54
Views
3
CrossRef citations to date
0
Altmetric
Original Article

Decomposing the Bid-Ask Spread in a Segmented Equity Market: Analyzing Chinese A Shares Versus B Shares

&
Pages 30-49 | Published online: 07 Dec 2014

References

  • Affleck-Graves, J.; S. P. Hedge; and R. E. Miller. 1994. "Trading Mechanisms and the Components of the Bid-Ask Spread." Journal of Finance 49, no. 4: 1471-1488.
  • Ahn, H.; J. Cai; Y. Hamao; and R. Y. K. Ho. 2002. "The Components of the Bid-Ask Spread in a Limit-Order Market: Evidence from the Tokyo Stock Exchange." Journal of Empirical Finance 9, no. 4: 399-430.
  • Ahn, H.; J. Cai; Y. Hamao; and R. Y. K. Ho. 2005. "Adverse Selection, Brokerage Coverage, and Trading Activity on the Tokyo Stock Exchange." Journal of Banking & Finance 29, no. 6: 1483-1508.
  • Benston, G. J., and R. L. Hagerman. 1974. "Determinants of Bid-Asked Spreads in the Over-the-Counter Market." Journal of Financial Economics 1, no. 4: 353-364.
  • Branch, B., and W. Freed. 1977. "Bid-Asked Spreads on the AMEX and the Big Board." Journal of Finance 32, no. 1: 159-163.
  • Brennan, M. J., and H. H. Cao. 1997. "International Portfolio Investment Flows." Journal of Finance 52, no. 5: 1851-1880.
  • Brockman, P., and D. Y. Chung. 1999. "An Analysis of Depth Behavior in an Electronic, Order-Driven Environment." Journal of Banking & Finance 23, no. 12: 1861-1886.
  • Chakravarty, S.; A. Sarkar; and L. Wu. 1998. "Information Asymmetry, Market Segmentation and the Pricing of Cross-Listed Shares: Theory and Evidence from Chinese A and B Shares." Journal of International Financial Markets, Institutions and Money 8, nos. 3-4: 325-355.
  • Chan, K.; A. J. Menkveld; and Z. Yang. 2008. "Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount." Journal of Finance 63, no. 1: 159-196.
  • Chen, Z.; H. Jiang; D. Li; and A. B. Sim. 2010. "Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets." Emerging Markets Finance & Trade 46, no. 6 (November-December): 140-157.
  • Chung, K. H.; J. Elder; and J. Kim. 2010. "Corporate Governance and Liquidity." Journal of Financial and Quantitative Analysis 45, no. 2: 265-291.
  • De Jong, F.; T. Nijman; and A. Röell. 1996. "Price Effects of Trading and Components of the Bid-Ask Spread on the Paris Bourse." Journal of Empirical Finance 3, no. 2: 193-213.
  • Demsetz, H. 1968. "The Cost of Transacting." Quarterly Journal of Economics 82, no. 1: 33-53.
  • Feng, L., and W. Xu. 2007. "Has the Reform of Nontradable Shares Raised Prices? An Event-Study Analysis." Emerging Markets Finance & Trade 43, no. 2 (March-April): 33-62.
  • George, T. J.; G. Kaul; and M. Nimalendran. 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach." Review of Financial Studies 4, no. 4: 623-656.
  • Glosten, L. R., and L. E. Harris. 1988. "Estimating the Components of the Bid/Ask Spread." Journal of Financial Economics 21, no. 1: 123-142.
  • Goettler, R. L.; C. A. Parlour; and U. Rajan. 2005. "Equilibrium in a Dynamic Limit Order Market." Journal of Finance 60, no. 5: 2149-2192.
  • Hamilton, J. L. 1976. "Competition, Scale Economies, and Transaction Cost in the Stock Market." Journal of Financial and Quantitative Analysis 11, no. 5: 779-802.
  • Hamilton, J. L. 1978. "Marketplace Organization and Marketability: NASDAQ, the Stock Exchange, and the National Market System." Journal of Finance 33, no. 2: 487-503.
  • Han, D.; C. Wang; and H. Yue. 2006. "An Analysis of the Components of Bid-ask Spread in Chinese Stock Market—A Case Study of the Order-Driven Market." Journal of Beijing Institute of Technology (Social Sciences Edition) 8, no. 1: 82-85 (in Chinese).
  • Hansen, L. P. 1982. "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica 50, no. 4: 1029-1054.
  • Hasbrouck, J. 1991. "Measuring the Information Content of Stock Trades." Journal of Finance 46, no. 1: 179-207.
  • Huang, A. G., and H. Fung. 2005. "Floating the Nonfloatables in China's Stock Market: Theory and Design." Emerging Markets Finance & Trade 41, no. 5 (September-October): 6-26.
  • Huang, R. D., and H. R. Stoll. 1996. "Dealer Versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE." Journal of Financial Economics 41, no. 3: 313-357.
  • Huang, R. D., and H. R. Stoll. 1997. "The Components of the Bid-Ask Spread: A General Approach." Review of Financial Studies 10, no. 4: 995-1034.
  • Lehmann, B. N., and D. M. Modest. 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View." Journal of Finance 49, no. 3: 951-984.
  • Lei, J., and Y. Zeng. 2006. "An Analysis of the Components of the Bid-Ask Spreads in Shanghai Stock Market." Systems Engineering 24, no. 6: 74-80 (in Chinese).
  • Lin, J.; G. C. Sanger; and G. G. Booth. 1995. "Trade Size and Components of the Bid-Ask Spread." Review of Financial Studies 8, no. 4: 1153-1183.
  • MacKinnon, G., and H. Nemiroff. 1999. "Liquidity and Tick Size: Does Decimalization Matter?" Journal of Financial Research 22, no. 3: 287-299.
  • Madhavan, A.; M. Richardson; and M. Roomans. 1997. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks." Review of Financial Studies 10, no. 4: 1035-1064.
  • McInish, T. H., and R. A. Wood. 1992. "An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks." Journal of Finance 47, no. 2: 753-764.
  • Menyah, K., and K. Paudyal. 2000. "The Components of Bid-Ask Spreads on the London Stock Exchange." Journal of Banking & Finance 24, no. 11: 1767-1785.
  • Mu, Q.; C. Wu; and H. Liu. 2004. "Components of the Bid-Ask Spread in the Shenzhen Stock Exchange." Systems Engineering-Theory Methodology Application 13, no. 3: 239-249 (in Chinese).
  • Stoll, H. R. 1978. "The Supply of Dealer Services in Securities Markets." Journal of Finance 33, no. 4: 1133-1151.
  • Tang, K., and C. Wang. 2011. "Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market." Emerging Markets Finance & Trade 47, Supplement 1: 47-60.
  • Tiniç, S. M. 1972. "The Economics of Liquidity Services." Quarterly Journal of Economics 86, no. 1: 79-93.
  • Van Ness, B. F.; R. A. Van Ness; and R. S. Warr. 2001. "How Well Do Adverse Selection Components Measure Adverse Selection?" Financial Management 30, no. 3: 77-98.
  • Wang, Z., and P. Chen. 2006. "The Adverse Selection Component of the Bid-Ask Spread in Shenzhen Market: Estimation and Analyses." Securities Market Herald 3, no. 3: 65-70 (in Chinese).
  • Weston, J. P. 2000. "Competition on the NASDAQ and the Impact of Recent Market Reforms." Journal of Finance 55, no. 6: 2565-2598.
  • Wu, W.; Y. Zhu; C. Wu; and O. M. Rui. 2007. "Effect of B Shares' Opening to Domestic Investors on Information Asymmetry—Using Bid-Ask Spread Decomposition Method." Journal of Management Sciences in China 27, no. 6: 57-64 (in Chinese).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.