期刊論文1. | Huang, Roger D.、Stoll, Hans R.(1994)。Market Microstructure and Stock Return Predictions。Review of Financial Studies,7,179-213。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Bortoli, Luke、Frino, Alex、Jarnecic, Elvis、Johnstone, David(2006)。Limit Order Book Transparency, Execution Risk, and Market Liquidity: Evidence from the Sydney Futures Exchange。Journal of Futures Markets,26(12),1147-1167。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | De Winnie, Rudy、D'hondt, Catherine(2007)。Hide-and-Seek in the Market: Placing and Detecting Hidden Orders。Review of Finance,11,663-692。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Flood, Mark D.、Huisman, Ronald、Koedijk, Kees G.、Mahieu, Ronald J.(1999)。Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets。Review of Financial Studies,12(1),37-59。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Kaniel, Ron、Saar, Gideon、Titman, Sheridan(2008)。Individual Investor Trading and Stock Return。Journal of Finance,63,273-310。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Moshirian, Fariborz、Nguyen, Huong Giang (Lily)、Pham, Peter Kien(2012)。Overnight Public Information, Order Placement, and Price Discovery during the Pre-Opening Period。Journal of Banking and Finance,36(10),2837-2851。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Tao, Juan、Green, Christopher J.(2013)。Transactions Costs, Index Arbitrage and Non-linear Dynamics between FTSE100 Spot and Futures: A Threshold Cointegration Analysis。International Journal of Finance and Economics,18,175-187。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spreads。Journal of Finance,38,1457-1469。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Comerton-Forde, Carole、Putniņš, Tālis J.(2011)。Measuring Closing Price Manipulation。Journal of Financial Intermediation,20(2),135-158。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Ma, Tai、Lin, Yaling、Chen, Hsiu-Kuei(2008)。Are Investor More Aggressive in Transparent Market?。Asia-Pacific Journal of Financial Studies,37(2),343-380。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Liu, Wai-Man(2009)。Monitoring and Limit Order Submission Risks。Journal of Financial Markets,12(1),107-141。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Aitken, Michael J.、Almeida, Niall、DeB. Harris, Frederick H.、McInish, Thomas H.(2007)。Liquidity Supply in Electronic Markets。Journal of Financial Markets,10(2),144-168。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Hollifield, Burton、Miller, Robert A.、Sandås, Patrik、Slive, Joshua(2006)。Estimating the Gains from Trade in Limit-Order Markets。Journal of Finance,61,2753-2804。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Hollifield, Burton、Miller, Robert A.、Sandås, Patrik(2004)。Empirical analysis of limit order market。Review of Economic Studies,71,1027-1063。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Huang, Yu-Chuan、Chen, Pei-Lin、Cheng, Yao-Jen(2007)。The impact of new trading rules on market performance: The case of Taiwan Stock Exchange。Review of Securities and Futures Markets,19,133-158。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Hung, Pi-Hsia、Chen, Ruey-Shii、Huang, Yung-Cheng、Liao, Hsin-Yen(2012)。Order imbalances, investor types, and stock return。Review of Securities and Futures Markets,24,1-48。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Lee, Yi-Tsung、Liu, Yu-Jane、Wang, Jin-Ying、Chen, Wei-Ju、Lai, Wen-Hung(2009)。Limit order book transparency and market quality。Review of Securities and Futures Markets,21(1),51-68。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Lin, Yaling、Ma, Tai(2011)。Transparency, information content and order placement strategy。Journal of Financial Studies,19,1-32。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Tsai, Pei-Weng(2010)。A planning proposal of disclosing the opening and closing information of the Taiwan securities market。TWSE Monthly Review,576,8-21。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Wang, Zi-Mei、Chiao, Chaoshin、Ting, Hsing-Yu(2014)。Information transparency on the closing session and price discovery in the Taiwan stock market。Journal of Management,31,107-134。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Zhang, Yu-Ren、Wu, Rebecca C.、Wang, Taychang(2012)。An empirical investigation on determinants of foreign ownership: Evidences on safety and information asymmetry。Review of Securities and Futures Markets,24,1-44。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Ahn, Hee-Joon、Bae, Kee-Hong、Chan, Kalok(2001)。Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong。Journal of Finance,56(2),767-788。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Ai, Chunrong、Norton, Edward C.(2003)。Interaction Terms in Logit and Probit Models。Economics Letters,80(1),123-129。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Alangar, Sadhana、Bathala, Chenchu T.、Rao, Ramesh P.(1999)。The Effect of Institutional Interest on the Information Content of Dividend change Announcement。Journal of Financial Research,22(4),429-448。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | Back, Kerry、Cao, C. Henry、Willard, Gregory A.(2000)。Imperfect Competition Among Informed Traders。Journal of Finance,55(5),2117-2155。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Bae, Kee-Hong、Jang, Hasung、Park, Kyung Suh(2003)。Traders' Choice between Limit and Market Orders: Evidence from NYSE Stock。Journal of Financial Markets,6(4),517-538。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Bernhardt, Dan、Campello, Murillo、Kutsoati, Edward(2006)。Who Herds?。Journal of Financial Economics,80(3),657-675。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | Bessembinder, Hendrik、Kaufman, Herbert M.(1997)。A comparison of trade execution costs for NYSE and NASDAQ-listed stocks。Journal of Financial and Quantitative Analysis,32,287-310。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Biais, Bruno、Hillion, Pierre、Spatt, Chester(1995)。An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse。Journal of Finance,50(5),1655-1689。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Biais, Bruno、Hillion, Pierre、Spatt, Chester(1999)。Price discovery and learning during the preopening period in the Paris Bourse。Journal of Political Economy,107(6),1218-1248。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | Boehmer, Ekkehart、Saar, Gideon、Yu, Lei(2005)。Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE。Journal of Finance,60(2),783-815。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Chang, Rosita P.、Rhee, S. Ghon、Stone, Gregory R.、Tang, Ning(2008)。How Does the Call Market Method Affect Price Efficiency? Evidence From the Singapore Stock Market。Journal of Banking and Finance,32(10),2205-2219。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | Cohen, Kalman J.、Maier, Steven F.、Schwartz, Robert A.、Whitcomb, David K.(1981)。Transaction Costs Order Placement Strategy and the Existence of the Bid-Ask Spread。Journal of Political Economy,89(2),287-305。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | Comerton-Forde, Carole、Lau, Sie Ting、McInish, Thomas(2007)。Opening and Closing Behavior Following the Introduction of Call Auctions in Singapore。Pacific-Basin Finance Journal,15(1),18-35。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | Duong, Huu Nhan、Kalev, Petko S.、Krishnamurti, Chandrasekhar(2009)。Order Aggressiveness of Institutional and Individual Investors。Pacific-Basin Finance Journal,17(5),533-546。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
36. | Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
37. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
38. | Eom, Kyong Shik、Ok, Jinho、Park, Jong-Ho(2007)。Pre-trade Transparency and Market Quality。Journal of Financial Markets,10(5),319-341。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
39. | Fong, Kingsley Y. L.、Liu, Wai-Man(2010)。Limit Order Revisions。Journal of Banking and Finance,34(8),1873-1885。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
40. | Foster, Douglas、Viswanathan, Sathish(1996)。Strategic Trading When Agents Forecast the Forecasts of Others。Journal of Finance,51(4),1437-1478。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
41. | Foucault, Thierry(1999)。Order Flow Composition and Trading Costs in A Dynamic Limit Order Market。Journal of Financial Markets,2(2),99-134。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
42. | Goettler, Ronald L.、Parlour, Christine A.、Rajan, Uday(2005)。Equilibrium in a Dynamic Limit Order Market。Journal of Finance,60(5),2149-2192。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
43. | Griffiths, Mark D.、Smith, Brian F.、Turnbull, D. Alasdair S.、White, Robert W.(2000)。The Costs and the Determinants of Order Aggressiveness。Journal of Financial Economics,56(1),65-88。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
44. | Hall, Anthony D.、Hautsch, Nikolaus(2007)。Modelling the Buy and Sell Intensity in A Limit Order Book Market。Journal of Financial Markets,10(3),249-286。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
45. | Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
46. | Harris, Lawrence(1998)。Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems。Financial Market, Institutions and Instruments,7(2),1-76。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
47. | Harris, Lawrence、Hasbrouck, Joel(1996)。Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy。Journal of Financial and Quantitative Analysis,31(2),213-231。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
48. | Lo, Ingrid、Sapp, Stephen G.(2010)。Order Aggressiveness and Quantity: How Are They Determined in A Limit Order Market?。Journal of International Financial Markets, Institutions and Money,20(3),213-237。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
49. | Madhavan, Ananth(1996)。Security Prices and Market Transparency。Journal of Financial Intermediation,5(3),255-283。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
50. | Madhavan, Ananth、Porter, David、Weaver, Daniel(2005)。Should securities markets be transparent?。Journal of Financial Markets,8(3),265-287。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
51. | Pagano, Marco、Röell, Ailsa(1996)。Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading。Journal of Finance,51(2),579-611。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
52. | Pagano, Michael S.、Schwartz, Robert A.(2003)。A Closing Call's Impact on Market Quality at Euronext Paris。Journal of Financial Economics,68(3),439-484。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
53. | Parlour, Christine A.(1998)。Price Dynamics in Limit Order Markets。Review of Financial Studies,11(4),789-816。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
54. | Pascual, Roberto、Veredas, David(2009)。What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?。Quantitative Finance,9(5),527-545。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
55. | Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
56. | Valenzuela, Marcela、Zer, Iiknur(2013)。Competition, Signaling and Non-walking through the Book: Effects on Order Choice。Journal of Banking and Finance,37(12),5421-5435。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
57. | Wermers, Russ(1999)。Mutual Fund Herding and the Impact on Stock Prices。Journal of Finance,54(2),581-622。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
58. | White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
59. | Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |