  We use high-frequency data of 1364 Chinese A-share stocks traded on the
Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday
patterns in the bid-ask spreads. The daily periodicity in the spread time
series is confirmed by Lomb analysis and the intraday bid-ask spreads are found
to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday
spread of individual stocks relaxes as a power law within the first hour of the
continuous double auction from 9:30AM to 10:30AM with exponents
$\beta_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and
$\beta_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-law
relaxation exponent $\beta$ of individual stocks is roughly normally
distributed. There is evidence showing that the accumulation of information
widening the spread is an endogenous process.
