An Empirical Study of the Component of Bid-Ask Spread
Previous literatures confer the influence factors about spread, but not from the direction of components of spread. On the basis of spread composition, we analyze some determinant factors that influence components of spread of order-driven market by data of the Shenzhen stock market. Some conclusions are reached. Firstly, order imbalance, price, the number of deals and volatility, are exerting influence on different components of spread respectively, which together render the intraday pattern of spread. Secondly, we find that average volume can t characterize the information component of Bid-Ask spread.
Shenzhen Stock Market Market Microstructure Components of Spread Determinant Factors High Frequency Data
Lei Jueming Zeng Yong Li Ping
School of Management, University of Electronic Science and Technology of China, Chengdu P.R.China, 610054
国际会议
天津
英文
2007-10-20（万方平台首次上网日期，不代表论文的发表时间）