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HAN Dong, WANG Chun-feng, YUE Hui-yu. An Analysis of the Components of Bid-Ask Spread in Chinese Stock Market——A Case Study of the Order-Driven MarketJ. Journal of Beijing Institute of Technology (Social Sciences Edition), 2006, (1): 82-85.
Citation: HAN Dong, WANG Chun-feng, YUE Hui-yu. An Analysis of the Components of Bid-Ask Spread in Chinese Stock Market——A Case Study of the Order-Driven MarketJ. Journal of Beijing Institute of Technology (Social Sciences Edition), 2006, (1): 82-85.
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An Analysis of the Components of Bid-Ask Spread in Chinese Stock Market——A Case Study of the Order-Driven Market

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  • Based on the financial market microstructure theory,The paper analyzes the components of bid-ask spread in the Shanghai Stock Exchange,and investigates the relation between the components and liquidity trade size.The paper also examines intra-day patterns of the components.These researches reflect some characteristics of the Chinese stock market microstructure.It is very important for the supervision of market and re-adjusting trading policies.
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