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題名:透明度、資訊內涵及下單策略之實證研究
書刊名:財務金融學刊
作者:林雅玲馬黛 引用關係
作者(外文):Lin, YalingMa, Tai
出版日期:2011
卷期:19:1
頁次:頁1-32
主題關鍵詞:事前透明度限價簿資訊內涵下單策略Pre-trade transparencyLimit order bookInformation contentOrder strategy
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(4) 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:3
  • 共同引用共同引用:0
  • 點閱點閱:31
期刊論文
1.Handa, P.、Schwartz, R.、Tiwari, A.(2003)。Quote Setting and Price Formation in an Order Driven Market。Journal of Financial Markets,6(4),461-489。  new window
2.Seppi, D. J.(1997)。Liquidity Provision with Limit Orders and a Strategic Specialist。Review of Financial Studies,10(1),103-150。  new window
3.Huang, Roger D.、Stoll, Hans R.(1994)。Market Microstructure and Stock Return Predictions。Review of Financial Studies,7,179-213。  new window
4.Kaniel, Ron、Liu, Hong(2006)。So What Orders Do Informed Traders Use?。Journal of Business,79,1867-1913。  new window
5.Lee, Yi-Tsung、Liu, Yu-Jane、Roll, Richard、Subrahmanyam, Avanidhar(2004)。Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange。Journal of Financial and Quantitative Analysis,39(2),327-341。  new window
6.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。  new window
7.Gonzalo, Jesus、Granger, Clive W. J.(1995)。Estimation of Common Long-Memory Components in Cointegrated Systems。Journal of Business and Economic Statistics,13(1),27-35。  new window
8.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
9.Lakonishok, J.、Smidt, S.(1989)。Past Price Changes and Current Trading Volume。Journal of Portfolio Management,15(4),18-24。  new window
10.Harris, L. E.、Panchapagesan, V.(2005)。The Information Content of the Limit Order Book: Evidence from NYSE Specialist Trading Decisions。Journal of Financial Markets,8(1),25-67。  new window
11.Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies,5(2),199-242。  new window
12.Aksu, C.、Gunay, E.(1995)。An Empirical Analysis of the Causal Relationship Between Short Interest and Stock Prices。Journal of Business Finance & Accounting,22(5),733-749。  new window
13.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。  new window
14.Ying, C. C.(1966)。Stock market prices and volumes of sales。Econometrica: Journal of the Econometric Society,34(3),676-685。  new window
15.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
16.Foucault, Thierry(1999)。Order Flow Composition and Trading Costs in A Dynamic Limit Order Market。Journal of Financial Markets,2(2),99-134。  new window
17.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。  new window
18.Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。  new window
19.Harris, Lawrence(1998)。Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems。Financial Market, Institutions and Instruments,7(2),1-76。  new window
20.Parlour, Christine A.(1998)。Price Dynamics in Limit Order Markets。Review of Financial Studies,11(4),789-816。  new window
21.Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。  new window
22.Angle, J.(1994)。Market and Limit Orders。Canadian shareowner,8,18 -20。  new window
23.Cao, C.、Hansch O.、Wang, X.(2009)。The Informational Content of an Open Limit Order Book。Journal of Futures Markets,29,16-41。  new window
24.Chan, K.、Fong, W. M.(2000)。Trade Size。Order Imbalance,57,247-273。  new window
25.Pascual, R.、Veredas, D.(2009)。What pieces of limit order book information matter in explaining the behavior of aggressive and patient traders。Quantitative Finance,9,527-545。  new window
26.Glosten, L.(1994)。Is the Electronic Limit Open Book Inevitable。The Journal of Finance,49(4),1127-1161。  new window
27.Gopinath, S.、Krishnamuthy, C.(2001)。Number of Transactions and Volatility : An Empirical Study Using High-Frequency Data from Nasdaq Stock。The Journal of Financial Research,24(2),205-218。  new window
28.Hollifield, B.、Miller, R. Sandas, P.(2004)。Empirical analysis of limit order markets。Review of Economic Studies,71,1027-1063。  new window
研究報告
1.Al-Suhaibani, M.、Kryzanowski, L.(2001)。Limit vs. Market Order Trading on the Saudi Stock Market。  new window
2.Coppejans, M.、Domowitz, I.(2002)。An Empirical Analysis of Trades, Orders, and Cancellations in a Limit Order Market。  new window
3.Irvine, P.、Benston, G., E.、Kandel E.(2000)。Liquidity Beyond the Inside Spread : Measuring and Using Information in the Limit Order Book。  new window
4.Rock, K.(1996)。The Specialist's Order Book and Price Anomalies。  new window
 
 
 
 
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