Chen, Tao; Cai, Jun; Ho, Richard Y.K. - In: China Economic Review 20 (2009) 3, pp. 527-541
Bid-ask spread is a direct measure of information asymmetry. As such, it can be used to evaluate information efficiency. In this paper, we show that both the quoted and effective spreads on the Shanghai Stock Exchange are extremely high at the open, decrease over the trading day, and experience...