中国A股股票日内买卖价差模式及其幂律放松
Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
摘要：
本文利用沪深两市1364只A股股票的高频数据，研究了买卖价差的日内形态。通过Lomb分析证实了价差时间序列的日周期性，发现日内买卖价差呈现出具有特殊精细结构的$L$型模式。在上午9：30 - 10：30的连续双向拍卖的第一个小时内，个股的日内价差呈幂律放松，上海市场的指数为$β_{\rm{SHSE}}=0.19\pm0.069$，深圳市场的指数为$β_{\rm{SZSE}}=0.18\pm0.067$。个股的幂律松弛指数$β$大致呈正态分布。有证据表明，信息的积累扩大了传播是一个内在的过程。
英文摘要：
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30AM to 10:30AM with exponents $β_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and $β_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-law relaxation exponent $β$ of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
