Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
نویسنده
چکیده
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 βSHSE = 0.20± 0.067 for the Shanghai market and βSZSE = 0.19± 0.069 for the Shenzhen market. The power-law relaxation exponent β of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process.
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