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題名:臺灣股市之流動性共變現象
書刊名:證券市場發展季刊
作者:謝文良 引用關係林苑宜
作者(外文):Hsieh, Gideon Wen-liangLin, Yuan-yi
出版日期:2012
卷期:24:4=96
頁次:頁135-186
主題關鍵詞:流動性流動性共變買賣價差市場深度臺灣LiquidityLiquidity commonalityBid-ask spreadsDepthsTaiwan
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(5) 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:5
  • 共同引用共同引用:0
  • 點閱點閱:46
Other
1.Hasbrouck, J.; Seppi, D. J.(2001)。Common Factors in Prices, Order Flows, and Liquidity。  new window
期刊論文
1.Watanabe, A.、Watanabe M.(2008)。Time-varying liquidity risk and the cross section of stock returns。Review of Financial Studies,21,2449-2486。  new window
2.Kyle, A. S.(1985)。Continuous Auction and Insider Trading。Econometrica,53,1315-1335。  new window
3.Korajczyk, R. A.、Sadka, R.(2008)。Pricing the Commonality across Alternative Measures of Liquidity。Journal of Financial Economics,87(1),45-72。  new window
4.Brockman, P.、Chung, D. Y.(2002)。Commonality in Liquidity: Evidence from an Order-Driven Market Structure。Journal of Financial Research,25(4),521-539。  new window
5.Brockman, P.、Chung, D. Y., P(2009)。Commonality in Liquidity: A Global Perspective。Journal of Financial Quantitative Analysis,44(4),851-882。  new window
6.Fabre, J.、Frino, A.(2004)。Commonality in Liquidity: Evidence from the Australian Stock Exchange。Accounting and Finance,44(3),357-368。  new window
7.Pukthuanthong-Le, K.、Visaltanachoti, N.(2009)。Commonality in Liquidity: Evidence from the Stock Exchange of Thailand。Pacific-Basin Finance Journal,17(1),80-99。  new window
8.Christie, W. G.、Huang, R. B.(1994)。Market Structures and Liquidity: A Transaction Data Study of Exchange Listings。Journal of Financial Intermediation,3(3),300-326。  new window
9.McInish, T. H.、Wood, R. A.(1992)。An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks。The Journal of Finance,47(2),753-764。  new window
10.Hameed, Allaudeen、Kang, Wenjin、Viswanathan, S.(2010)。Stock market declines and liquidity。Journal of Finance,65(1),257-293。  new window
11.Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2000)。Commonality in Liquidity。Journal of Financial Economics,56(1),3-28。  new window
12.Coughenour, J. F.、Saad, M. M.(2004)。Common Market Makers and Commonality in Liquidity。Journal of Financial Economics,73(1),37-69。  new window
13.Kamara, Avraham、Lou, Xiaoxia、Sadka, Ronnie(2008)。The divergence of liquidity commonality in the cross-section of stocks。Journal of Financial Economics,89(3),444-466。  new window
14.Lee, J. H.、Lin, S. Y.、Lee, W. C.、Tsao, C. Y.(2006)。Common Factors in Liquidity: Evidence from Taiwan's OTC Stock Market。International Review of Financial Analysis,15(4/5),306-327。  new window
15.Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。  new window
16.Domowitz, I.、Glen, J.、Madhavan, A.(2001)。Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time。International Finance,4(2),221-255。  new window
17.Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。  new window
18.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。  new window
19.Pástor, Ľuboš、Stambaugh, Robert F.(2003)。Liquidity Risk and Expected Stock Returns。Journal of Political Economy,111(3),642-685。  new window
20.Brunnermeier, Markus K.、Pedersen, Lasse Heje(2009)。Market Liquidity and Funding Liquidity。Review of Financial Studies,22(6),2201-2238。  new window
21.Brunnermeier, Markus K.(2009)。Deciphering the liquidity and credit crunch 2007-2008。Journal of Economic Perspectives,23(1),77-100。  new window
22.Liu, Weimin(2006)。A Liquidity-Augmented Capital Asset Pricing Model。Journal of Financial Economics,82(3),631-671。  new window
研究報告
1.Zheng, X.、Zhang, Z.(2006)。Commonality in Liquidity in Emerging Markets: Evidence from the Chinese Stock Market。University of Durham。  new window
其他
1.Vayanos, D.(2004)。Flight to Quality,Flight to Liquidity, and the Pricing of Risk,University of Waterloo。  new window
2.Amihud, Y.(2002)。Illiquidity and Stock Return: Cross-section and Time-series Effects。  new window
3.Bauer, W.(2004)。Commonality in Liquidity in Pure Order-driven Markets。  new window
4.Beaupain, R.; Giot, P.; Petitjean, M.(2007)。Liquidity Co-movements, Market Capitalization, and Volatility。  new window
5.Brockman, P.; Chung, D. Y.(2006)。Index Inclusion and Commonality in Liquidity: Evidence from the Stock Exchange of Hong Kong。  new window
6.Brockman, P.; Chung, D. Y.(2008)。Commonality under Market Stress: Evidence from An Order-driven Market。  new window
7.Fong, K.; Gallagher, D. R.; Gardner, P.; Swan, P. L.(2006)。Leading the Herd to Greener Pastures: When Trade Imitation is the Most 'Profitable' form of Flattery。  new window
8.Goyenko, R. Y.; Holden, C. W.; Trzcinka, C. A.(2009)。Do Liquidity Measures Measure Liquidity?。  new window
9.Hsin, C.; Guo, W.; Tseng, S.; Luo, W.(2003)。The Impact of Speculative Trading on Stock Return Volatility: the Evidence from Taiwan。  new window
10.Huberman, G.; Halka, D.(2001)。Systematic Liquidity。  new window
11.Karolyi, G. A.; Lee, K. H.; van Dijk, M. A.(2009)。Commonality in Returns, Liquidity, and Turnover around the World。  new window
12.Kempf, A.; Mayston, D.(2008)。Liquidity Commonality beyond Best Prices。  new window
13.Lai, C.; Lou, K.; Shiu, C.(2008)。Does Foreign Investors Trade Predict Stock Return? Evidence from Taiwan。  new window
14.Lesmond, D. A.(2005)。Liquidity of Emerging Markets。  new window
15.Lustig, H.; Chien, Y.(2005)。The Market Price of Aggregate Risk and the Wealth Distribution。  new window
16.Narayan, P. K.; Zhang, Z.; Zheng, X.(2010)。Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market。  new window
17.Pascual, R.; Escribano, A.; Tapia, M.(2004)。On the Bi-dimensionality of Liquidity。  new window
18.Qin, Y.(2008)。Liquidity and Commonality in Emerging Markets。  new window
19.Shiu, C.; Wu, J. Y.(2009)。Foreign Ownership and Local Market Reaction to Changes of the Constituents in the International Stock Index: Evidence from Additions to and Deletions from MSCI Taiwan index。  new window
20.Sujoto, C.; Kalev, P. S.; Faff, R. W.(2005)。An Examination of Commonality in Liquidity: New Evidence, Long-run Effects and Non-linearities。  new window
 
 
 
 
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