English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

We use high-frequency data of 1364 Chinese A-share stocks traded on theShanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intradaypatterns in the bid-ask spreads. The daily periodicity in the spread timeseries is confirmed by Lomb analysis and the intraday bid-ask spreads are foundto exhibit $L$-shaped pattern with idiosyncratic fine structure. The intradayspread of individual stocks relaxes as a power law within the first hour of thecontinuous double auction from 9:30AM to 10:30AM with exponents$\beta_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and$\beta_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-lawrelaxation exponent $\beta$ of individual stocks is roughly normallydistributed. There is evidence showing that the accumulation of informationwidening the spread is an endogenous process.

Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks