The relationship between bid-ask spreads and holding periods: The case of Chinese A and B shares

@inproceedings{Chung2005TheRB,
  title={The relationship between bid-ask spreads and holding periods: The case of Chinese A and B shares},
  author={Shifei Chung and Peihwang Philip Wei},
  year={2005}
}
Abstract The Chinese stock markets for A (domestic) shares and B (foreign) shares were completely separated. This study examines the relationship between spreads and holding periods across these segmented markets on the same set of firms. Our major findings are as follows. (1) There is a positive relationship between holding periods and bid–ask spreads in the Chinese stock market. (2) Investors' sensitivity toward liquidity is approximately the same in the A and B share markets, even though bid… CONTINUE READING