| 期刊論文| 1. | Foster, F. Douglas、Viswanathan, S.(1990)。A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets。Review of Financial Studies，3(4)，593-624。   | | 2. | Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。The Journal of Finance，47(2)，577-605。 | | 3. | Brock, W. A.、Kleidon, A. W.(1992)。Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks。Journal of Economic Dynamics and Control，16(3/4)，451-489。 | | 4. | Foster, F. D.、Viswanathan, S.(1993)。Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models。The Journal of Finance，48(1)，187-211。 | | 5. | 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。 | | 6. | Blume, Lawrence、Easley, David、O'Hara, Maureen(1994)。Market Statistics and Technical Analysis: The Role of Volume。The Journal of Finance，49(1)，153-181。 | | 7. | 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。 | | 8. | Andersen, Torben G.、Bollerslev, Tim(1996)。Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies。The Journal of Finance，53(1)，219-265。 | | 9. | Bessembinder, Hendrik(1994)。Bid-ask Spreads in the Interbank Foreign Exchange Markets。Journal of Financial Economics，35(3)，317-348。 | | 10. | Cornett, Marcia Miller、Schwarz, Thomas V.、Szakmary, Andrew C.(1995)。Seasonalities and Intraday Return Patterns in the Foreign Currency Futures Market。Journal of Banking & Finance，19(5)，843-869。 | | 11. | Goodhart, Charles A. E.、Figliuoli, L.(1991)。Every Minute Counts in Financial Markets。Journal of International Money and Finance，10(1)，23-52。 | | 12. | Goodhart, Charles A. E.、Giugale, M.(1993)。From Hour to Hour in the Foreign Exchange Market。The Manchester School of Economic and Social Studies，61(1)，1-34。 | | 13. | Harvey, C. R.、Huang, Roger D.(1991)。Volatility in the Foreign Currency Futures Market。The Review of Financial Studies，4(3)，543-569。 | | 14. | Leng, Hsiaohua(1996)。Announcement Versus Nonannouncement: A Study of Intraday Transaction Price Paths of Deutsche Mark and Japanese Yen Futures。The Journal of Futures Markets，16(7)，829-857。 | | 15. | McFarland, J. W.、Pettit, R. R.、Sung, S. K.(1982)。The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement。The Journal of Finance，37，693-715。 | | 16. | Takezawa, Nobuya(1995)。A Note on Intraday Foreign Exchange Volatility and the Informational Role of Quote Arrivals。Economics Letters，48(3/ 4)，399-404。 | 圖書| 1. | Judge, George G.、Griffiths, William E.、Hill, R. Carter、Lee, Tsoung-Chao(1980)。The Theory and Practice of Econometrics。New York, NY：John Wiley & Sons, Inc.。 | | 2. | Hsieh, David、Kleidon, Allan(1996)。Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information。The Microstructure of Foreign Exchange Markets。Chicago, IL。 | | 3. | Lyons, Richard K.(1996)。Foreign Exchange Volume: Sound and Fury Signifying Nothing?。The Microstructure of Foreign Exchange Markets。Chicago, IL。 | |