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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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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12. | Handa, P.、Schwartz, R. A.、Tiwari, A.(1998)。The ecology of an order-driven market。Journal of Portfolio Management,24(2),47-55。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Kempf, A.、Korn, O.(1999)。Market depth and order size。Journal of Financial Market,2,24-48。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Lee, C. M. C.、Ready, M. J.(1991)。Inferring trade direction from intraday day。Journal of Finance,46,733-746。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Liu, Y. J.(1997)。Periodic market closure and order imbalances。Global Finance Journal,8,95-111。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Tse, Y.(1999)。Market microstructure of FTSE-100 Index Futures: An intraday empirical。Journal of Futures Markets,19,31-58。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Shen, R.、Starr, R. M.(2002)。Market makers, supply and pricing of financial market liquidity。Economics Letters,76,53-58。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity, and market returns。Journal of Financial Economics,65,111-130。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 延伸查詢![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society,50(4),1029-1054。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | 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) |