| 期刊論文| 1. | Stoll, Hans R.、Ho, Thomas S. Y.(1981)。Optimal Dealer Pricing under Transactions and Return Uncertainty。Journal of Financial Economics，9(1)，47-73。   | | 2. | Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。The Journal of Finance，47(2)，577-605。 | | 3. | Black, F.(1975)。The Fact and Fantasy in the Use of Options。Financial Analysts Journal，31(4)，36-41+61-72。 | | 4. | Stephan, J. A.、Whaley, R. E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance，45(1)，191-220。 | | 5. | Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets，16(4)，353-387。 | | 6. | Vijh, Anand M.(1990)。Liquidity of the CBOE Equity Options。Journal of Finance，45(4)，1157-1179。 | | 7. | Amihud, Y.、Mendelson, H.(1986)。Asset pricing and the bid-ask spread。Journal of Financial Economics，17(2)，223-249。 | | 8. | Damodaran, A.、Lim, J.(1991)。The effects of option listing on the underlying stocks' return processes。Journal of Banking & Finance，15，647-664。 | | 9. | Detemple, J.、Selden, L.(1991)。A General Equilibrium Analysis of Option and Stock Market Interactions。International Economic Review，32(2)，279-303。 | | 10. | Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies，4(1)，17-51。 | | 11. | Manaster, S.、Rendleman, R. J. Jr.(1982)。Option Prices as Predictors of Equilibrium Stock Prices。Journal of Finance，37(4)，1043-1057。 | | 12. | Johnson, Herb、Chung, Y. Peter、Chan, Kalok(1993)。Why option prices lag stock prices: A trading-based explanation。Journal of Finance，48，1957-1967。 | | 13. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis，25(4)，441-468。 | | 14. | Bhattacharya, M.(1987)。Price Changes of Related Securities: The Case of Call Options and Stocks。Journal of Financial and Quantitative Analysis，22(1)，1-15。 | | 15. | Easley, David、O'Hara, Maureen、Srinivas, P. S.(1998)。Option volume and stock prices: Evidence on where informed traders trade。Journal of Finance，53(2)，431-465。 | | 16. | Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics，19(1)，69-90。 | | 17. | Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。 | | 18. | Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics，82(1)，33-53。 | | 19. | 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。 | | 20. | Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica，53(6)，1315-1335。 | 學位論文| 1. | 邱敬貿(2006)。台灣股票市場日內市場深度與股價行為之研究(碩士論文)。東海大學。 延伸查詢 | 圖書| 1. | O'Hara, Maureen(1995)。Market Microstructure Theory。Cambridge, Massachusetts：Basil Blackwell Publisher Inc.。 | 其他| 1. | 吳曉松(2006)。資訊不對稱下，股票與選擇權知訊交易策略之研究。 延伸查詢 | | 2. | 紀旻初(2004)。長期私有訊息揭露--現貨與期貨雙市場模型。 延伸查詢 | | 3. | 章昇達(2004)。台指選擇權對台灣現貨市場與期貨市場資訊不對稱的影響。 延伸查詢 | | 4. | Anthony,J. H.(1988)。The Interrelation of Stock & Option Market Trading- Volume Data。 | | 5. | Chowdhry, B. & Nanda, Y.(1991)。Multi-Market Trading and Market Liquidity。 | | 6. | Conrad, J.(1989)。The price effects of option introduction。 | | 7. | Detemple, J. & Jorion, P.(1990)。Option listing and stock returns。 | | 8. | Garman, M.(1976)。Market Microstructure。 | | 9. | Handa, P. ; Schwartz, R. A. ; Tiwari, A.(1998)。The ecology of an order-driven market。 | | 10. | Harris, M. & Raviv, A.(1993)。Differences of Opinion Make a Hose Race。 | | 11. | Mayhew, S. ; Sarin, A. ; Shastri, K.(1995)。The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements。 | | 12. | O'Hara, M. & Oldfield, G.(1986)。The Microeconomics of Market Making。 | | 13. | Sheikh, A. M. & Ronn, E. I.(1994)。A characterization of the daily and intraday behavior of returns on options。 | | 14. | Srinivas, P. S.(1993)。Trade size and the information content of option trades。 | | 15. | Vijh, Anand M.(1988)。Potential biases from using only trade prices of related securities on different exchanges。 | |