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題名:市場深度、價差與委託單不均衡之關聯分析
書刊名:績效與策略研究
作者:柯美珠蕭慧玲邱敬貿
作者(外文):Ke, Mei-chuShiao, Huey-lingChiu, Jun-mauo
出版日期:2006
卷期:3:2
頁次:頁129-156
主題關鍵詞:市場深度買賣價差委託單不均衡日內型態一般動差估計法Market depthBid-ask spreadOrder imbalance
原始連結:連回原系統網址new window
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  • 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:5
  • 點閱點閱:35
期刊論文
1.Brockman, Paul、Chung, Dennis Y.(1999)。Bid-Ask Spread Components in an Order-Driven Environment。Journal of Financial Research,22(2),227-246。  new window
2.Brennan, Michael J.、Subrahmanyam, Avanidhar(1995)。Investment analysis and price formation in securities markets。Journal of Financial Economics,38(3),361-381。  new window
3.Forster, F.、Viswanathan, S.(1990)。A Theory of Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets。Review of Financial Studies,3(5),593-624。  new window
4.Brock, W. A.、Kleidon, A. W.(1992)。Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks。Journal of Economic Dynamics and Control,16(3/4),451-489。  new window
5.Amihud, Y.、Mendelson, H.(1987)。Trading mechanism and stock returns: An empirical investigation。Journal of Finance,42(3),533-553。  new window
6.Ahn, H. J.、Cheung, Y. L.(1999)。The Intraday Patterns of the Spread and Depth in a Market without Market Maker: The Stock Exchange of Hong Kong。Pacific Basin Finance Journal,7(5),539-556。  new window
7.Admati, A.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Proce Volatility。Review of Financial Studies,1(1),3-40。  new window
8.Abhyankar, A.、Ghosh, D.、Levin, E.、Limmack, R. J.(1997)。Bid-Ask Spread, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange。Journal of Business Finance & Accountings,24(3),343-362。  new window
9.Admati, A.(1989)。A theory of intraday and day of the week mean effects。Review of Financial Studies,2,198-223。  new window
10.Copeland, T. E.、Galai, D.(1983)。Information effects of the bid-ask spread。Journal of Finance,38,1457-1469。  new window
11.Chan, C.、Schultz, P. H.(1995)。Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities。Journal of Business,68(1),35-60。  new window
12.Handa, P.、Schwartz, R. A.、Tiwari, A.(1998)。The ecology of an order-driven market。Journal of Portfolio Management,24(2),47-55。  new window
13.Kumar, R.、Sarin, A.、Shastri, K.(1998)。The impact of options trading on the market quality on the Underlying Security: An empirical analysis。Journal of Finance,53,717-733。  new window
14.Kleidon, A. W.、Werner, I. M.(1996)。Round the clock trading: Evidence from U.K. cross-listed securities。Review of Financial Studies,9,619-664。  new window
15.Kempf, A.、Korn, O.(1999)。Market depth and order size。Journal of Financial Market,2,24-48。  new window
16.Huang, Y. C.(2002)。Trading activity in stock index futures markets: The evidence of emerging markets。Journal of Futures Market,22(12),983-1003。  new window
17.Lee, C. M. C.、Ready, M. J.(1991)。Inferring trade direction from intraday day。Journal of Finance,46,733-746。  new window
18.Lee, C. M. C.、Mucklow, B.、Ready, M. J.(1993)。Spreads, depths, and impact of earnings information: An intraday analysis。Review of Financial Studies,6,345-374。  new window
19.Liu, Y. J.(1997)。Periodic market closure and order imbalances。Global Finance Journal,8,95-111。  new window
20.Wang, G.、Michalski, R.、Jordan, J.、Moriarty, E.(1994)。An intraday analysis of bid-ask spread and price volatility in the S&P 500 index futures market。Journal of Financial Markets,14,837-859。  new window
21.Tse, Y.(1999)。Market microstructure of FTSE-100 Index Futures: An intraday empirical。Journal of Futures Markets,19,31-58。  new window
22.Shen, R.、Starr, R. M.(2002)。Market makers, supply and pricing of financial market liquidity。Economics Letters,76,53-58。  new window
23.Mclnish, T. H.、Wood, R. 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
24.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
25.Foster, F. D.、Viswanathan, S.(1993)。Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models。The Journal of Finance,48(1),187-211。  new window
26.Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity, and market returns。Journal of Financial Economics,65,111-130。  new window
27.黃玉娟、林明白(20030800)。買賣單不平衡、價差和報酬之探討:以臺指期貨在臺灣期貨交易所及新加坡交易所為例。財務金融學刊,11(2),71-98。new window  延伸查詢new window
28.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
29.Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society,50(4),1029-1054。  new window
30.Ahn, Hee-Joon、Bae, Kee-Hong、Chan, Kalok(2001)。Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong。Journal of Finance,56(2),767-788。  new window
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。  new window
32.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
會議論文
1.Chou, R.、Handa, P.(2000)。The response of security markets to order imbalances NYSE vs. Nasdaq。The 8th annual SFM conference,National Sun Yat-sen University 。  new window
研究報告
1.Luo, J.(2001)。Market conditions, order flow and exchange rates determination, department of Accounting and finance and financial markets group。London School of Economics。  new window
圖書論文
1.Lyons, R.(1996)。Foreign exchange volume; Sounds or furry signifying nothing?。The Microstructure of Foreign Exchange Markets。Chicago:University of Chicago Press。  new window
 
 
 
 
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