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題名:Order Choices, Order Performance, and Price Discovery during Closing Call Auctions--A Case Study of Improved LOB Disclosure in Taiwan Stock Exchange
書刊名:財務金融學刊
作者:曾翊恆 引用關係張嘉玲王凱立
作者(外文):Tseng, Yi-hengChang, Chia-lingWang, Kai-li
出版日期:2017
卷期:25:2
頁次:頁105-156
主題關鍵詞:收盤集合競價市場透明度委託積極度委託成效收盤價格發現Closing call auctionMarket transparencyOrder aggressivenessOrder performanceClosing price discovery
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(2) 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
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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。  new window
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14.Hollifield, Burton、Miller, Robert A.、Sandås, Patrik(2004)。Empirical analysis of limit order market。Review of Economic Studies,71,1027-1063。  new window
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。  new window
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。  new window
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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。  new window
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。  new window
23.Ai, Chunrong、Norton, Edward C.(2003)。Interaction Terms in Logit and Probit Models。Economics Letters,80(1),123-129。  new window
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。  new window
25.Back, Kerry、Cao, C. Henry、Willard, Gregory A.(2000)。Imperfect Competition Among Informed Traders。Journal of Finance,55(5),2117-2155。  new window
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。  new window
27.Bernhardt, Dan、Campello, Murillo、Kutsoati, Edward(2006)。Who Herds?。Journal of Financial Economics,80(3),657-675。  new window
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。  new window
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。  new window
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。  new window
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。  new window
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。  new window
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。  new window
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。  new window
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。  new window
36.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
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。  new window
38.Eom, Kyong Shik、Ok, Jinho、Park, Jong-Ho(2007)。Pre-trade Transparency and Market Quality。Journal of Financial Markets,10(5),319-341。  new window
39.Fong, Kingsley Y. L.、Liu, Wai-Man(2010)。Limit Order Revisions。Journal of Banking and Finance,34(8),1873-1885。  new window
40.Foster, Douglas、Viswanathan, Sathish(1996)。Strategic Trading When Agents Forecast the Forecasts of Others。Journal of Finance,51(4),1437-1478。  new window
41.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
42.Goettler, Ronald L.、Parlour, Christine A.、Rajan, Uday(2005)。Equilibrium in a Dynamic Limit Order Market。Journal of Finance,60(5),2149-2192。  new window
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。  new window
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。  new window
45.Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。  new window
46.Harris, Lawrence(1998)。Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems。Financial Market, Institutions and Instruments,7(2),1-76。  new window
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。  new window
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。  new window
49.Madhavan, Ananth(1996)。Security Prices and Market Transparency。Journal of Financial Intermediation,5(3),255-283。  new window
50.Madhavan, Ananth、Porter, David、Weaver, Daniel(2005)。Should securities markets be transparent?。Journal of Financial Markets,8(3),265-287。  new window
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。  new window
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。  new window
53.Parlour, Christine A.(1998)。Price Dynamics in Limit Order Markets。Review of Financial Studies,11(4),789-816。  new window
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。  new window
55.Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。  new window
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。  new window
57.Wermers, Russ(1999)。Mutual Fund Herding and the Impact on Stock Prices。Journal of Finance,54(2),581-622。  new window
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研究報告
1.Kuk, Joseph、Lui, Wai-Man、Pham, Peter K.(2014)。Strategic order submission and cancellation in pre-opening periods and its impact on price discovery: The case of IPO firms。  new window
圖書
1.Yen, Yueh-Chu(2010)。Nonparametric Statistics。Taipei:Yueh-Chu Yen。  new window
 
 
 
 
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