Dynamics of bid–ask spread return and volatility of the Chinese stock market
نویسندگان
چکیده
منابع مشابه
Dynamics of bid–ask spread return and volatility of the Chinese stock market
The bid–ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating the autocorrelation function and the Detrended Fluctuation Analysis (DFA), we find that the spread ...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2012
ISSN: 0378-4371
DOI: 10.1016/j.physa.2011.12.048