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《Journal of Finance》 2003-06
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An Empirical Analysis of Intraday Depth Behavior on Shanghai Stock Exchange

Zhishu Yang Zinai Li  
This study investigates interday and intraday depth behavior of companies listed on Shanghai Stock Exchange (SHSE), which is an order-driven market without designated market makers. Based on 331 listed companies' intraday data from January 10, 2000 to June 30,2000, it is found that there exist significant intraweek and intraday liquidity patterns. The empirical results indicate that the intraday depth follow a reverse S-shaped pattern. The negative association between spread and depth on SHSE implies that limit order traders actively manage both price and quantity dimensions of liquidity by adjusting the spread and depth. Further, the narrower depth in the market open and the larger depth around the market close may be attribute to factors such as asymmetric information, periodic increase of demand and existence of monopolistic implicit market makers.
【Fund】: 国家自然科学基金 (项目编号 :70 1 0 3 0 0 2 ) ;; 加拿大和中国大学产业合作伙伴项目;; 国家自然科学基金(CCUIP -NSFC 项目编号 :70 1 42 0 0 3 );; 清华大学经济管理学院基础研究基金的资助
【CateGory Index】: F830.91
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