录号:WOS:000247484500012)】；

语种：英文

摘要：The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a fixed time interval. The results are qualitatively similar no matter linear prices or logarithmic prices are used. The average spread exhibits evident intraday patterns consisting of a big L-shape in morning transactions and a small L-shape in the afternoon. The distributions of the spread with different definitions decay as power laws. The tail exponents of spreads at transaction level are well within the interval (2,3) and that of average spreads are well in line with the inverse cubic law for different time intervals. Based on the detrended fluctuation analysis, we found the evidence of long memory in the bid-ask spread time series for all three definitions, even after the removal of the intraday pattern. Using the classical box-counting approach for multifractal analysis, we show that the time series of bid-ask spread do not possess multifractal nature.