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J4  2010, Vol. 7 Issue (10): 1535-    DOI:
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An Empirical Study on the Determinants of Spread of Shenzhen Stock Market
 LEI Jue-Ming, LI Ping, ZENG Yong
University of Electronic Science and Technology of China,Chengdu,China

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Abstract  

On the basis of spread composition, we analyze some determinant factors that influence components of spread of order-driven markets after processing the data of the Shenzhen stock market. We found out that by acting on different component of spread each significantly, some factors, such as order imbalance, the number of deals, volume and price exert significant influence on spread and there is no significant correlation between abnormal relative volume (NSIZE) and both the spread and the components of the spread.

Key wordsShenzhen stock market      market microstructure      components of spread      determinant factors      high frequency data     
Received: 01 July 2008     
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LEI Jue-Ming
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LEI Jue-Ming,LI Ping,ZENG Yong. An Empirical Study on the Determinants of Spread of Shenzhen Stock Market[J]. J4, 2010, 7(10): 1535-.
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http://manu68.magtech.com.cn/Jwk_glxb/EN/     OR     http://manu68.magtech.com.cn/Jwk_glxb/EN/Y2010/V7/I10/1535
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