Hong Kong We examine the temporal behavior of the spread and depth for common stocks listed on the Stock Exchange of Hong Kong (SEHK), which operates as a purely order-driven mechanism. We find U-shaped intraday and intraweek patterns in the spread and reverse U-shaped patterns in the depth. Our finding is consistent with that of […]
Ahn And Cheung-The Intraday Patterns Of The Spread And Depth In A Market Without Market Makers - The Stock Exchange Of Hong Kong
Hong Kong