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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Amihud, Yakov、Mendelson, Haim(1980)。Dealership Market: Market-making with Inventory。Journal of Financial Economics,8(1),31-53。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Subrahmanyam, Avanidhar、Spiegle, Matthew(1992)。Informed Speculation and Hedging in a Noncompetitive Securities Market。Review of Financial Studies,5,307-329。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Bagehot, Walter(1971)。The Only Game in Town。Financial Analyst Journal,22,12-14。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。Journal of Finance,47,577-605。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Fletcher, Roy A.(1995)。The Role of Information and the Time Between Trades: An Empirical Investigation。Journal of Financial Research,18,239-260。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Garman, Mark B.(1976)。Market Microstructure。Journal of Financial Economics,3(3),257-275。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Harris, Lawrence(1990)。Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator。Journal of Finance,45,579-590。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Jang, Hasung、Venkatesh, P. C.(1991)。Consistency between Predicted and Actual Bid-Ask Quote-Revisions。Journal of Finance,46,433-446。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Laux, Paul A.(1993)。Trade Sizes and Theories of the Bid-Ask Spread。Journal of Financial Research,16,237-249。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Madhavan, Ananth、Smidt, Seymour(1993)。An Analysis of Changes in Specialist Inventories and Quotation。Journal of Finance,48,1595-1628。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Seppi, Duane J.(1992)。Block Trading and Information Revelation around Quarterly Earnings Announcement。Review of Financial Studies,5,281-305。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Seppi, Duane J.(1990)。Equilibrium Block Trading and Asymmetric。Information Journal of Finance,45,73-94。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Hasbrouck, Joel(1988)。Trades, Quotes, Inventories and Information。Journal of Financial Economics,22(2),229-252。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。Journal of Finance,50,1175-1199。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Subrahmanyam, Avanidhar(1991)。Risk Aversion, Market Liquidity, and Price Efficiency。Review of Financial Studies,4(3),417-441。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Harris, Lawrence(1986)。A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns。Journal of Financial Economics,16(1),99-117。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |