參考文獻
第一部分
一、中文文獻
王文高、毛維凌 (2004)，「單一方程式共整合 – GARCH 模型：台灣股市之實證研究」，經濟論文，32，1-24。
黃玉娟、郭照榮、徐守德 (1998)，「摩根台股指數期貨的市場效率與套利機會之研究」，證券市場發展季刊，9，1-29。謝文良 (2002)，「價格發現、資訊傳遞與市場整合-台股期貨市場之研究」，中國財務學刋，10，1-31。二、英文文獻
Abhyankar, A. H. (1995), “Return and volatility dynamics in the FT-SE 100 stock index and sotck index futures markets,” Journal of Futures Markets, 15, 457-488.
Balke, N. S. and T. B. Fomby (1997), “Threshold cointegration,” International Economic Review, 38, 627-645.
Booth, G. G., R. W. So and Y. Tse (1999), “Price discovery in the German equity index derivatives markets？” Journal of Futures Markets, 19, 619-643.
Brenner, R. J. and K. F. Kroner (1995), “Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets,” Journal of Quantitative and Financial Analysis, 30, 23-42.
Brooks, C. and I. Garrett (2002), “Can we explain the dynamics of the UK FTSE 100 stock and stock index futures Market？” Applied Financial Economics, 12, 25-31.
Board, J. and C. Sutcliffe (1996), “The dual Listing of stock index futures: Arbitrage, spread arbitrage, and currency risk,”Journal of Futures Markets, 16, 29-54.
Chan, K. S. and H. Tong (1990), “On likelihood ratio tests for threshold autogression,” J. Roy. Statist. Soc.Ser. B52, 469-476.
Chou, R. K. and J.H. Lee (2002), “The relative efficiencies of price execution between the Singapore exchange and the Taiwan futures exchange,” Journal of Futures Markets, 22(2), 173-196.
Chuang, C. C. (2000), “The volatility spillovers between stock index futures and spot markets: an empirical analysis of Taiwan,” Quarterly Journal of Security Market, 12, 111-139.
De Jong, F. and M. W. M. Donders (1998), “Intraday lead-lag relationships between futures-options, and stock markets,” European Finance Review, 1, 337-359.
De Jong, F. and Nijman, T. (1997), “High frequency analysis of lead-lag relationships between financial markets,” Journal of Empirical Finance, 4, 259-277.
Dwyer, G. P., J. P. Locke and W. Yu (1996), “Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash,” The Review of Financial Studies, 9, 301-332.
Ebrahim, S. K. and I. G. Morgan (2000), “High frequency relationships between the S&P 500 index, futures and depository receipts,” Queen’s University.
Engle, R. F. and C. W. Granger (1987), “Co-integration and error correction: Representation estimation and testing,” Econometrics, 55,251-276.
Fleming, J., B. Ostdiek and R. E. Whaley (1996), “Trading costs and the relative rates of price discovery in stock, futures, and options markets,” Journal of Futures Markets, 16, 353-387.
Foster, A. J., (1995), “Volume-volatility relationships for crude oil futures,” Journal of Futures Markets, 15, 929-951.
Ghosh, A. (1993), “Cointegration and error correction models: intertemporal causality between index and futures prices”, Journal of Futures Markets, 13, 193-198.
Granger, C. and P. Newbold (1974), “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.
Hasbrouck, J. (1995), “One security, many markets: determining the contributions to price discovery,” Journal of Finance 50, 1175-1199.
Hensen, B. (1996), “Inference when a nuisance parameter is not identified under the null hypothesis,” Econometrica, 64, 413-430.
Hensen, B (1997), “Inference in TAR model.” Studies in Nonlinear Dynamics and Econometrics 2, 1-14.
Holden, C. W. (1995), “Index arbitrage as cross-sectional market making,” Journal of Futures Markets, 15(4), 423-455.
Huang, Y. C. and D. Shyu (1998), “An evaluation Taiwan stock index,” Review of Securities and Futures Markets, 9, 1-27.
Huang, Y. C., C. J. Kuo and D. Shyu (1998), “The market efficient and arbitrage opportunities of Taiwan stock index futures traded at SIMEX,” Review of Securities and Futures Markets, 10, 1-29.
Iihara, Y., K. Kato and T. Tokunaga (1996), “Intraday return dynamics between the cash and the futures markets in Japan,” Journal of Futures Markets, 16, 147-162.
Jones, C. M., G. Kaul and M. L. Lipson (1994), “Transactions, volume and volatility,” Review of Financial Studies, 7, 631-651.
Kasa, K. (1992), “Common stochastic trends in international stock markets,” Journal of Monetary Economics, 29, 95-124.
Kian-Guan Lim (1992), “Arbitrage and price behavior of the Nikkei stock index futures,” Journal of Futures Markets, 12, 151-161.
Kim, M., A. C. Szakmary and T. V. Schwarz (1999), “Trading cost and price discovery across stock index futures and cash markets,” Journal of Futures Markets, 19, 475-498.
Ravajecz, K. A. and E. R. Odders-White (2001), “An examination of changes in specialists’ posted price schedules,” Review of Financial Studies 9, 1-36.
Lockwood, L. J. and S. C. Linn (1990), “An examination of stock market return volatility during overnight and intraday periods 1964-1989,” Journal of Financ, 45, 591-601.
Mackinlay, A. C. and K. Ramaswamy (1988), “Index-futures arbitrage and the behavior of stock index prices,” Review of Financial Studies, 1, 137-158.
Martens, M., P. Kofman and T. C. F. Vorst (1998), “A threshold error-correction model for intraday futures and index returns,” Journal of Applied Econometrics, 13, 245-263.
McInich, T. H. and R. A. Wood (1992), “An analysis of intraday patterns in bid/ask spread for NYSE stock,” Journal of Finance, 47, 753-764.
Miller, M. H., J. Muthuswamy and R. E. Whaley (1994), “Mean reversin of Standard & Poor’s 500 index basis changes: Aarbitrage - induced or statistical illusion？” Journal of Finance, 49, 479-513.
Monoyios, M. and L. Sarno (2002), “Mean reversion in stock index futures markets: A nonlinear analysis,” Journal of Futures Markets, 22(4), 285-314.
Najand, M. and K. Yung (1991), “A GARCH examination of the relationship between volume and price variability in futures markets,” Journal of Futures Markets, 11 347-370.
Roope, M. and R. Zurbruegg (2002), “The intra-day price discovery process between The Singapore exchange and Taiwan futures exchange,” Journal of Futures Markets, 22, 219-240.
Shen, C. H. and T. C. Chiang (1999), “Retrieving the banishing liquidity effect - a threshold autoregressive model,” Journal of Economics and Business, 51, 257-277.
Stoll, H. R. and R. E. Whaley (1990a), “Stock market structure and volatility,” Review of Financial Studies, 3, 37-71.
Stoll, H. R. and R. E. Whaley (1990b), “The dynamics of stock index and stock index futures returns,” Journal of Financial and Quantitative Analysis, 25, 441-468.
Tong, H. (1978), On a threshold model, in C.H. Chen (ed.), Pattern recognition and signal processing, amsterdan: sijhoff and noordhoff, 101-141.
Tsay, R S. (1989), “Testing and modeling threshold autoregressive processes,” Journal of the American Statistical Association, 84, 231-240.
Tsay, R S. (1998), “Testing and modeling multivariate threshold models,” Journal of the American Statistical Association, 93, 1188-1202.
Tse, Y. (1999), “Market microstructure of FT-SE 100 index futures: An intraday empirical analysis”, Journal of Futures Markets, 1, 31-58.
Tse, Y. (2001), “Index arbitrage with heterogeneous investors: A smooth transition Error correction analysis”, Journal of Banking & Finance, 25, 1829-1855.
Wahab, M. and M. Lashgari (1993), “Price dynamics and error correction in stock index and stock index futures markets: a cointegration approach”, Journal of Futures Markets, 13, 711-742.
Wang, G. and J. Yau (2000), “Trading volume, bid-ask spread, and price volatility in futures markets,” Journal of Futures Markets, 20, 943-970.
Weise C. L. (1999), “The asymmetric effects of monetary policy: A nonlinear vector autoregression approach,” Journal of Money, Credit, and Banking, 31, 85-108.
Yadav, P. K., P. F. Pope and K. Paudyal, (1994), “Threshold autoregressive modeling in finance: The price differences of equivalent assets,” Mathematical Finance, 4, 205-221.
Yadav, P. K. and P. F. Pope (1990), “Stock index futures arbitrage: International evidence,” Journal of Futures Markets, 10, 573-603.
第二部分
一、中文文獻
高櫻芬、彭雅玲，2003，「外匯交易量與買賣報價之動態交互關係」，2003 現代財務論壇學術研討會，靜宜大學。
滑明曙 ， 1997，「正向回饋交易策略及中央銀行干預對台幣/美元外匯市場的價量關係的影響」，中國財務學會1997年年會暨財務財務金融研討會，南投埔里。
二、英文文獻
Admati, A. and P. Pfleiderer (1988), “A theory of intraday trading patterns: Volume and price variability,” Review of Financial Studies, 1, 3-40.
Amihud, Y. and H. Mendelson (1982), “Asset pricing behavior in a dealership market,” Financial Analysts Journal, 38, 50-59.
Bagehot, W. (1971), “The only game in town,” Financial analysts journal, 8, 31-53.
Bank for International Settlements (1996, 2001) Central Bank Survey of Foreign Exchange and Derivatives Market Activity, Basel: BIS.
Baillie, R. and T. Bollerslev (1991), “Intra-day and inter-marker volatility in foreign exchange market,” Review of Economic Studies, 58, 565-586.
Bessembinder, H. (1994), “Bid - ask spreads in the interbank foreign exchange markets,” Journal of Financial Economics, 35, 317-348.
Biais, B. (1993), “Price information and equilibrium liquidity in fragmented and centralized markets,” Journal of Finance, 48, 157-185.
Biais, B., P. Hillion and C. Spatt (1992), “An empirical analysis of the limit order book and the order flow in the Paris Bourse,” Journal of Finance, 50, 1655-1689.
Black, S. (1991), “Transactions costs and vehicle currencies,” Journal of International Money and Finance, 3, 209-222.
Bollerslev, T. and I. Domowitz (1993), “Trading patterns and prices in the interbank foreign exchange market,” Journal of Finance, 48, 1421-1444.
Bossaerts, P. and P. Hillion (1991), “Market microstructure effects of government intervention in the foreign exchange market,” Review of Financial Studies, 4, 513-541.
Chakrabarti, R. (2000), “Just another day in the inter-bank foreign exchange market” Journal of Financial Economics, 56, 29-64.
Chung, K. H., F. V Bonnie and A. V. Robert (2001), “Can the treatment of limit orders reconcile the differences in trading costs between NYSE and Nasdaq issues？” Journal of Financial and quantitative analysis, 36, 267-286.
Chrystal, A. (1984), “On the theory of international money,” In: Black, J., Dorrance, G. (Eds.), Problems of international finance. St. Martins Press, New York, 77-92.
Copeland, T. and D. Galai (1983) “Information effects on the bid-ask spread” Journal of Finance, 38, 1457-1469.
Covrig, V. and M. Melvin (2002), “Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen？” Journal of Empirical Finance, 9, 271-285.
Dacorogna M., U. Muller and R. Olsen (2003), “An introduction to high-frequency finance,” International Review of Economics and Finance, 12, 525-529.
Danielsson, J. and R. Payne (2002), “Real trading patterns and prices in spot foreign exchange markets,” Journal of International Money and Finance, 21, 203-222.
DeBondt, W. and R. Thalers (1985), “Does the stock market overreact？” Journal of Finance, 32, 793-809.
DeLong, B., A. Shleifer. L. Summers and R. Waldmann (1990), “Positive feedback investment strategies and destabilizing rational speculation” Journal of Finance, 45, 379-395.
Ding, D. (1999), “The determinants of bid-ask Spreads in the foreign exchange futures market: a microstructure analysis,” Journal of Futures Markets, 19, 307-324.
Dufour, A. and R. F. Engle (2000), “Time and the price impact of a trade,” Journal of Finance, 55, 2467-2498.
Easley, D., N. M. Kiefer, and M. O’Hara (1996), “Liquidity, information and infrequently traded stock,” Journal of Finance, 51, 1405-1436.
Easley, D. and M. O’Hara (1987), “Price, trade size, and information in securities markets,” Journal of Financial Economics, 19, 69-90
Easley, D. and M. O’Hara (1992), “Time and the process of security price adjustment,” Journal of Finance, 47, 577-605.
Engle, R. F and J. R. Russell (1994), “Forecasting transaction rates: The autoregressive conditional duration model,” NBER Working paper No. 4966.
Engle, R. F. and Patton A.J. (2004), “Impacts of trades in an error-correction model of quote prices,” Journal of Financial Markets, 7, 1-25.
Flood, M. D. (1991), Microstructure theory and the foreign exchange market. Federal Reserve Bank of St. Louis Review 73, 52-70.
Foster, F. and S. Viswanathan (1994), “Strategic trading with asymmetrically informed investors and long-lived information,” Journal of Financial and Quantitative Analysis, 29, 499-518.
Glosten, L. and P. Milgrom (1985), “Bid-ask and transaction prices in a specialist market with heterogeneously informed traders,” Journal of Financial Economics, 14, 71-100.
Goodhart, C., T. Ito and R. Payne (1994), “One day in June 1993: A study of the working of reuters D2000-2 electronic foreign trading system,” In The Microstructure of Foreign Exchange Markets, eds J. Frankel, G. Galli and A. Giovannini. University of Chicago Press, Chicago, USA.
Goodhart, C. and R. Payne (1996), “Microstructural dynamics in a foreign exchange electronic broking system” Journal of International Money and Finance, 15, 829-852.
Hartmann, P. (1998), “Do Reuters spreads reflect currencies’ difference in global trading activity？” Journal of International Money and Finance, 17, 757-784.
Hartmann, P. (1999), “Trading volumes and transaction costs in the foreign exchange market: evidence from daily dollar-yen spot data,” Journal of Banking and Finance, 23, 801-824.
Hasbrouck, J. (1991a), “The summary informativeness of stock trades: An econometric analysis,” Review of Financial Studies, 4, 571-595.
Hasbrouck, J. (1991b), “Measuring the information content of stock trades,” Journal of Finance, 46, 179-207.
Hasbrouck, J. (1993), “Assessing the equality of a security market: A new approach to transaction cost measurement,” Review of Financial Studies, 6, 191-212.
Hasbrouck, J. (1995), “One security, many markets: Determining the contributions to price discovery,” Journal of Finance 50, 1175-1199.
Hasbrouck, J. (1996), “Modeling market microstructure time series,” Handbook of Statistics, vol. 14, Statistical Methods in Finance.
Hsieh, D. and A. Kleidon (1996), “Bid-ask spreads in foreign exchange markets: Implications for models of asymmetric information, in Jeffery Frankel et al., eds.,” The Microstructures of Foreign Exchange Markets (University of Chicago Press, Chicago, III.).
Huang, R. and R. Masulis (1999), “FX spreads and dealer competition across the 24 hour trading day,” Review of Financial Studies, 12, 61-93.
Ito, T., R. K. Lyons and M. T. Melvin (1998), “Is there private information in the FX market？ The Tokyo experiment,” Journal of Finance, 50, 1111-1130.
Jang, H. and P. C. Venkatesh (1991), “Consistency between predicted and actual bid-ask quote revisions,” Journal of Finance, 46, 433-446.
Jones, C. (1993), “Transaction costs and short-term return predictability,” Working paper, University of Michigan.
Kavajecz, K. A. (1999), “A specialist’s quotes depth and the limit order book,” Journal of Finance, 54, 673-697.
Kavajecz, K. A. and E. R. Odder-White (2001), “An examination of changes in specialists’ posted price schedules,” Review of Financial Studies, 14, 681-704.
Koutmos, G. (1998), “Asymmetries in the conditional mean and the conditional variance: Evidence from nine stock markets,” Journal of Economics and Business, 50, 277-290.
Krager H. and P. Kugler (1993), “Nonlinerarities in foreign exchange markets: a different perspective,” Journal of International Money and Finance, 12, 195-208.
Lakonishok, M., A. S. Josef and W. V. Robert (1994), “Contrarian investment, extrapolation, and risk,” Journal of Finance, 49, 1541-78.
Laux, P. A. (1995), “Dealer market structure, outside competition and the bid-ask spread,” Journal of Economic Dynamics and Control, 19, 683-710.
Li, C. W. and W. K. Li (1996), “On a double-threshold autoregressive heteroscedastic time series model” Journal of Applied Econometrics, 11, 253-274.
Lin, J., G. Sanger, and G. Booth (1995), “Trade size and components of bid-ask spread” Review of Financial Studies, 8, 1153-1183.
Lin, J. and J. Yang (2003), “Examining intraday returns with buy/sell information,” Applied Financial Economics, 13, 447-461.
Lyons, R. (1995), “Tests of microstructural hypotheses in the foreign exchange market,” Journal of Financial Economics, 39, 321-352.
Lyons, R. (1996), “Foreign exchange volume: Sound and fury signifying nothing？ In: Frankel, J., G. Galli, and A. Giovannini (Eds),” The Microstructure of Foreign Exchange Market. University of Chicago Press, Chicago, IL, pp. 183-201.
Lyons, R. (1997), “A simultaneous trade model of the foreign exchange hot potato,” Journal of International Economics, 42, 275-298.
Lyons, R. (2001), “The microstructure approach to exchange rates,” Cambridge, MA: MIT Press.
Madhavan, A. (2000), “Market microstructure: a survey,” Journal of Financial Markets, 3, 205-258.
Mak T. K., H. Wong and W. K. Li (1997), “Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares” Computational Statistics and Data Analysis, 24, 169-178.
McInish, T. H. and R. A. Wood (1992), “An analysis of intraday patterns in bid-ask spreads for NYSE stocks,” Journal of Finance, 47, 753-764.
Menyah, K. and K. Paudyal (2000), “The components of bid-ask spreads on the London stock exchange,” Journal of Banking and Finance, 24, 1767-1785.
O’Hara, M. (1995), “Market microstructure theory,” Cambridge, MA: Blackwell Publishers.
Payne, R. (2003), “Informed trade in spot foreign exchange markets: An empirical investigation,” Journal of international economics, 61, 307-329.
Perraudin, W. and P. Vitale (1995), Interdealer trade and information flows in a decentralized foreign exchange market. In: Frankel, J. A., G. Galli and A. Giovannini (Eds.), The Microstructure of Foreign Exchange Market. The University of Chicago Press, Illinois.
Sapp, S. G. (2002), “Price leadership in the spot foreign exchange market,” Journal of Financial and Quantitative Analysis, 37, 425-448.
Sentana, E. and S. Wadhwani (1992), “Feedback traders and stock return autocorrelations: evidence from a century of daily data,” The Economic Journal, 415-425.
Stoll, H. R. (1978), “The supply of dealer services in securities markets,” Journal of Finance, 33, 1133-1151.
Stoll, H. R. (1989), “Inferring the components of the bid-ask spread: Theory and empirical tests,” Journal of Finance, 44, 115-134.
Stoll, H. R. and R. Whaley (1990), “Stock market structure and volatility,” Review of Financial Studies, 3, 37-71.
Tong, H. (1983), “Threshold models in nonlinear time series analysis,” Springer-Verlag, New York.
Tsay, R. S. (1998), “Testing and modeling multivariate threshold models,” Journal of the American Statistical Assocation, 93, 1188-1202.
Wang, J. X. (2001), “Quote revision and information flow among foreign exchange dealers,” Journal of International Financial Markets, 11, 115-136.
Wei, S. J. (1994), “Anticipations of foreign exchange volatility and bid-ask spreads,” NBER Working Paper, no. 4737, May.
Yao, J. (1998), “Market marking in the interbank foreign exchange market,” New York University Salomon Center Working Paper S-98-3.
Zhou, B., (1996), “High-frequency data and volatility in foreign exchange Rates,” Review of Financial Studies, 4, 417-44.
第三部分
Abhyankar, A. (1995), “Trading-round-the clock: Return, volatility, and volume spillovers in the Eurodollar futures market,” Pacific-Basin Finance Journal, 3, 75-92.
Admati, A. and P. Pfleiderer (1988), “A theory of intraday patterns: Volume and price variability,” Review of Financial Studies, 1, 3-40.
Andersen, T. (1996), “Return volatility and trading volume: An information flow interpretation of stochastic volatility,”Journal of Finance, 51, 169-204.
Andersen, T. and T. Bollerslev (1997), “Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns,” Journal of Finance, 52, 975-1005.
Bekaert, G. and G. Wu (2000), “Asymmetric volatility and risk in equity markets,” The Review of Financial Studies, 13, 1-42.
Bessembinder, H. and R. J. Seguin (1993), “Price volatility, trading volume, and market depth: Evidence from futures markets,” Journal of Financial and Quantitative Analysis, 28, 21-39.
Black, F. (1976), “Studies of stock price volatility change,” In: Proceedings of the meetings of the American Statistical Association, Business and Economics section. Chicago, pp. 177-181.
Blume, L., D. Easley and M. O’Hara. (1994), “Market statistics and technical analysis: The role of volume,” Journal of Finance, 53, 153-181.
Bollerslev, T. (1986), “Generalized autoregressive conditional heteroskedasticity,” Journal of Economics, 31, 307-327.
Bollerslev, T. (1987), “A conditionally heteroskedastic time series model for speculative prices and rates of return,” Journal of Economics, 31, 307-327.
Bollerslev, T., R.Y. Chou and K. F. Kroner (1992), “ARCH modeling in finance,” Journal of Econometrics, 52, 50-59.
Bollerslev, T. and I. Domowitz (1993), “Trading patterns and prices in the interbank foreign exchange market,” Journal of Finance, 48, 1421-1444.
Bollerslev, T. and D. Jubinski, (1999), “Equity trading volume and volatility: Latent information arrivals and common long-run dependencies,” Journal of business and Economic Statistics, 48, 1421-1444.
Brooks, C. (1996), “Testing for non-linearity in daily pound exchange rate” Applied Financial Economics, 6, 307-317.
Brooks, C. (1998), “Predicting stock market volatility: Can market volume help？” Journal of Forecasting, 17, 59-80.
Brailsford, T. (1996), “The empirical relationship between trading volume, returns, and volatility” Accounting and Finance, 35, 89-111.
Campbell, J. Y. and L. Hentschel (1992), “No news is good news: An asymmetric model of changing volatility in stock returns,” Journal of Financial Economics, 31, 281-318.
Clark, P. K. (1973), “A subordinated stochastic process model with finite variance for speculative prices,” Econometrica, 41, 136-155.
Chappell, D., J. Padmore, P. Mistry and C. Ellis (1996), “A threshold model for the French Franc/Deutschmark exchange rate” Journal of Forecasting, 15, 155-164.
Chan K. C., H. G. Fung and W.K. Leung (2004), “Daily volatility behavior in Chinese futures markets,” Journal of international financial markets institutions and money, 14, 491- 505.
Chang, Y. and S. Taylor (2003), “Information arrivals and intraday exchange rate volatility,” Journal of international financial markets institutions and money, 13, 85-112.
Chen, C. W., T. C. Chiang and M. K. So (2001), “Asymmetrical relation to US stock-return news: Evidence from major stock markets based on a double-threshold,” Journal of Economics and Business, 55, 487-502.
Christie, A. (1982), “The stochastic behavior of common stock variances: value, leverage and interest rates effects,” Journal of Financial Economics, 10, 407-432.
Copeland, T. (1976), “A model of asset trading under the assumption of sequential information arrival” Journal of Finance, 31, 1149-1168.
Cox, J. C. and S. A. Ross (1976), “The valuation of options for alternative stochastic processes,” Journal of Financial Economics, 3, 145-166.
Darrat, A., F. S. Rahman and M. Zhong (2003), “Intraday trading volume and return volatility of the DJIA stock: A note,” Journal of Banking and Finance, 27 , 2035-2043.
Deb, P. (1996), “Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of EGARCH models,” Econometric Reviews, 15, 51-68.
Diebold, F. (1986), “Comment - on the modeling of the persistent of conditional variance,” Econometric Reviews, 5, 51-56.
Ding, D. and C. Charoenwong. (2003), “Bid–ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts,” Journal of Futures Markets, 23, 455-486.
Dueker, M. (1997), “Markov switching in GARCH processes and mean-reverting stock volatility,” Journal of Business, Economics and Statistics, 15, 26-34.
Epps, T. W. and M. L. Epps (1976), “The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of-distributions hypothesis,” Econometrics, 44, 305-242.
Easley, D. and M. O’Hara (1990), “The process of price adjustment in securities markets,” (Working Article). Ithaca, NY: Cornell University.
Engel, R. F. (1982), “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation,” Econometrica, 50, 987-1007.
Engel, R. F. (1993), “Statistical models for financial volatility,” Financial Analysts Journal, 15, 72-78.
Foster, A. J. (1995), “Volume-volatility relationships for crude oil futures markets,” Journal of Futures markets, 15, 929-951.
Foster, F. D. and S. Viswanathan (1990), “A theory of intraday variations in volume, variances, and trading cost in securities market” Review of Financial Studies, 3, 593-624.
Foster, F. D. and S. Viswanathan (1995), “Can speculative trading explain the volume-volatility relation？,” Journal of Business and Economic Statistics, 13, 379-396.
Gallant, A., D. Hsieh and G. Tauchen (1997), “Estimation of stochastic volatility models with diagnostics,” Journal of Econometrics, 81, 159-192.
Gallo, G. and B. Pacini (2000), “The effects of trading activity on market volatility,” European Journal of Finance, 6, 163-175.
Goodhart, C. A., S. G. Hall, S.G., Henry and B. Pesaran (1993), “News effects in high-frequency model of the Sterling-Dollar exchange rate” Journal of Applied Econometrics, 8, 1-13.
Goodhart, C. A. and O’Hara, M. (1997), “High frequency data in financial markets: Issues and applications,” Journal of Financial Economics, 4, 73-114.
Harris, L. (1987), “Transaction data tests of the mixture of distributions hypotheses,” Journal of Financial and Quantitative Analysis, 22, 127-142.
Harris, M. and A. Raviv (1993), “Difference of opinion make a horse race,” Review of financial Studies, 6, 473-506.
Hentschel, L. (1995), “All in the family nesting symmetric and asymmetric GARCH models,” Reviews of Financial Economic, 39, 71-104.
Hsieh, D. A. (1991), “Chaos and nonlinear dynamics: Aapplication to financial markets,” Journal of Finance, 46, 1839-1877.
Hsieh, D. A. (1993), “Implications of nonlinear dynamics for financial risk management,” Journal of Financial and Quantitative Analysis, 28, 41-64.
Hwang, S. Y. and M. J. Woo (2001), “Threshold ARCH (1) processes: Asymptotic inference,” Statistics and Probability Letters, 53, 11- 20.
Ito, T., R. K. Lyons and M. T. Melvin (1998), “Is there private information in the FX market？the Tokyo experiment,” Journal of Finance, 50, 1111-1130.
Jennings, R. H., L. T. Starks and J. C. Fellingham (1981), “An equilibrium model of asset trading with sequential information arrival,” Journal of Finance, 36, 143-161.
Jones, C. M., G.. Kaul and M. L. Lipson (1994), “Transaction, volume and volatility,” Reviews of Fiancial Studeies, 7, 631-651.
Kalev. P., W. Liu and P. Pham (2004), “Public information arrival and volatility of intraday stock returns,” Journal of Banking and Finance, 28, 1441-1467.
Lamoureux, C. and W. Lastrapes (1990), “Heteroscedasticity in stock return data: Volume versus GARCH effects,” Journal of Finance, 45, 221-229.
Lamoureux, C. and W. Lastrapes (1994), “Endogenous trading volume and momentum in stock-return volatility,” Journal of Business and Economic Statistics, 12, 253-260.
Li . C. W. and W. K. Li (1996), “On a double-threshold autoregressive heteroscedastic time series model” Journal of Applied Econometrics, 11, 253-274.
Locke, P. R. and C. L. Sayers (1993), “Intraday futures price volatility: Information effects and variance persistence,” Journal of Applied Econometrics, 8, 15-30.
Mahieu, R. and R. Bauer (1998), “A Bayesian analysis of stock return volatility and trading volume,” Applied Financial Economics, 8, 671-687.
Meyer, J. and R. H. Rasche (1992), “Sufficient conditions for expected utility to imply mean-standard deviation rankings: Empirical evidence concerning the location and scale condition,” Economic Journal, 102, 91-106.
Muller, U. A., M. M. Dacorogna, R. D. Dave, R. B. Olsen, O. V. Pictet and J. E. Weizsacker (1997), “Volatilities of different time resolutions – analyzing the dynamics of market components ,” Journal of Empirical Finance, 4, 213-239.
Najand, M. and K. Yung (1991), “A GARCH examination of the relationship between volume and price variability,” Journal of Futures markets, 11, 613-621.
Nelson, D. B. (1991), “Conditional heteroskedasticity in asset returns: A new approach,” Econometrica, 59, 323-370.
Omran, M. and E. McKenzie (2000), “Heteroscedasticity in stock return data: Volume versus GARCH effects,” Applied Financial Economics 10, 553-560.
Pyun, C., S. Lee and K. Nam (2000), “Volatility and information flows in emerging equity markets: A case of the Korean stock exchange ,” International Review of Financial Analysis, 9, 405-420.
Rabemanjara, R. and J. M. Zakoian (1993), “Threshold ARCH model and asymmetries in volatility,” Journal of Applied Economics 8, 31-49.
Ragunathan, V. and A. Peker (1997), “Price variability, trading volume, and market depth: Eevidence from the Australian futures market,” Applied Financial Economics 7, 447-454.
Ross, S. A. (1989), “Information and volatility: the no-arbitrage martingale approach to timing and resolution irrelevancy,” The Journal of Finance, 44, 1-17.
Sercu, P., R. Uppal and C. Van Hulle (1995), “Non-linear aspects of goods-market arbitrage and adjustment: implications for tests of purchasing power parity,” Journal of Finance, 50, 1309-1319.
Scheinkman, J. and B. LeBaron (1989), “Nonlinear dynamics and stock return,” Journal of Business, 62, 311-337.
Schleifer, A. (2000), “Inefficient markets: An introduction to behavioural finance,” Oxford: Oxford university Press.
Stoll, H. R. and R. E. Whaley (1990a), “Stock market structure and volatility,” Review of Financial Studies, 3, 37-71.
Stoll, H. R. and R. E. Whaley (1990b), “The dynamics of stock index and stock index futures returns,” Journal of Financial and Quantitative Analysis, 25, 441-468.
Tauchen, G. and M. Pitts (1983), “The price variability-volume relationship on speculative markets,” Econometrica, 51, 485-505.
Tong, H. (1990), “Non-linear time series: a dynamic system approach”, Oxford university Press, Oxford.
Tsay, R. S. (2000), “Analysis of financial time series,” John Wiley and Sons
Tse, Y. (1999),”Market microstructure of FT-SE 100 index futures: an intraday empirical analysis”, Journal of Futures Markets, 1, 31-58.
Tse, Y. and A. K. Tsui (1997),”Conditional volatility in foreign exchange rates: evidence form the Malaysian ringgit and Singapore dollar”, Pacific-Basin Finance journal, 5, 345-356.
Wang, K., C. B. Barrett and J. McDonald (2001), “A flexible parametric GARCH model with an application to exchange rates,” Journal of Applied Econometrics, 16, 521-536.
Wang, K., F. Chris and C. B Barrett (2002), “An assessment of empirical model performance when financial market transactions are observed at different date frequencies: An application to East Asian exchange rates,” Review of Quantitative Finance and Accounting, 19, 111-129.
Yadav, P. K., P. F. Pope and K. Paudyal, (1994), “Threshold autoregressive modeling in finance: The price differences of equivalent assets,” Mathematical Finance, 4, 205-221.
Zhou, B. (1996), “High-frequency data and volatility in foreign exchange rates,” Review of Financial Studies, 4, 417-441.
Zakoian, J. M. (1994), “Threshold heteroskedastic models,” Journal of Economic Dynamics and Control, 18, 931-995.