Dynamics of bid–ask spread return and volatility of the Chinese stock market

Tian Qiu, Guang Chen, Li-Xin Zhong and Xiao-Run Wu

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 8, 2656-2666

Abstract: The bid–ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating the autocorrelation function and the Detrended Fluctuation Analysis (DFA), we find that the spread return is the lack of long-range memory, while the spread volatility is long-range time correlated. Besides, the spread volatilities of different stocks present long-range cross-correlations. Moreover, by applying the Multifractal Detrended Fluctuation Analysis (MF-DFA), the spread return is observed to possess a strong multifractality, which is similar to the dynamics of a variety of financial quantities. Different from the spread return, the spread volatility exhibits a weak multifractal nature.

Keywords: Econophysics; Stock market; Bid–ask spread; Spread return; Spread volatility (search for similar items in EconPapers)
Date: 2012
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:8:p:2656-2666

DOI: 10.1016/j.physa.2011.12.048

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