:::

詳目顯示

回上一頁
題名:Price Limits and Liquidity: A Five-Minute Data Analysis
書刊名:中國財務學刊
作者:陳溢茂
作者(外文):Chen, Yea-mow
出版日期:1997
卷期:4:3
頁次:頁45-65
主題關鍵詞:漲跌幅限制市場流動性漲跌停板Price limitsMarket liquidtyLimit moves
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:2
  • 共同引用共同引用:0
  • 點閱點閱:89
期刊論文
1.Gerety, Mason S.、Mulherin, J. Harold(1992)。Trading halts and market activity: An analysis of volume at the open and the close。The Journal of Finance,47(5),1765-1784。  new window
2.Lauterbach, B.、Ben-Zion, U.(1993)。Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence。Journal of Finance,48(5),1909-1925。  new window
3.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
4.Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Limit Moves and Price Resolution: the Case of the Treasury Bond Futures Market。Journal of Futures Markets,9,321-335。  new window
5.Amihud, Yakov、Mendelson, Haim(1986)。Asset Pricing and the Bid-Ask Spread。Journal of Financial Economics,17(2),223-249。  new window
6.Chen, Y. M.(1993)。Price Limits and Stock Market Volatility in Taiwan。Pacific-Basin Finance Journal,1,139-153。  new window
7.Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Volatility, Price Resolution, and the Effectiveness of Price Limits。Journal of Financial Services Research,3,165-199。  new window
8.Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis,28(1),21-39。  new window
9.Greenwald, B. C.、Stein, J. C.(1991)。Transactional Risk, Market Crashes, and the Role of Circuit Breakers。Journal of Business,64(4),443-462。  new window
10.Subrahmanyam, A.(1994)。Circuit breakers and market volatility: a theoretical perspective。Journal of Finance,49,527-543。  new window
11.Roll, R.(1984)。A simple implicit measure of the effective bid-ask spread in an efficient market。Journal of Finance,39,1127-1139。  new window
12.Lee, C. M. C.、Ready, M. J.、Seguin, P. J.(1994)。Volume, Volatility, and New York Stock Exchange Trading Halts。Journal of Finance,49(1),183-214。  new window
13.Amihud, Y.、Mendelson, H.(1987)。Trading Mechanisms and Stock Returns: An Empirical Investigation。The Journal of Finance,42(3),533-553。  new window
14.Sutrick, K. H.(1993)。Reducing the bias in empirical studies due to limit moves。Journal of Futures Markets,13(5),527-543。  new window
15.Brock, William A.、Kleidon, Allan W.(1992)。Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks。Journal of Economic Dynamics and Control,1992(Dec.),451-489。  new window
16.Amihud, Yakov、Mendelson, Haim、Wood, Robert A.(1990)。Liquidity and the 1987 Stock Market Crash。The Journal of Portfolio Management,16(3),65-69。  new window
17.Chiang, Raymond、Wei, John K. C.、Wu, Soushan(1990)。Price Limits in Taiwan and Risk-Retum Estimation。Pacific-Basin Capital Market Research,1,173-180。  new window
18.Malkiel, Burton G.(1988)。The Brady Commission Report: A Critique。The Journal of Portfolio Management,1988(Summer),9-13。  new window
19.Brennan, Michael(1986)。A Theory of Price Limits in Futures Markets。Journal of Financial Economics,213-233。  new window
20.Grossman, Sanford J.(1992)。The Informational Role of Upstairs and Downstairs Trading。The Journal of Business,1992(Oct.),509-520。  new window
21.Khory, Sarkis J.、Jones, Gerald L.(1984)。Daily Price Limits on Future Contracts: Nature, Impact, and Justification。Review of Research in Futures Markets,22-36。  new window
22.Santoni, G. T.、Liu, Tung(1993)。Circuit Breakers and Stock Market Volatility。Journal of Futures Markets,13,261-277。  new window
23.Miller, Merton H.(1991)。Volatility, Episodic Volatility, and Coordinated Circuit Breakers。Pacifw-Basin Capital-Markets Research,2,23-48。  new window
24.Ma, Tai(1993)。Price Limits Margin Requirements, and Stock Market Volalitility: An Empirical Analysis of the Taiwan Strok Market。Research in International Business and Finance,10,229-251。  new window
25.Kodres, Laura E.(1993)。Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity。The Journal of Business,66(3),463-490。  new window
會議論文
1.Chou, Ping Huang、Wu, Soushan(1996)。On the Impact of Price Limits on Stock Returns and Volatility: Evidence in Taiwan。The Seventh PACAP Finance Conference。Taipei。  new window
研究報告
1.Raymond, Chiang、Wei, John K. C.(1995)。Using Daily Security Prices to Estimate Volatility and Regression Models under Price Limits。University of Mmmi。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE