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題名:The Quoting Behavior of a Specialist on the NYSE
書刊名:中山管理評論
作者:chiang, min-hsien 引用關係
出版日期:2005
卷期:13(特刊)
頁次:頁73-104
主題關鍵詞:Bid-ask spreadBid-ask sizeSpecialistMarket microstructure
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:2
  • 點閱點閱:14
期刊論文
1.Foster, F.、Viswanathan, S.(1990)。A theory of the interday variation in volume, variance, and trading costs in securities markets。Review of Financial Studies,3(4),593-624。  new window
2.Amihud, Yakov、Mendelson, Haim(1980)。Dealership Market: Market-making with Inventory。Journal of Financial Economics,8(1),31-53。  new window
3.Subrahmanyam, Avanidhar、Spiegle, Matthew(1992)。Informed Speculation and Hedging in a Noncompetitive Securities Market。Review of Financial Studies,5,307-329。  new window
4.Bagehot, Walter(1971)。The Only Game in Town。Financial Analyst Journal,22,12-14。  new window
5.Admati, Anat R.、Pfleiderer, Paul(1989)。Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects。The Review of Financial Studies,2,189-223。  new window
6.Chiang, Min-Hsien、Lin, Yun(2003)。Investigating the Bid-Ask Spread Components between the NYSE and the CBOE。Advances in Quantitative Finance and Accounting。  new window
7.Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。Journal of Finance,47,577-605。  new window
8.Fletcher, Roy A.(1995)。The Role of Information and the Time Between Trades: An Empirical Investigation。Journal of Financial Research,18,239-260。  new window
9.Garman, Mark B.(1976)。Market Microstructure。Journal of Financial Economics,3(3),257-275。  new window
10.Harris, Lawrence(1990)。Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator。Journal of Finance,45,579-590。  new window
11.Hausman, Jerry A.、Lo, Andrew W.、MacKinlay, A. Craig(1992)。An Ordered Probit Analysis of Transaction Stock Prices。Journal of Financial Economics,31(3),319-379。  new window
12.Jang, Hasung、Venkatesh, P. C.(1991)。Consistency between Predicted and Actual Bid-Ask Quote-Revisions。Journal of Finance,46,433-446。  new window
13.Laux, Paul A.(1993)。Trade Sizes and Theories of the Bid-Ask Spread。Journal of Financial Research,16,237-249。  new window
14.Madhavan, Ananth、Smidt, Seymour(1993)。An Analysis of Changes in Specialist Inventories and Quotation。Journal of Finance,48,1595-1628。  new window
15.Seppi, Duane J.(1992)。Block Trading and Information Revelation around Quarterly Earnings Announcement。Review of Financial Studies,5,281-305。  new window
16.Seppi, Duane J.(1990)。Equilibrium Block Trading and Asymmetric。Information Journal of Finance,45,73-94。  new window
17.Mclnish, Thomas H.、Wood, Robert A.(1990)。A Transactions Data Analysis of the Variability of Common Stock Returns During 1980-1984。Journal of Banking and Finance,14,99-112。  new window
18.Stoll, Hans R.(1989)。Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests。The Journal of Finance,44(1),115-134。  new window
19.Hasbrouck, Joel(1988)。Trades, Quotes, Inventories and Information。Journal of Financial Economics,22(2),229-252。  new window
20.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。Journal of Finance,50,1175-1199。  new window
21.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。  new window
22.Benston, Geroge J.、Hagerman, Robert L.(1974)。Determinants of Bid-Asked Spreads in the Over-The-Counter Market。Journal of Financial Economics,1,353-364。  new window
23.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
24.Chiang, Min-hsien(20010900)。The Information Transmission between the Stock Market and the Options Market--The Case of IBM。中山管理評論,9(特刊),19-47。new window  new window
25.Jain, Prem C.、Joh, Gun-Ho(1988)。The dependence between hourly prices and trading volume。Journal of Financial and Quantitative Analysis,23(3),269-283。  new window
26.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。  new window
27.Subrahmanyam, Avanidhar(1991)。Risk Aversion, Market Liquidity, and Price Efficiency。Review of Financial Studies,4(3),417-441。  new window
28.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
29.Harris, Lawrence(1986)。A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns。Journal of Financial Economics,16(1),99-117。  new window
30.Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。  new window
31.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。  new window
32.Lee, Charles M. C.、Mucklow, Belinda、Ready, Mark J.(1993)。Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis。The Review of Financial Studies,6(2),345-374。  new window
33.Foster, F. D.、Viswanathan, S.(1993)。The effect of public information and competition on trading volume and price volatility。Review of Financial Studies,6(1),23-56。  new window
34.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
35.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
研究報告
1.Cheng, Minder、Madhavan, Ananth(1994)。In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (計畫編號:#94-02)。  new window
學位論文
1.Chareonwong, Charlie(1995)。Essays on the Stock Market Micorstructure: I. An Analysis of Quoted Depths for NYSE and AMEX Stocks; II. Insider Trading and the Bid-Ask Spread(博士論文)。University of Memphis。  new window
圖書
1.Hasbrouck, Joel(1992)。Using the TORQ Database。Stern School of Management, New York University。  new window
 
 
 
 
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