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題名:Stock Traders' Order Aggressiveness and Investment Performance on the Taiwan Stock Exchange
書刊名:財務金融學刊
作者:林霖洪碧霞林宗岳
作者(外文):Lin, LinHung, Pi-hsiaLin, Chung-yueh
出版日期:2018
卷期:26:1
頁次:頁59-96
主題關鍵詞:投資人類別市場微結構委託單規模委託單提交交易行為Investor typesMicrostructureOrder sizeOrder submissionTrading behavior
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:7
期刊論文
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3.Foucault, Thierry、Kadan, Ohad、Kandel, Eugene(2005)。Limit Order Book as A Market for Liquidity。Review of Financial Studies,18(4),1171-1217。  new window
4.Chou, Robin K.、Wang, Yun-Yi(2009)。Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange。The Journal of Futures Markets,29(12),1102-1129。  new window
5.Bae, Kee-Hong、Jang, Hasung、Park, Kyung Suh(2003)。Traders' Choice between Limit and Market Orders: Evidence from NYSE Stocks。Journal of Financial Markets,6(4),517-538。  new window
6.Bloomfield, Robert、O'Hara, Maureen、Saar, Gideon(2005)。The "make or take" decision in an electronic market: Evidence on the evolution of liquidity。Journal of Financial Economics,75,165-199。  new window
7.Glosten, Lawrence R.(1994)。Is the electronic open limit order book inevitable?。Journal of Finance,49,1127-1161。  new window
8.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 & Quantitative Analysis,39,327-341。  new window
9.Chung, Kee H.、Van Ness, Bonnie F.、Van Ness, Robert A.(1999)。Limit orders and the bid-ask spread。Journal of Financial Economics,53,255-287。  new window
10.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
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12.Banz, Rolf W.(1981)。The Relationship between Return and Market Value of Common Stocks。Journal of Financial Economics,9,3-18。  new window
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15.Duong, Huu Nhan、Kalev, Petko S.、Krishnamurti, Chandrasekhar(2009)。Order Aggressiveness of Institutional and Individual Investors。Pacific-Basin Finance Journal,17(5),533-546。  new window
16.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
17.Ellul, Andrew、Holden, Craig W.、Jain, Pankaj、Jennings, Robert H.(2007)。Order Dynamics: Recent Evidence from the NYSE。Journal of Empirical Finance,14(5),636-661。  new window
18.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
19.Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。  new window
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21.Parlour, Christine A.(1998)。Price Dynamics in Limit Order Markets。Review of Financial Studies,11(4),789-816。  new window
22.Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。  new window
23.Ascioglu, Asli、Comerton-Forde, Carole、McInish, Thomas H.(2011)。Stealth trading: The case of the Tokyo Stock Exchange。Pacific-Basin Finance Journal,19(2),194-207。  new window
24.Anand, Amber、Chakravarty, Sugato、Martell, Terrence(2005)。Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed investors。Journal of Financial Markets,8,288-308。  new window
25.Alexander, Gordon J.、Peterson, Mark A.(2007)。An analysis of trade-size clustering and its relation to stealth trading。Journal of Financial Economics,84,435-471。  new window
26.Agarwal, Sumit、Faircloth, Sheri、Liu, Chunin、Rhee, Ghon(2009)。Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia。Journal of Financial Markets,12,32-53。  new window
27.Admati, Anat R.、Pfleiderer, Paul(1988)。A theory of intraday patterns: Volume and price variability。Review of Financial Studies,1,3-40。  new window
28.Barclay, Michacel J.、Warner, Jerold B.(1993)。Stealth trading and volatility: Which trades move prices?。Journal of Financial Economics,34,281-305。  new window
29.Boyer, Brian H.、Vorkink, Keith(2014)。Stock options as lotteries。The Journal of Finance,69(4),1485-1527。  new window
30.Brennan, Michael J.、Subrahmanyam, Avanidhar(1998)。The determinants of average trade size。Journal of Business,71,1-25。  new window
31.Cao, Charles、Hansch, Oliver、Wang, Xiaoxin(2008)。Order placement strategies in a pure limit order book market。Journal of Financial Research,31,113-140。  new window
32.Chan, Louis K. C.、Lakonishok, Josef(1993)。Institutional trades and intraday stock price behavior。Journal of Financial Economics,33,173-199。  new window
33.Chen, Chun-Nan、Chen, Carl R.、Huang, Ying S.(2014)。Which types of traders and orders profit from futures market trading?。Journal of Derivatives,21,49-62。  new window
34.Cohen, Kalman J.、Maier, Steven F.、Schwartz, Robert A.、Whitcomb, David K.(1981)。Transaction costs, order placement strategy, and existence of the bid-ask spread。Journal of Political Economics,89(2),287-305。  new window
35.Cutler, David M.、Poterba, James M.、Summers, Lawrence H.(1991)。Speculative dynamics。Review of Economic Studies,58,529-546。  new window
36.Duong, Huu Nhan、Kalev, Petko S.(2013)。Anonymity and order submissions。Pacific-Basin Finance Journal,25,101-118。  new window
37.Eraker, Bjørn、Ready, Mark(2015)。Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks。Journal of Financial Economics,115(3),486-504。  new window
38.Foucault, Thierry、Moinas, Sophie、Theissen, Erik(2007)。Does anonymity matter in electronic limit order markets?。Review of Financial Studies,20,1707-1747。  new window
39.Griffiths, Mark D.、Smith, Brian F.、Turnbullc, Alasdair S.、Whited, Robert W.(2000)。The costs and determinants of order aggressiveness。Journal of Financial Economics,56,65-88。  new window
40.Harris, Lawrence(1998)。Optimal dynamic order submission strategies in some stylized trading problems。Financial Markets, Institutions and Instruments,7,1-76。  new window
41.Hung, Pi-Hsia(2016)。Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange。Pacific-Basin Finance Journal,39,124-140。  new window
42.Hung, Pi-Hsia、Chen, An-Sing、Wu, Yun-Lin(2015)。Order aggressiveness, price impact, and investment performance in a pure order-driven stock market。Asia-Pacific Journal of Financial Studies,44,635-660。  new window
43.Keim, Donald B.、Madhavan, Ananth(1996)。The upstairs market for large-block transactions: Analysis and measurement of price effects。Review of Financial Studies,9,1-36。  new window
44.Kelley, Eric K.、Tetlock, Paul C.(2013)。How wise are crowds? Insights from retail orders and stock returns。Journal of Finance,68(3),1229-1265。  new window
45.Kim, Kenneth A.、Limpaphayom, Piman(2000)。Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand。Journal of Financial Markets,3,315-332。  new window
46.Kumar, Alok(2009)。Who gambles in the stock market?。The Journal of Finance,64(4),1889-1933。  new window
47.Menkhoff, Lukas、Osler, Carol L.、Schmeling, Maik(2010)。Limit order submission decision under asymmetric information。Journal of Banking and Finance,34,2665-2677。  new window
48.Moulton, Pamela C.(2005)。You can't always get what you want: Trade-Size clustering and quantity choice in liquidity。Journal of Financial Economics,78(1),89-119。  new window
49.Roşu, Ioanid(2009)。A dynamic model of the limit order book。Review of Financial Studies,22,4601-4641。  new window
50.Seppi, Duane J.(1997)。Liquidity provision with limit orders and a strategic specialist。Review of Financial Studies,10,103-150。  new window
51.Wald, John K.、Horrigan, H. T.(2005)。Optimal limit order choice。Journal of Business,78(2),597-619。  new window
52.Xu, Ying(2009)。Order aggressiveness on the ASX market。Journal of Economics and Finance,1,51-75。  new window
53.Wang, Zi-May、Chiao, Chaoshin(2008)。Order submission patterns of professional institutional investors and stock price behavior in the Taiwan stock market。Journal of Management and Systems,15,55-92。  new window
54.Tsai, Shih-Chuan(2013)。Investors' information advantage and order choices in an order-driven market。Pacific-Basin Finance Journal,21,932-951。  new window
55.Chakravarty, Sugato(2001)。Stealth-trading: Which traders' trades move stock prices?。Journal of Financial Economics,61(2),289-307。  new window
56.Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2009)。Just How Much Do Individual Investors Lose by Trading?。The Review of Financial Studies,22(2),609-632。  new window
57.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
58.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets,7(3),271-299。  new window
59.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
60.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
61.Kaniel, Ron、Saar, Gideon、Titman, Sheridan(2008)。Individual investor trading and stock returns。Journal of Finance,63(1),273-310。  new window
62.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
研究報告
1.Beber, Alessandro、Caglio, Cecilia(2002)。Orders submission strategies and information: Empirical evidence from the NYSE。  new window
2.Lin, Chung-Yueh(2016)。Does stock traders' order aggressiveness predict future return? Evidence from an order-driven market。  new window
3.O'Hara, Maureen、Saar, Gideon、Zhong, Zhuo(2015)。Relative tick size and the trading environment。  new window
 
 
 
 
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