第一篇 縮小買賣升降單位對限價單交易者行為的影響
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Ahn, Hee-Joon, Jun Cai, and Yasushi Hamao, 2001, Changes in Tick Size and Liquidity Provision on the Tokyo Stock Exchange, City University of Hong Kong Working Paper.
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Bacidore, J., 1997, The Impact of Decimialization on Market Quality: An Empirical Investigation of the Toronto Stock Exhang, Journal of Financial Intermediation, 6, 92-120.
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Brockman P. and D. Chung, 1998, Inter- and Intra-Day Liquidity Patterns on the Stock Exchange of Hong Kong, Journal of International Financial Markets Institutions and Money, 8, 277-298.
Chakravarty, Sugato, and Craig W. Holden, 1996, An Integrated Model of Market and Limit Orders, Journal of Financial Intermediation, 4, 213-241.
Chan, K. C., and Hwang, C. Y., 2001, The Impact of Tick Size on the Quality of A Pure Order-Driven Market: Evidence From the Stock Exchange of Hong-Kong, Working paper, Hong Kong University of Science and Technology.
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Chung, K. H. and C. Chuwonganant, 2004, Tick Size, Order Handling Rules, and Trading Costs, Financial Management, 33, 47-62.
Chung, K. H. and C. Chuwonganant, and D. T. McCormick, 2004, Order Preferencing and Market Quality on NASDAQ Before and After Decimalization, Journal of Financial Economics, 71, 581-612.
Chung, K. H. and R. Van Ness, 2001 Order Handling Rules, Tick Size, and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Stocks, Journal of Financial Markets, 4, 143-161.
Chung, K. H., B.Van Ness, and R.Van Ness, 2001, Can the Treatment of Limit Orders Reconcile the Difference in Trading Costs Between NYSE and NASDAQ Issues? Journal of Financial and Quantitative Analysis, 36, 267-86.
Chung, Kee H., Bonnie F. Van Ness, and Robert A. Van Ness, 1999, Limit Orders and the Bid-Ask Spread, Journal of Financial Economics, 53, 255-287.
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Foster, D. F. and S. Viswanathan, 1994, Strategic Trading with Asymmetric Informed Traders and Long-Lived Information, Journal of Financial and Quantitative Analysis, 29, 499-518.
Foucault, T., 1999, Order Flow Composition and Trading Costs in a Dynamic Limit Order Market, Journal of Financial Markets, 2, 99-134.
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Goldstein, M.A. and K.A. Kavajecz, 2000, Eighths, Sixteenths, and Market Depth: Changes in Tick Size on Liquidity Provision on the NYSE, Journal of Financial Economics, 56, 125-149.
Griffiths, M., Smith, B., Turnbull, D., and White, R.W., 2000, The Costs and the Determinants of Order Aggressiveness, Journal of Financial Economics, 56, 65-88.
Handa, P., and Schwartz, R. A., 1996, Limit Order Trading, Journal of Finance, 51, 1835-1860.
Harris, L., 1996, Does a Large Minimum Price Variation Encourage Order Exposure? New York Stock Exchange and University of Southern California Working Paper.
Harris, L. and Hasbrouck, J., 1996, Market versus Limit Orders: the SuperDOT Evidence on Order Submission Strategy, Journal of Financial and Quantitative Analysis, 31, 213-231.
Harris, L., 1991, Stock Price Clustering and Discreteness, Review of Financial Studies, 4(3), 389-415.
Harris, L.,1994, Minimum Price Variations, Discrete Bid -ask Spreads, and Quotation Sizes, Review of Financial Studies, 7, 149-178.
Hasbrouck, J. and R. Schwartz, 1988, Liquidity and Execution Costs in Equity Markets, Journal of Portfolio Management, 14, 10-16.
Hasbrouck, J., 1991, The Summary Informativeness of Stock Trades, an Econometric Analysis, Review of Financial Studies, 4, 571-595.
Jones, C.M. and M.L. Lipson, 2001, Sixteenths, Direct Evidence on Institutional Execution Costs, Journal of Financial Economics, 59, 253-278.
Kandel, E. and Marx, L. M., 1997, Nasdaq Market Structure and Spread Patterns, Journal of Financial Economics, 45, 61-89.
Kavajecz, Kenneth A., 1999, A Specialist''s Quoted Depth and the Limit Order Book, Journal of Finance, 54, 747-771.
Lau, S. T. and McInish, T. H., 1995, Reducing Tick Size on the Stock Exchange of Singapore, Pacific-Basin Finance Journal, 3, 485-96.
Lee, Charles M. -C., Belinda Mucklow, and Mark J. Ready, 1993, Spreads, Depths, and the Impact of Earnings Information: An intraday analysis, Reviews of Financial Studies, 6, 345-374.
Mackinnon, G. and Nemiroff, H., 1999, Liquidity and Tick Size: Does Decimalization Matter? Journal of Financial Research, 22(3), 287-299.
Parlour, Christine A., 1998, Price Dynamics in Limit Order Markets, Review of Financial Studies, 11, 789-816.
Porter, D. C. and D. G. Weaver, 1997, Tick Size and Market Quality, Financial Management, 26 (4), 5-26.
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第二篇 股價日內跳躍行為之探討
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Xin Zhao and Kee H. Chung, 2006, Decimal Pricing and Information-Based Trading: Tick Size and Informational Efficiency of Asset Price, Journal of Business Finance & Accounting, 33(5-6), 753-766.
余明芳,2001,台股指數期貨日內交易型態之研究--摩根台指期貨與台灣指數期 貨之比較,管理評論,20(2),31-53。吳瑞萱,2001,台灣加權股價指數日內動態行為之研究,國立台北大學企業管理學系,研究所碩士論文。
林丙輝、葉仕國,1999,台灣股票價格非連續跳耀變動與條件異質變異之研究,證券市場發展季刊,11(1),61-92。黃玉娟、徐守德,2000,台股指數現貨與期貨日內交易形態之比較,交大管理學報,20(2),149-171。黃鼎能,2001,證實台灣個股日內報酬有強烈的負自我相關性的結果相同,國立中央大學財務管理系,研究所碩士論文。