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題名:Market Competition and Price Clustering: Evidence from the ETF Market
書刊名:財務金融學刊
作者:徐淑芳鍾惠民陳煒朋 引用關係
作者(外文):Hsu, ShufangChung, HuiminChen, Wei-peng
出版日期:2018
卷期:26:4
頁次:頁1-44
主題關鍵詞:價格群聚流動性多重市場交易Exchange traded fundsETFsPrice clusteringLiquidityMultimarket trading
原始連結:連回原系統網址new window
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  • 共同引用共同引用:0
  • 點閱點閱:17
期刊論文
1.Gwilym, Owain ap、Alibo, Evamena(2003)。Decreased Price Clustering in FTSE 100 Futures Contracts Following the Transfer from Floor to Electronic Trading。Journal of Futures Markets,23(7),647-659。  new window
2.Chung, H. M.、Chiang, S. M.(2006)。Price Clustering in E-mini and Floor-traded Index Futures。Journal of Futures Markets,26(3),269-296。  new window
3.Grossman, Sanford J.、Miller, Merton H.、Cone, Kenneth R.、Fischel, Daniel R.、Ross, David J.(1997)。Clustering and Competition in Asset Markets。Journal of Law and Economics,40(1),23-60。  new window
4.Ball, Clifford A.、Torous, Walter N.、Tschoegl, Adrian E.(1985)。The Degree of Price Resolution: The Case of the Gold Market。Journal of Futures Markets,5,29-43。  new window
5.Ohta, Wataru(2006)。An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange。Journal of Banking and Finance,30,1023-1037。  new window
6.Christie, William G.、Schultz, Paul H.(1994)。Why Do NASDAQ Market Makers Avoid Odd-eighth Quotes?。The Journal of Finance,49(5),1813-1840。  new window
7.Ikenberry, David L.、Weston, James P.(2008)。Clustering in U.S. stock prices after decimalization。European Financial Management,14,30-54。  new window
8.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
9.Madura, Jeff、Ngo, Thanh(2008)。Impact of ETF inception on the valuation and trading of component stocks。Applied Financial Economics,18(12),995-1007。  new window
10.Hegde, Shantaram P.、McDermott, John B.(2004)。The market liquidity of Diamonds, Q's, and their underlying stocks。Journal of Banking and Finance,28(5),1043-1067。  new window
11.Tse, Yiuman、Erenburg, Grigori(2003)。Competition for order flow, market quality, and price discovery in the Nasdaq 100 index tracking stock。Journal of Financial Research,26(3),301-318。  new window
12.Brown, Philip、Chua, Angeline、Mitchell, Jason(2002)。The influence of cultural factors on price clustering: Evidence from Asia-Pacific stock markets。Pacific-Basin Finance Journal,10,307-332。  new window
13.Bollen, Nicolas P. B.、Whaley, Robert E.(1998)。Are "Teenies" Better?。Journal of Portfolio Management,25(1),10-24。  new window
14.Wang, Jiangxin(2013)。Liquidity Commonality among Asian Equity Markets。Pacific-Basin Finance Journal,21,1209-1231。  new window
15.Chowdhiy, Bhagwan、Nanda, Vikram(1991)。Multimarket trading and market liquidity。The Review of Financial Studies,4(3),483-511。  new window
16.Gwilym, Owain Ap、Clare, Andrew、Thomas, Stephen(1998)。Extreme price clustering in the London equity index futures and options markets。Journal of Banking and Finance,22,1193-1206。  new window
17.Huang, Roger D.、Stoll, Hans R.(1996)。Dealer versus Auction Markets: A Paired Comparison of Execution Costs on the NASDAQ and the NYSE。Journal of Financial Economics,41(3),313-357。  new window
18.Tse, Yiuman、Zabotina, Tatyana V.(2001)。Transaction Costs and Market Quality: Open-outcry versus Electronic Trading。Journal of Futures Markets,21,713-735。  new window
19.Boehmer, Beatrice、Boehmer, Ekkehart(2003)。Trading your neighbor's ETFs: Competition or fragmentation?。Journal of Banking & Finance,27(9),1667-1703。  new window
20.Barclay, Michael J.、Warner, Jerold B.(1993)。Stealth and Volatility: Which Trades Move Prices?。Journal of Financial Economics,34,281-306。  new window
21.Yu, Ip-Wing、Fung, Kang-Por、Tam, Chi-Sang(2010)。Assessing financial market integration in Asia--Equity markets。Journal of Banking & Finance,34,2874-2885。  new window
22.Hasbrouck, Joel(1999)。Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation。Journal of Financial Markets,2(1),1-28。  new window
23.Harris, Lawrence E.(1991)。Stock price clustering and discreteness。Review of Financial Studies,4(3),389-415。  new window
24.Hornik, Jacob、Cherian, Joseph、Zakay, Dan(1994)。The influence of prototypic values on the validity of studies using time estimates。Journal of the Market Research Society,36(2),145-148。  new window
25.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
26.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
27.Hegde, Shantaram P.、McDermott, John B.(2003)。The liquidity effects of revisions to the S&P 500 index: An empirical analysis。Journal of Financial Market,6,413-459。  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.Chung, Kee H.、van Ness, Bonnie F.、van Ness, Robert A.(2004)。Trading costs and quote clustering on the NYSE and NASDAQ after decimalization。Journal of Financial Research,27,309-328。  new window
30.Goldstein, Itay、Li, Yan、Yang, Liyan(2013)。Speculation and Hedging in Segmented Markets。Review of Financial Studies,27(3),881-922。  new window
31.Abukari, Kobana、Otchere, Isaac(20160900)。Merging Corporatized Financial Markets。財務金融學刊,24(3),1-44。new window  new window
32.Gwilym, Owain Ap、Verousis, Thanos(2010)。Price clustering and underpricing in the IPO aftermarket。International Review of Financial Analysis,19,89-97。  new window
33.Aşçioǧlu, N. Asli、Comerton-Forde, Carole、Mclnish, Thomas H.(2007)。Price Clustering on the Tokyo Stock Exchange。Financial Review,42,289-301。  new window
34.Blau, Benjamin M.、van Ness, Bonnie F.、van Ness, Robert A.(2012)。Trade size and price clustering: The case of short sales and the suspension of price tests。Journal of Financial Research,35,159-182。  new window
35.Broom, Kevin D.、van Ness, Robert A.、Warr, Richard S.(2007)。Cubes to quads: The move of QQQ from AMEX to NASDAQ。Journal of Economics and Business,59,520-535。  new window
36.Cespa, Giovanni、Foucault, Thierry(2014)。Illiquidity contagion and liquidity crashes。Review of Financial Studies,27,1615-1660。  new window
37.Chung, Kee H.、Kim, Kenneth A.、Kitsabunnarat, Pattanaporn(2005)。Liquidity and quote clustering in a market with multiple tick size。Journal of Financial Research,28,177-195。  new window
38.Chung, Kee H.、van Ness, Bonnie F.、van Ness, Robert A.(2002)。Spreads, Depths, and Quote Clustering on the NYSE and NASDAQ: Evidence after the 1997 Securities and Exchange Commission Rule Changes。Financial Review,37,481-505。  new window
39.Davis, Ryan L.、van Ness, Bonnie F.、van Ness, Robert A.(2014)。Clustering of trade prices by high-frequency and non-high-frequency trading firms。Financial Review,49,421-433。  new window
40.De Winne, Rudy、Gresse, Carole、Platten, Isabelle(2014)。Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index。International Review of Financial Analysis,34,31-43。  new window
41.Hall, Peter N.(2004)。Bucking the trend: The unsupportability of index providers' imposition of licensing fees for unlisted trading of exchange traded funds。Vanderbilt Law Review,57,1125-1170。  new window
42.Martinez, Valeria、Tse, Yiuman(2006)。Multi-Market trading of gold futures。Review of Futures Markets,15,239-263。  new window
43.Meng, Lei、Verousis, Thanos、Gwilym, Owain Ap(2013)。A substitution effect between price clustering and size clustering in credit default swaps。Journal of International Financial Markets, Institutions & Money,24,139-152。  new window
44.Nguyen, Vanthuan、van Ness, Bonnie F.、van Ness, Robert A.(2007)。Short- and Long-Term Effects of Multimarket Trading。Financial Review,42,349-372。  new window
45.Niederhoffer, Victor(1966)。A new look at clustering of stock prices。Journal of Business,39,309-313。  new window
46.Richie, Nivine、Madura, Jeff(2007)。Impact of the QQQ on liquidity and risk of the underlying stocks。Quarterly Review of Economics and Finance,47,411-421。  new window
47.Securities and Exchange Commission(2003)。Self-Regulatory organizations; Notice of filing and immediate effectiveness of proposed rule change by the New York Stock Exchange, Inc. Relating to elimination of the exception to rule 123(e) for exchange-traded funds。Federal Register,68,19063-19065。  new window
48.Verousis, Thanos、Gwilym, Owain Ap(2013)。Trade size clustering and the cost of trading at the London Stock Exchange。International Review of Financial Analysis,27,91-102。  new window
49.Hausman, Jerry A.(1978)。Specification tests in econometrics。Econometrica: Journal of the Econometric Society,46(6),1251-1271。  new window
50.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
51.Schwartz, Adam L.、van Ness, Bonnie F.、van Ness, Robert A.(2004)。Clustering in the Futures Markets: Evidence from S&P 500 Futures Contracts。Journal of Futures Markets,24(5),413-428。  new window
52.Aitken, Michael、Brown, Philip、Buckland, Christine、Izan, Haji Y.、Walter, Terry(1996)。Price clustering on the Australian stock exchange。Pacific-Basin Finance Journal,4(2/3),297-314。  new window
研究報告
1.Goodhart, Charles、Curcio, Riccardo(1991)。The clustering of bid/ask prices and spread in the foreign exchange market。  new window
圖書
1.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
2.Harris, Larry(2003)。Trading and Exchange: Market Microstructure for Practitioners。Oxford University Press。  new window
 
 
 
 
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