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- W2010643821 abstract "This paper investigates the relationship between trade duration and liquidity of Chinese stock market. Using data of ten stocks, we employ a Weibull ACD model to decompose trade duration into two components: the expected and the unexpected duration. Then we analyze whether trade duration affects liquidity with regressions. We find that there exists a strong dependence between consecutive durations especially for liquid stocks. Both the expected and unexpected duration could explain the variation of bid-ask spread but the evidence is mixed in the depth equation. The unexpected duration contributes more to the change in liquidity than the expected duration." @default.
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- W2010643821 date "2013-01-01" @default.
- W2010643821 modified "2023-09-27" @default.
- W2010643821 title "Trade Duration and Liquidity of Chinese Stock Market" @default.
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- W2010643821 doi "https://doi.org/10.1016/j.procs.2013.05.159" @default.
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