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Craig、Terker, Bruce(1989)。Order imbalances and stock price movements on October 19 and 20, 1987。Journal of Finance，44(4)，827-848。 | | 20. | Kamesaka, Akiko、Nofsinger, John R.、Kawakita, Hidetaka(2003)。Investment Patterns and Performance of investor Groups in Japan。Pacific-Basin Finance Journal，11(1)，1-22。 | | 21. | Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics，19(1)，69-90。 | | 22. | Grossman, Sanford J.、Stiglitz, Joseph E.(1980)。On the Impossibility of Informationally Efficient Markets。The American Economic Review，70(3)，393-408。 | | 23. | Hiemstra, C.、Jones, J. 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Cai, Y. L. Cheung and F. Wang(2009)。Stock Returns, Order Imbalances, and Commonality: Evidence on Individual, Institutional, and Proprietary Investors in China。 | | 3. | Barber, B. M., T. Odean and N. Zhu(2006)。Do Noise Traders Move Markets?。 | | 4. | Chiao, C., Z. Wang and H. Lai(2006)。Order Submission Behaviors and Opening Price Behaviors in the Taiwan Stock Market。 | | 5. | Cushing, D. and A. Madhavan(2000)。Stock Returns and Trading at the Close。 | | 6. | Ellis, K., R. Michaely and M. O'Hara(2000)。The Accuracy of Trade Classification Rules: Evidence from Nasdaq。 | | 7. | Garman, M.(1976)。Market Microstructure。 | | 8. | Glosten, L. and L. Harris(1988)。Estimating the Component of the Ask-Bid Spread。 | | 9. | Hasbrouck, J. and D. Seppi(2001)。Common Factors in Prices, Order Flows and Liquidity。 | | 10. | Ho, T. and H. Stoll(1983)。The Dynamics of Dealer Markets under Competition。 | | 11. | Hvidkjaer, S.(2008)。Small Trades and the Cross-section of Stock Returns。 | | 12. | Kraus, A. and H. Stoll(1972)。Parallel Trading by Institutional Traders。 | | 13. | Lee, C.(1992)。Earnings News and Small Traders: An Intraday Analysis。 | | 14. | Ma, C. K., R. L. Perterson and R. S. Sears(1992)。Trading Noise, Adverse Selection, and Intra-day Bid-ask Spreads in Futures Markets。 | | 15. | Madhaven, A.(1996)。Securities Prices and Market Transparency。 | | 16. | Marsh, T. A. and K. Rock(1986)。The Transaction Process and Rational Stock Price Dynamics。 | | 17. | Shenoy, C. and Y. J. Zhang(2007)。Order Imbalance and Stock Returns: Evidence from China。 | | 18. | Sias, R. W.(1996)。Volatility and the Institutional Investors。 | | 19. | Sias, R. W.(1997)。Price Pressure and the Rule of Institutional Traders in Closed-end Funds。 | | 20. | Stoll, H.(1978)。The Supply of Dealer Services in Security Markets。 | | 21. | Wong, W. K. and E. Girardin(2007)。Informativeness of Order Flow: the Role of Institutions vs. Individuals。 | |
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