What Influence Spread? -An Empirical Study on ShenZhen Stock Exchange
On the Basis of decomposition of spread, we analyse some determinant factors that influence spread and components of spread of order-driven market by data sample of the ShenZhen Stock Exchange. Some conclusions are reached. Firstly，order imbalance、average trade volume、the number of deals and volatility, are also exerting influence on Intra-day patterns of different components of spread respectively, which come into being compositive effect that yield the Intra-day Pattern of spread. Secondly，we don’t think that average volume variable can characterize the impact that be pressed on stock market from new information. Thirdly，abnormal trade volume have significant influence on adverse selection but is not on spread, which shows that the components of spread of the ShenZhen Stock Exchange include not only adverse selection cost、order processing cost, but also trade risk cost and different estimation of stock value about the same new information from different trader. Moreover, according to the fact that the order processing cost large than adverse selection cost of spread and minus correlation between order imbalance and adverse selection cost, we conclude that the trader of the ShenZhen Stock Exchange are major noise trader and liquidity trader.
ShenZhen stock exchange market microstructure components of spread determinant factors high frequency data
雷觉铭 曾勇 李平
电子科技大学管理学院 成都 610054
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）