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題名:Volume Information in Nikkei and TOPIX Futures Transactions
書刊名:財務金融學刊
作者:Tee, Chyng WenTing, Christopher
出版日期:2017
卷期:25:4
頁次:頁1-43
主題關鍵詞:市場微結構交易量資訊期貨市場Market microstructureVolume informationFutures market
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:0
  • 點閱點閱:6
期刊論文
1.Madhavan, Ananth、Richardson, Matthew、Roomans, Mark(1997)。Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks。Review of Financial Studies,10(4),1035-1064。  new window
2.Barclay, Michael J.、Litzenberger, Robert H.、Warner, Jerold B.(1990)。Private Information, Trading Volume, and Stock-return Variances。The Review of Financial Studies,3,233-254。  new window
3.Stoll, Hans R.(2000)。Presidential Address: Friction。The Journal of Finance,55(4),1479-1514。  new window
4.Barclay, Michael J.、Hendershott, Terrence(2003)。Price discovery and trading after hours。Review of Financial Studies,16(4),1041-1073。  new window
5.Admati, Anat R.、Pfleiderer, Paul(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
6.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16(4),353-387。  new window
7.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
8.Foster, Frederick D.、Viswanathan, S.(1990)。A Theory of Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets。Review of Financial Studies,3,593-624。  new window
9.He, Hua、Wang, Jiang(1995)。Differential Information and Dynamic Behavior of Stock Trading Volume。Review of Financial Studies,8,919-972。  new window
10.Huang, Roger D.、Stoll, Hans R.(1997)。The components of the bid-ask spread: a general approach。The Review of Financial Studies,10,995-1034。  new window
11.Weber, Phillip、Rosenow, Bernd(2006)。Large stock price changes: volume or liquidity?。Quantitative Finance,6(1),7-14。  new window
12.Sadka, Ronnie(2006)。Momentum and Post-Earnings-Announcement Drift Anomalies: the Role of Liquidity Risk。Journal of Financial Economics,80(2),309-349。  new window
13.Roll, Richard(1984)。A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market。Journal of Finance,39(4),1127-1139。  new window
14.Gallant, A. Ronald、Rossi, Peter E.、Tauchen, George(1992)。Stock Prices and Volume。Review of Financial Studies,5,199-242。  new window
15.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。  new window
16.Berkman, Henk、Steenbeek, Onno W.(1998)。The Influence of Daily Price Limits on Trading in NIKKEI Futures。Journal of Futures Markets,18(3),265-279。  new window
17.Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price volatility, trading volume and market depth: Evidence from futures markets。Journal of Financial and Quantitative Analysis,28(1),21-39。  new window
18.Green, T. Clifton(2004)。Economic news and the impact of trading on bond prices。Journal of Finance,59,1201-1234。  new window
19.Jones, Charles M.、Kaul, Gautam、Lipson, Marc L.(1994)。Transactions, volume, and volatility。Review of Financial Studies,7(4),631-651。  new window
20.Biais, Bruno、Glosten, Larray、Spatt, Chester(2005)。Market microstructure: A survey of microfoundations, empirical results, and policy implications。Journal of Financial Markets,8(2),217-264。  new window
21.Barclay, Michael J.、Warner, Jerold B.(1993)。Stealth trading and volatility which trades move prices?。Journal of Financial Economics,34(3),281-305。  new window
22.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
23.O'Hara, Maureen(2015)。High frequency market microstructure。Journal of Financial Economics,116(2),257-270。  new window
24.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
25.Brandt, Michael W.、Kavajecz, Kenneth A.、Underwood, Shane E.(2007)。Price discovery in the Treasury futures market。Journal of Futures Markets,27,1021-1051。  new window
26.Chou, Robin K.、Wang, Yun-Yi(2009)。Strategic order splitting, order choice and order aggressiveness: Evidences from the Taiwan futures exchange。Journal of Futures Markets,29,1102-1129。  new window
27.Garfinkel, Jon A.、Nimalendran, Mahendrarajah(2003)。Market structure and trader anonymity: An analysis of insider trading。Journal of Financial and Quantitative Analysis,38,591-610。  new window
28.Chakravarty, Sugato(2001)。Stealth-trading: Which traders' trades move stock prices?。Journal of Financial Economics,61(2),289-307。  new window
29.Newey, Whitney K.、West, Kenneth D.(1994)。Automatic Lag Selection in Covariance Matrix Estimation。Review of Economic Studies,61(4),631-653。  new window
30.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
31.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
32.Manganelli, Simone(2005)。Duration, volume, and volatility impact of trades。Journal of Financial Markets,8,377-399。  new window
33.Mizrach, Bruce、Neely, Christopher J.(2008)。Information Shares in the US Treasury Market。Journal of Banking and Finance,32,1221-1233。  new window
圖書
1.Hautsch, Nikolaus(2012)。Econometrics of Financial High-Frequency Data。Springer。  new window
2.Maddala, Gangadharrao S.(2010)。Introduction to Econometrics。West Sussex:John Wiley and Sons, Ltd.。  new window
3.Schmidt, Anatoly(2011)。Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies。West Sussex:John Wiley and Sons, Ltd.。  new window
圖書論文
1.Ting, Christopher(2014)。A common measure of liquidity costs for futures and stock exchanges。Handbook of Asian Finance: A Common Measure of Liquidity Costs for Futures and Stock Exchanges。Massachusetts:Elsevier Academic Press。  new window
 
 
 
 
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