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

zbMATH Open1349.91324MaRDI QIDQ2993360FDOQ2993360

Authors: Dixin Zhang, Yining Sui 

Publication date: 10 August 2016

Recommendations

• INCORPORATING PRICE-RELEVANT INFORMATION BETWEEN QUOTES AND TRADES: A NEW MEASURE OF THE EFFECTIVE BID-ASK SPREAD
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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)

Cited In (7)

• Relation between bid–ask spread, impact and volatility in order-driven markets
• 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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