Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Unclassified |
| Other domains | — |
| Methods | — |
| Facets | — |
| Authors | Tian Qiu, Guang Chen, Li-Xin Zhong, Xiao-Run Wu |
| Published | 2011-10-20 |
| Source | arXiv Quantitative Finance History |
| Identifiers | arxiv:1110.4455 |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
The study distinguishes memory and multifractal properties of bid-ask spread returns from those of spread volatility, helping avoid treating the two liquidity dynamics as the same process. (abstract:S1, abstract:S2, abstract:S3, abstract:S4, abstract:S5)
Main author claims¶
- The authors report: Using four liquid Chinese stocks, the authors report from autocorrelation and DFA analyses that spread returns lack long-range memory while spread volatility is long-range correlated. (
abstract:S2,abstract:S3) - The authors report from MF-DFA that spread returns display strong multifractality whereas spread volatility shows weaker multifractal behavior. (
abstract:S4,abstract:S5)
Data, method, or discussion scope¶
The evidence is limited to four liquid Chinese stocks and descriptive autocorrelation, DFA, and MF-DFA analyses of memory and multifractality. (abstract:S2, abstract:S3, abstract:S4, abstract:S5)
Main limitations¶
The four-stock sample limits cross-sectional generalization, and the abstract gives no sample period, significance tests, or forecast evaluation, so the findings cannot be treated directly as a tradable signal. (abstract:S2, abstract:S3, abstract:S4, abstract:S5)
Relationships¶
- None recorded.