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	The intraday patterns of liquidity and volatility in Chinese stock markets: A comparison
	Zhang, Yin ; Wang, Jingjie ; Chen, Hao ; Zhang Y(张寅)
	2014
关键词	Finance Information technology
英文摘要	Conference Name:WIT Transactions on Information and Communication Technologies. Conference Address: Wuhan, China. Time:May 7, 2013 - May 8, 2013.; WIT Transactions on Information and Communication Technologies; According to microstructure theory, the intraday patterns of liquidity and volatility are different among different stock exchanges because of the market structure and trading mechanism. The paper examines the liquidity and volatility of limit order markets in Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE) and compares the differences between both stock markets. We find that their intraday patterns of liquidity and volatility both are L-shaped while SHSE is more effective than SZSE on the whole. ? 2014 WIT Press.
语种	英语
出处	http://dx.doi.org/10.2495/ISME20130991
出版者	WITPress
内容类型	其他
源URL	[http://dspace.xmu.edu.cn/handle/2288/86942]
专题	信息技术－会议论文
推荐引用方式 GB/T 7714	Zhang, Yin,Wang, Jingjie,Chen, Hao,et al. The intraday patterns of liquidity and volatility in Chinese stock markets: A comparison. 2014-01-01.

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