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題名:撮合時間的縮短對證券市場交易品質的影響
書刊名:證券市場發展季刊
作者:王明昌周明賢
作者(外文):Wang, Ming-changChou, Ming-hsien
出版日期:2018
卷期:30:1=117
頁次:頁1-48
主題關鍵詞:撮合時間買賣價差市場深度波動性證券市場交易品質Matching timeBid-ask spreadMarket depthVolatilityTransaction quality in security 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:22
  • 點閱點閱:18
期刊論文
1.Brockman, Paul、Chung, Dennis Y.(1999)。Bid-Ask Spread Components in an Order-Driven Environment。Journal of Financial Research,22(2),227-246。  new window
2.Handa, P.、Schwartz, R.、Tiwari, A.(2003)。Quote Setting and Price Formation in an Order Driven Market。Journal of Financial Markets,6(4),461-489。  new window
3.Anand, Amber、Tanggaard, Carsten、Weaver, Daniel G.(2009)。Paying for Market Quality。Journal of Financial and Quantitative Analysis,44(6),1427-1457。  new window
4.Brennan, M. J.、Cao, H. H.(1996)。Information, Trade, and Derivative Securities。Review of Financial Studies,9(1),163-208。  new window
5.黃玉娟、陳培林、鄭堯任(20070400)。交易機制改變對市場績效之影響:透明度與撮合頻率之探討。證券市場發展,19(1)=73,133-158。new window  延伸查詢new window
6.Lang, L. H. P.、Lee, Y. T.(1999)。Performance of various transaction frequencies under call markets: The case of Taiwan。Pacific-Basin Finance Journal,7(1),23-39。  new window
7.Bloomfield, R.、O'Hara, M.(1999)。Market Transparency: Who Wins and Who Loses?。Review of Financial Studies,12(1),5-35。  new window
8.Hasbrouck, J.、Schwartz, R. A.(1988)。Liquidity and Execution Costs in Equity Markets: How to Define, Measure and Compare Them。The Journal of Portfolio Management,14(3),10-16。  new window
9.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。  new window
10.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。  new window
11.Benston, George J.、Hagerman, Robert L.(1974)。Determinants of bid-asked spreads in the over-the-counter market。Journal of Financial Economics,1(4),353-364。  new window
12.Kumar, R.、Sarin, A.、Shastri, K.(1998)。The impact of options trading on the market quality of the underlying security: An empirical analysis。Journal of Finance,53(2),717-732。  new window
13.Hwang, S.、Satchell, S. E.(2000)。Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivatives Markets and Testing for the Impact of Derivatives Markets on Financial Markets。Journal of Banking and Finance,24(5),759-785。  new window
14.Bollerslev, Tim、Engle, Robert F.、Nelson, Daniel B.(1994)。ARCH models。Handbooks of Econometrics,4,2959-3038。  new window
15.Garman, Mark B.(1976)。Market Microstructure。Journal of Financial Economics,3(3),257-275。  new window
16.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
17.Bernstein, Peter L.(1987)。Liquidity, Stock Markets, and Market Makers。Financial Management,16(2),54-62。  new window
18.Ma, Tai、Lin, Yaling、Chen, Hsiu-Kuei(2008)。Are Investors More Aggressive in Transparent Markets?。Asia-Pacific Journal of Financial Studies,37(2),343-380。  new window
19.Chowdhiy, Bhagwan、Nanda, Vikram(1991)。Multimarket trading and market liquidity。The Review of Financial Studies,4(3),483-511。  new window
20.Thompson, Samuel B.(2011)。Simple Formulas for Standard Errors That Cluster by Both Firm and Time。Journal of Financial Economics,99(1),1-10。  new window
21.Porter, David C.、Weaver, Daniel G.(1998)。Post-trade Transparency on Nasdaq's National Market System。Journal of Financial Economics,50(2),231-252。  new window
22.詹場、李志宏(20140300)。市場穩定與競價制度--臺灣期貨市場之實證。經濟論文叢刊,42(1),49-101。new window  延伸查詢new window
23.Garbade, Kenneth D.、Silber, William L.(1979)。Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk。Journal of Finance,34(3),577-593。  new window
24.Mendelson, H.(1982)。Market Behavior in a Clearing House。Econometrica,50(6),1505-1524。  new window
25.Ahn, H. J.、Cheung, Y. L.(1999)。The intraday patterns of the spread and depth in a market without market makers: the stock exchange of Hong Kong。Pacific-Basin Finance Journal,7(5),539-556。  new window
26.Massimb, M. N.、Phelps, B. D.(1994)。Electronic trading, market structure and liquidity。Financial Analysts Journal,50(1),39-50。  new window
27.Hasbrouck, J.、Saar, G.(2013)。Low-latency trading。Journal of Financial Markets,16(4),646-679。  new window
28.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
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.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
31.Madhavan, Ananth(1996)。Security Prices and Market Transparency。Journal of Financial Intermediation,5(3),255-283。  new window
32.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
33.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
34.陳宗仁、林顯達、王憲斌、魏石勇(20140200)。金融海嘯對臺灣規模指數波動長短期效果的影響。中華管理評論,17(1),(4)0-(4)15。  延伸查詢new window
35.Amihud, Y.、Mendelson, H.(1982)。Asset price behavior in a dealership market。Financial Analysts Journal,38(3),50-59。  new window
36.Ángels De Frutos, M.、Manzano, C.(2002)。Risk Aversion, Transparency, and Market Performance。The Journal of Finance,57(2),959-984。  new window
37.Bessembinder, H.、Seguin, P. J.(1992)。Futures‐trading activity and stock price volatility。The Journal of Finance,47(5),2015-2034。  new window
38.Bjursell, J.、Frino, A.、Tse, Y.、Wang, G. H.(2010)。Volatility and trading activity following changes in the size of futures contracts。Journal of Empirical Finance,17(5),967-980。  new window
39.Budish, E. B.、Cramton, P.、Shim, J. J.(2015)。The high-frequency trading arms race: Frequent batch auctions as a market design response。The Quarterly Journal of Economics,130(4),1547-1621。  new window
40.Copeland, T. E.、Galai, D.(1983)。Information effects on the bid‐ask spread。The Journal of Finance,38(5),1457-1469。  new window
41.Glosten, L.(1999)。Introductory comments: Bloomfield and O'Hara, and Flood, Huisman, Koedijk, and Mahieu。Review of Financial Studies,12(1),1-3。  new window
42.Hendershott, T.、Moulton, P. C.(2011)。Automation, speed, and stock market quality: The NYSE's hybrid。Journal of Financial Markets,14(4),568-604。  new window
43.Hu, S. Y.、Chan, C.(2005)。Trading frequency and noise。Applied Financial Economics Letters,1(4),243-247。  new window
44.Madhavan, A.、Porter, D.、Weaver, D.(2005)。Should securities markets be transparen?。Journal of Financial Markets,8(3),265-287。  new window
45.Madhavan, A.(1995)。Consolidation, fragmentation, and the disclosure of trading information。Review of Financial Studies,8(3),579-603。  new window
46.Eleswarapu, V. R.、Reinganum, M. R.(1993)。The seasonal behavior of the liquidity premium in asset pricing。Journal of Financial Economics,34(3),373-386。  new window
47.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  new window
48.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
49.Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。  new window
50.Lee, Charles M. C.、Mucklow, Belinda、Ready, Mark J.(1993)。Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis。The Review of Financial Studies,6(2),345-374。  new window
51.Petersen, Mitchell A.(2009)。Estimating standard errors in finance panel data sets: Comparing approaches。The Review of Financial Studies,22(1),435-480。  new window
52.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
53.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
54.Baruch, S.(2005)。Who Benefits from an Open Limit-Order Book?。Journal of Business,78(4),1267-1306。  new window
研究報告
1.Han, J.、Khapko, M.、Kyle, A. S.(2014)。Liquidity with high frequency market making。  new window
2.Hasbrouck, J.、Saar, G.(2002)。Limit orders and volatility in a hybrid market: The Island ECN。  new window
學位論文
1.劉玉珍(1991)。資訊到達影響競價制度績效之模擬研究(博士論文)。國立中山大學。new window  延伸查詢new window
圖書
1.Schwartz, R. A.(1991)。Reshaping the Equity Markets--A Guide for the 1990s。New York, NY:Harper Business。  new window
2.O'Hara, Maureen(1995)。Market Microstructure Theory。Blackwell Publisher Inc.。  new window
3.Harris, Larry(2003)。Trading and Exchanges: Market Microstructure for Practitioners。New York, NY:Oxford University Press。  new window
其他
1.McInish, T. H.,Wood, R. A.(1994)。Transparency and Limit Order Display on the NYSE,Taipei, Taiwan:First National Taiwan University International Conference of Finance。  new window
圖書論文
1.Engle, R. F.、Lee, G.(1999)。A long-run and short-run component model of stock return volatility。Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger。  new window
 
 
 
 
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