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Ahn And Cheung-The Intraday Patterns Of The Spread And Depth In A Market Without Market Makers – The Stock Exchange Of Hong Kong

Ahn And Cheung-The Intraday Patterns Of The Spread And Depth In A Market Without Market Makers – The Stock Exchange Of Hong Kong
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 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 […]

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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

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 the study of Lee et al. (1993) [Lee, C.M.C., Mucklow,

B., and Ready, M.J., 1993, Spreads, depths, and the impact of

earnings information: an intraday tahlil, Review of Financial Studies

6, 345–374] of New York Stock Exchange (NYSE) stocks that wide spreads

are associated with small depths and narrow spreads are associated

with large depths. The negative association between spread and depth

on the SEHK implies that limit order traders actively manage both price and quantity dimensions

of liquidity by adjusting the spread and depth. Further, larger spreads and narrower depths around

the market open and close indicate a trading strategy by limit order traders to avoid possible

losses from trading with informed traders when the adverse selection problem is severe.

The paper provides further evidence that U-shaped spread and reverse U-shaped depth

patterns should not be solely attributed to specialist market making activities.

Hong Kong
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