期刊論文| 1. | Griffiths, M. D.、Smith, B. F.、Turnbull, D. A.、White, S. R. W.(2000)。The costs and determinants of order aggressiveness。Journal of Financial Economics，56，65-88。   |
| 2. | Huang, Roger D.、Stoll, Hans R.(1994)。Market Microstructure and Stock Return Predictions。Review of Financial Studies，7，179-213。 |
| 3. | Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies，3(1)，37-71。 |
| 4. | Hasbrouck, J.、Seppi, D. J.(2001)。Common Factors in Prices, Order Flows, and Liquidity。Journal of Financial Economics，59(3)，383-411。 |
| 5. | Gorton, Gary B.、Pennacchi, George G.(1993)。Security baskets and index-linked securities。Journal of Business，66(1)，1-27。 |
| 6. | Foster, F. Douglas、Viswanathan, S.(1990)。A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets。Review of Financial Studies，3(4)，593-624。 |
| 7. | Gerety, M. S.、Mulherin, J. H.(1992)。Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close。The Journal of Finance，47，1765-1784。 |
| 8. | Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。The Journal of Finance，47(2)，577-605。 |
| 9. | Brown, P.、Walsh, D.、Yuen, Andrea(1997)。The Interaction between Order Imbalance and Stock Price。Pacific-Basin Finance Journal，5(5)，539-557。 |
| 10. | Chan, Kalok、Chung, Y. Peter、Johnson, Herb(1995)。The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options。Journal of Financial and Quantitative Analysis，30(3)，329-346。 |
| 11. | Mitchell, Mark L.、Mulherin, J. H.(1994)。The impact of public information on the stock market。Journal of Finance，49(3)，923-950。 |
| 12. | Berry, Thomas D.、Howe, Keith M.(1994)。Public information arrival。Journal of Finance，49(4)，1331-1346。 |
| 13. | Hasbrouck, Joel(1988)。Trades, Quotes, Inventories and Information。Journal of Financial Economics，22(2)，229-252。 |
| 14. | Shalen, Catherine T.(1993)。Volume, volatility, and the dispersion of beliefs。Review of Financial Studies，6(2)，405-434。 |
| 15. | Amihud, Y.、Mendelson, H.(1990)。Volatility, Efficiency and Trading: Evidence From the Japanese Stock Market。The Journal of Finance，46(5)，1765-1789。 |
| 16. | McInish, T. H.、Wood, R. A.(1992)。An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks。The Journal of Finance，47(2)，753-764。 |
| 17. | Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies，1(1)，3-40。 |
| 18. | Seguin, Paul J.、Bessembinder, Hendrik、Chan, Kalok(1996)。An Empirical Examination of Information, Differences of Opinion, and Trading Activity。Journal of Financial Economics，40(1)，105-134。 |
| 19. | Chan, Kalok、Fong, Wai-Ming(2000)。Trade Size, Order Imbalance, and the Volatility-volume Relation。Journal of Financial Economics，57(2)，247-273。 |
| 20. | Chow, Edward H.、Lee, Jie-Haun、Shyy, Gang(1996)。Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF。Journal of Banking & Finance，20(10)，1695-1713。 |
| 21. | Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies，4(1)，17-51。 |
| 22. | Amihud, Y.、Mendelson, H.(1987)。Trading Mechanisms and Stock Returns: An Empirical Investigation。The Journal of Finance，42(3)，533-553。 |
| 23. | French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics，17(1)，5-26。 |
| 24. | Andersen, Torben G.(1996)。Return volatility and trading volume: An information flow interpretation of stochastic volatility。Journal of Finance，51(1)，169-204。 |
| 25. | Madhavan, Ananth(1992)。Trading Mechanisms in Securities Markets。Journal of Finance，47(2)，607-642。 |
| 26. | Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。 |
| 27. | Wood, R. A.、McInish, T. H.、Ord, J. K.(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance，40(3)，723-739。 |
| 28. | Lockwood, L. J.、Linn, S. C.(1990)。An Examination of Stock Market Return Volatility During Overnight and Intraday Periods 1964-1989。Journal of Finance，45，591-601。 |
| 29. | Lee, Yi-Tsung、Lin, Ji-Chai、Liu, Yu-Jane(1999)。Trading patterns of big versus small players in an emerging market: An empirical analysis。Journal of Banking & Finance，23(5)，701-725。 |
| 30. | Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society，50(4)，1029-1054。 |
| 31. | Biais, Bruno、Hillion, Pierre、Spatt, Chester(1995)。An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse。Journal of Finance，50(5)，1655-1689。 |
| 32. | Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics，19(1)，69-90。 |
| 33. | Foster, Douglas、Viswanathan, Sathish(1996)。Strategic Trading When Agents Forecast the Forecasts of Others。Journal of Finance，51(4)，1437-1478。 |
| 34. | Harris, Milton、Raviv, Artur(1993)。Differences of Opinion Make a Horse Race。Review of Financial Studies，6(3)，473-506。 |
| 35. | Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, ask and transaction prices in a specialist market with heterogeneously informed traders。Journal of Financial Economics，14(1)，71-100。 |
| 36. | West, Kenneth D.、Newey, Whitney K.(1987)。Hypothesis Testing with Efficient Method of Moments Estimation。International Economic Review，28(3)，777-787。 |
| 37. | White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society，48(4)，817-838。 |
| 38. | Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica，53(6)，1315-1335。 |
| 39. | Copeland, T.、Galai, D.(1983)。Information Effects and the Bid-Ask Spread。The Journal of Finance，38(5)，1457-1469。 |
| 40. | Wood, R. A.、McInish, T. H.(1990)。An Analysis of Transactions Data for the Toronto Stock Exchange: Return Patterns and End-of-the-day Effect。Journal of Banking & Finance，14(2)，441-458。 |
| 41. | Jones, Charles M.、Kaul, Gautam、Lipson, Marc L.(1994)。Information, Trading, and Volatility。Journal of Financial Economics，36，127-154。 |
| 42. | Slezak, S. L.(1994)。A Theory of the Dynamics of Security Returns around Market Closures。The Journal of Finance，49，1163-1211。 |
| 43. | Amihud, Y.、Mendelson, H.、Murgia, M.(1990)。Stock Market Microstructure and Return Volatility。Journal of Banking & Finance，14，423-440。 |
| 44. | Barclay, M. J.、Dunbar, C. G.、Warner, J. B.(1993)。Stealth and Volatility, Whichtrades Move Prices?。Journal of Financial Economics，34，281-306。 |
| 45. | Brock, W. A.、Kleidon, A. W.(1992)。Periodic Market Closure and Trading Volume。Journal of Economic Dynamics & Control，16，451-489。 |
| 46. | Chan, K. C.、Christie, W. G.、Schultz, P. H.(1995)。Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities。The Journal of Business，68，35-60。 |
| 47. | Chang, R. P.、Fukuda, T.、Rhee, S. G.、Takano, M.(1993)。Intraday and Interday Behavior of TOPIX。Pacific-Basin Finance Journal，1，67-95。 |
| 48. | Hasbrouck, J.(1996)。Order Characteristics and Stock Price Evolution an Application to Program Trading。Journal of Financial Economics，41，129-149。 |
| 49. | Ho, Y. K.、Cheung, Y. L.(1991)。Behavior of Intra-Daily Stock Return on an Asian Emerging Market - Hong Kong。Applied Economics，23，957-966。 |