Adverse selection costs: A study on the Chinese stock market

Employing a bid-ask spread model applicable for order-driven market, this paper decomposes the bid-ask spread of Shanghai Stock Exchange (SSE) into adverse selection and order processing cost components to investigate the relationship between the components of bid-ask spread and order size. It exami...

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Veröffentlicht in:	Frontiers of business research in China 2010-06, Vol.4 (2), p.209-230
Hauptverfasser:	He, Chengying, Lu, Zonghui, He, Xingqiang, Chai, Jun
Format:	Artikel
Sprache:	eng
Schlagworte:	Accounting/Auditing Adverse selection Bids Business and Management Business Finance Corporate profits Costs Economic rent Economies of scale Human Resource Management Insider trading Inventory Liquidity Marketing Order processing Organization Research Article Securities markets Stock exchanges Volatility
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