Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

摘要

The statistical properties of the bid-ask spread of a frequently tradedChinese stock listed on the Shenzhen Stock Exchange are investigated using thelimit-order book data. Three different definitions of spread are consideredbased on the time right before transactions, the time whenever the highestbuying price or the lowest selling price changes, and a fixed time interval.The results are qualitatively similar no matter linear prices or logarithmicprices are used. The average spread exhibits evident intraday patternsconsisting of a big L-shape in morning transactions and a small L-shape in theafternoon. The distributions of the spread with different definitions decay aspower laws. The tail exponents of spreads at transaction level are well withinthe interval $(2,3)$ and that of average spreads are well in line with theinverse cubic law for different time intervals. Based on the detrendedfluctuation analysis, we found the evidence of long memory in the bid-askspread time series for all three definitions, even after the removal of theintraday pattern. Using the classical box-counting approach for multifractalanalysis, we show that the time series of bid-ask spread does not possessmultifractal nature.