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題名:Decomposing the Bid--Ask Spread of ETFs on the AMEX Before and After Decimalization
書刊名:證券市場發展季刊
作者:段昌文 引用關係林容竹
作者(外文):Duan, Chang-wenLin, Jung-chu
出版日期:2010
卷期:22:1=85
頁次:頁29-72
主題關鍵詞:買賣價差委託單處理成本存貨持有成本逆選擇成本指數股票型基金ETFsBid–ask spreadsOrder processing costsInventory holding costsAdverse selection costsExchange-traded funds
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:8
  • 點閱點閱:65
期刊論文
1.Huang, Roger D.、Stoll, Hans R.(1994)。Market Microstructure and Stock Return Predictions。Review of Financial Studies,7,179-213。  new window
2.Easley, D.、Kiefer, N. M.、O'Hara, M.、Paperman, J. B.(1996)。Liquidity, information, and infrequently traded stocks。Journal of Finance,51(4),1405-1436。  new window
3.Shuch,H. Paul(20040200)。The Only Game in Town。Journal of Futures Studies,8:3,頁55-60。new window  new window
4.Gorton, Gary B.、Pennacchi, George G.(1993)。Security baskets and index-linked securities。Journal of Business,66(1),1-27。  new window
5.Amihud, Yakov、Mendelson, Haim(1980)。Dealership Market: Market-making with Inventory。Journal of Financial Economics,8(1),31-53。  new window
6.Gibson, S.、Singh, R.、Yerramilli, V.(2003)。The effect of decimalization on the components of the bid-ask spread。Journal of Financial Intermediation,12;(2),121-148。  new window
7.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
8.Choe, H.、Ahn, H. J.、Cao, C. Q.(1996)。Tick Size, Spread and Volume。Journal of Financial Intermediation,5(1),2-22。  new window
9.Bessembinder, H.(2000)。Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars。Journal of Financial Intermediation,9,213-239。  new window
10.Bollen, N. P. B.、Whaley, R. E.(1998)。Are "Teenies" Better?。Journal of Portfolio Management,25,10-24。  new window
11.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
12.Stoll, H. R.(1978)。The Supply of Dealer Services in Securities Markets。Journal of Finance,33,1133-1151。  new window
13.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
14.Stoll, Hans R.(1989)。Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests。Journal of Finance,44(1),115-134。  new window
15.Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies,4(1),17-51。  new window
16.Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。  new window
17.Tinic, Seha M.(1972)。The Economics of Liquidity Services。Quarterly Journal of Economics,86(1),79-93。  new window
18.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
19.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
20.Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。  new window
21.Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。  new window
22.Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, ask and transaction prices in a specialist market with heterogeneously informed traders。Journal of Financial Economics,14(1),71-100。  new window
23.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
24.Stoll, H. R.(1978)。The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks。The Journal of Finance,33(4),1153-1172。  new window
25.Ellis, K.、Michaely, R.、O'Hara, M.(2000)。The Accuracy of Trade Classification Rules: Evidence from Nasdaq。Journal of Financial and Quantitative Analysis,35,529-551。  new window
26.Garman, M. B.(1976)。Market Microstructure。Journal of Financial Economics,3,257-275。  new window
27.Harris, L.(1994)。Minimum Price Variations, Discrete Bid-Ask Spread, and Quotation Sizes。Review of Financial Studies,7,149-178。  new window
28.Hegde, S. P.、McDermott, J. B.(2004)。The Market Liquidity of DIAMONDS, Q's, and their Underlying Stocks。Journal of Banking and Finance,28,1043-1067。  new window
29.Zhao, Xin、Chung, Kee H.(2006)。Decimal Pricing and Information- Based Trading: Tick Size and Informational Efficiency of Asset Price。Journal of Business Finance and Accounting,33(5/6),753-766。  new window
30.Bollen, N. P.、Smith, T.、Whaley, R. E.(2004)。Modeling the Bid/Ask Spread: Measuring the Inventory-Holding Premium。Journal of Financial Economics,72,97-141。  new window
31.Branch, B.、Freed, W.(1977)。Bid-Ask Spreads on the AMEX and the Big Board。The Journal of Finance,32,159-163。  new window
32.Chakravarty, S.、Van Ness, B. F.、Van Ness, R. A.(2005)。The Effect of Decimalization on Trade Size and Adverse Selection Costs。Journal of Business Finance and Accounting,32,1063-1081。  new window
33.Chou, R. K.、Chung, H.(2006)。Decimalization, Trading Costs, and Information Transmission between ETFs and Index Futures。Journal of Futures Markets,26(2),131-151。  new window
圖書
1.Copeland, T. E.、Stoll, H. R.(1990)。Trading Markets。Handbook of Modern finance [2nd edition]。Boston。  new window
 
 
 
 
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