中文摘要：

本文以深市150家上市公司为样本，估算买卖价差逆向选择成分，研究逆向选择成分与公司特征之间的关系，并探讨其日内变化模式。研究发现信息不对称对深市买卖价差的贡献度为39％。公司规模越大，其股票的逆向选择成分越小；逆向选择成分随着交易量水平的上升而降低；高价股的逆向选择成分比低价股低。总体而言，逆向选择成分在早市呈现“倒U”型，在午市呈现“L”型。逆向选择成分与公司特征之问的关系及逆向选择成分的日内变动模式的实证分析结果，符合信息不对称与公司特征之问的逻辑关系及信息不对称的日内变动模式。

英文摘要：

This paper measures the adverse selection component of bid-ask spread by examining 150 samples of Shenzhen-listed companies, studies how it relates to corporate characters and analyzes its intra-day mode. Adverse selection component is found to accounts for 39% of bid-ask spread, the adverse selection component decreases uniformly with corporate size, trade size and stock price, and the adverse selection component exhibits downward U-shape patterns in the morning and L-shape patterns in the afternoon. The empirical results are consistent with the logical relationship between asymmetric information and characters of company and its intra-day mode.