| 期刊論文1. | Bloomfield, R.、O'Hara, M.、Saar, G.(2005)。The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity。Journal of Financial Economics,75(1),165-199。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Anand, A.、Chakravarty, S.、Martell, T.(2005)。Empirical Evidence on the Evolution of Liquidity: Choice of Market Versus Limit Orders by Informed and Uninformed Traders。Journal of Financial Markets,8,289-309。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Smith, B. F.、Alasdair, D.、Turnbull, S.、White, R. W.(2001)。Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effect。The Journal of Finance,56(5),1723-1746。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Flood, M. D.、Huisman, R.、Koedijk, K. G.、Mahieu, R. J.(1999)。Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets。Review of Financial Studies,12,37-60。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Keim, D.、Madhavan, A.(1997)。Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades。Journal of Financial Economics,46(3),265-292。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Bertsimas, D.、Lo, A. W.(1998)。Optimal Control of Execution Costs。Journal of Financial Markets,1(1),1-50。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Sadhana, Alangar、Bathala, Chenchuramaiah T.、Rao, Ramesh P.(1999)。The Effect of Institutional Interest on the Information Content of Dividend-Change Announcements。Journal of Financial Research,22,429-447。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Ma, Tai、Lin, Yaling、Chen, Hsiu-Kuei(2008)。Are Investors More Aggressive in Transparent Markets?。Asia-Pacific Journal of Financial Studies,37(2),343-380。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2000)。Commonality in Liquidity。Journal of Financial Economics,56(1),3-28。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Back, Kerry、Cao, C. Henry、Willard, Gregory A.(2000)。Imperfect Competition Among Informed Traders。Journal of Finance,55(5),2117-2155。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | 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) | 12. | Boehmer, Ekkehart、Saar, Gideon、Yu, Lei(2005)。Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE。Journal of Finance,60(2),783-815。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | 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) | 14. | Foster, Douglas、Viswanathan, Sathish(1996)。Strategic Trading When Agents Forecast the Forecasts of Others。Journal of Finance,51(4),1437-1478。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Griffiths, Mark D.、Smith, Brian F.、Turnbull, D. Alasdair S.、White, Robert W.(2000)。The Costs and the Determinants of Order Aggressiveness。Journal of Financial Economics,56(1),65-88。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Madhavan, Ananth(1996)。Security Prices and Market Transparency。Journal of Financial Intermediation,5(3),255-283。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | Madhavan, Ananth、Porter, David、Weaver, Daniel(2005)。Should securities markets be transparent?。Journal of Financial Markets,8(3),265-287。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 18. | Pagano, Marco、Röell, Ailsa(1996)。Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading。Journal of Finance,51(2),579-611。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 19. | Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 20. | Chakravarty, Sugato(2001)。Stealth-trading: Which traders' trades move stock prices?。Journal of Financial Economics,61(2),289-307。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 21. | 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) | 22. | 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) | 23. | Aitken, M. J.、Berkman, H.、Mak, D.(2001)。The Use of Undisclosed Limit Orders on the Australian Stock Exchange。Journal of Banking and Finance,25,1589-1603。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 24. | Conrad, J.、Johnson, K. M.、Wahal, S.(2003)。Institutional Trading and Alternative Trading Systems。Journal of Financial Economics,70,99-134。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 25. | Anand, A.、Weaver, D. G.(2004)。Can Order Exposure Be Mandated?。Journal of Financial Markets,7(4),405-426。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 26. | Baruch, S.(2005)。Who Benefits from an Open Limit-Order Book?。Journal of Business,78(4),1267-1306。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 27. | Bloomfield, R.、O’Hara, M.(2000)。Can Transparent Market Survive。Journal of Financial Economics,55,425-459。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 28. | Bortoli, L.、Frino, A.、Jarnecic, E.、Johnstone, D.(2006)。Limit Order Book Transparency, Execution Risk and Market Liquidity。The Journal of Futures Markets,26,1147-1167。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 29. | Chung, K. H.、Chuwonganant, C.(2009)。Transparency and Market Quality。Evidence from Super Montage,18(1),93-111。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 30. | Comerton-Forde, C.、Rydge, J.(2006)。The Current State of Asia-Pacific Stock Exchange: A Critical Review of Market Design。Pacific-Basin Finance Journal,15,18-35。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 31. | Lee, Y. T.、Liu, Y. J.、Wang, J. Y.、Chen, W. J.、Lai, W. H.(2009)。Limit Order Book Transparency and Market Quality。Review of Securities and Futures Markets,21(1),51-86。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 32. | Friedman, D.(1993)。Privileged Traders and Asset Market Efficiency: A Laboratory Study。Journal of Financial and Quantitative Analysis,28,515-534。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 33. | Madhavan, A.(2000)。Market Microstructure。A Survey,205-258。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 34. | Huang, Y. C.、Chen, P. L.、Cheng, Y. J.(2007)。The Impact of New Trading Rules on Market Performance: The Case of Taiwan Stock Exchange。Review of Securities and Futures Markets,19(2),153-190。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 35. | Jones, C. M.、Lipson, M. L.(1999)。Execution Costs of Institutional Equity Orders。Journal of Financial Intermediation,8,123-140。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 36. | Perold, A.(1988)。The Implementation Shortfall: Paper versus Reality。Journal of Portfolio Management,14,4-9。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 37. | Szewczyk, S.、Tsetsekos, G.、Varma, R.(1992)。Institutional Ownership and the Liquidity of Common Stock Offerings。The Financial Review,27,211-225。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 38. | Wagner, W. H.、Edwards, M.(1993)。Best Execution。Financial Analysts Journal,49,65-71。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 39. | Wu, C.、Zhang, W.(2002)。Trade Disclosure, Information Learning and Securities Market Performance。Review of Quantitative Finance and Accounting,18,21-38。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Al-Suhaibani, M.、Kryzanowski, L.(2001)。Limit vs. Market Order Trading on the Saudi Stock Market。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Gerke,W.、Arneth, S.、Bosch, R.、Syha, C.(1997)。Open and Closed Order Book and Its Effect on Liquidity and Volatility-Market Microstructure of Stock Exchanges in Experiments and in the Neuer Market。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Pardo, A.、Pascual, R.(2003)。On the Hidden Side of Liquidity。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Pascual, R.、Veredas, D.(2008)。What Pieces of Limit Order Book Information Matter in Explaining the Behavior of Aggressive and Patient Traders?。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Cao, C.、Hansch, O.、Wang, X.(2007)。The Informational Content of an Open Limit Order Book。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Cao, C.、Hansch, O.、Wang, X.(2008)。Order Placement Strategies in a Pure Limit Order Book Market。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Dennis, P.、Weston, J.(2001)。Who’s Informed: An Analysis of Information and Ownership Structure。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Gajewski, J. F.、Gresse, C.(2003)。Trading Cost Analysis: A Comparison of Euronext Paris and the London Stock Exchange。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | O'Hara, Maureen(1995)。Market Microstructure Theory。Cambridge, Massachusetts:Basil Blackwell Publisher Inc.。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |
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