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題名:臺灣證券市場委託單失衡方向之推導及實證
書刊名:財務金融學刊
作者:胡星陽 引用關係詹場 引用關係
作者(外文):Hu, Shing-yangChan, Chang
出版日期:2008
卷期:16:1
頁次:頁19-63
主題關鍵詞:委託單失衡分盤競價臺灣證券市場淨委託量Order imbalanceCall auctionTaiwan stock marketNet order
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(2) 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:2
  • 共同引用共同引用:8
  • 點閱點閱:35
期刊論文
1.Chordia, T.、Subrahmanyam, A.(2004)。Order Imbalance and Individual Stock Returns: Theory and Evidence。Journal of Financial Economics,72,485-518。  new window
2.Huang, Roger D.、Stoll, Hans R.(1994)。Market Microstructure and Stock Return Predictions。Review of Financial Studies,7,179-213。  new window
3.Hasbrouck, J.、Seppi, D. J.(2001)。Common Factors in Prices, Order Flows, and Liquidity。Journal of Financial Economics,59(3),383-411。  new window
4.Lauterbach, B.、Ben-Zion, U.(1993)。Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence。Journal of Finance,48(5),1909-1925。  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.Lee, Charles M. C.(1992)。Earnings News and Small Traders, an Intraday Analysis。Journal of Accounting & Economics,15(2-3),265-302。  new window
7.Brown, P.、Walsh, D.、Yuen, Andrea(1997)。The Interaction between Order Imbalance and Stock Price。Pacific-Basin Finance Journal,5(5),539-557。  new window
8.Hasbrouck, Joel(1988)。Trades, Quotes, Inventories and Information。Journal of Financial Economics,22(2),229-252。  new window
9.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
10.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
11.Chan, Kalok、Fong, Wai-Ming(2000)。Trade Size, Order Imbalance, and the Volatility-volume Relation。Journal of Financial Economics,57(2),247-273。  new window
12.Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity and market returns。Journal of Financial Economics,65(1),111-130。  new window
13.劉玉珍、周行一、潘璟靜(19961000)。臺灣股市價格限制與交易行為。中國財務學刊,4(2),41-60。new window  延伸查詢new window
14.Blume, Marshall E.、Mackinlay, A. Craig、Terker, Bruce(1989)。Order imbalances and stock price movements on October 19 and 20, 1987。Journal of Finance,44(4),827-848。  new window
15.Scharfstein, David S.、Stein, Jeremy C.(1990)。Herd Behavior and Investment。The American Economic Review,80(3),465-479。  new window
16.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
17.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
18.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
19.劉玉珍、Liu, Y. J.(1997)。Periodic market closure and order imbalances。Global Finance Journal,8,95-111。  new window
20.Jakob, K.、Ma., T.(2003)。Order Imbalance on Ex-dividend Days。Journal of Financial Research,26,65-75。  new window
21.Kraus, A.、Stoll, H.(1972)。Price Impacts of Block Trading on New York Stock Exchange。Journal of Finance,27,569-588。  new window
22.Madhavan, A.、Smidt, S.(1993)。An Analysis of Changes in Specialist Inventories and Quotations。Journal of Finance,48,1595-1628。  new window
23.Hirshleifer, D.、Subrahmanyam, A.、Titman, S.(1994)。Security Analysis and Trading Pattems when Some Investors Receive Information before Others。Journal of Finance,49,1665-1698。  new window
24.詹場、胡星陽、陳建宏(2004)。臺灣證券市場揭示狀態之資訊涵量。證券市場發展季刊,15(4),1-36。new window  延伸查詢new window
25.詹場、胡星陽(2005)。臺灣證券市場日內交易資料之揭露及特性分析。證券市場發展季刊,17(3),89-118。new window  延伸查詢new window
學位論文
1.張繼聖(1995)。臺灣股市買賣壓力方法之實證研究,0。  延伸查詢new window
 
 
 
 
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