An analysis of intraday patterns in bid-ask spreads: evidence from the Shenzhen stock exchange

MaRDI QIDQ2993360zbMATH OpenFDO

Authors Dixin Zhang, Yining Sui

Publication date 10 August 2016

zbMATH Keywords

bid-ask spreadintraday liquiditytrading duration

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(7)

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• INCORPORATING PRICE-RELEVANT INFORMATION BETWEEN QUOTES AND TRADES: A NEW MEASURE OF THE EFFECTIVE BID-ASK SPREAD
• Does the bid-ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment
• Spread component costs and stock trading characteristics in the Spanish stock exchange. Two flexible fractional response models
• New moment estimators of the effective spread based on daily high and low prices
• Price discovery in Chinese stock index futures market: new evidence based on intraday data
• Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange 1880–1910*

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