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題名:價格叢聚與交易規模叢聚之實證研究
書刊名:證券市場發展季刊
作者:洪碧霞 引用關係鄧婉妃
作者(外文):Hung, Pi-hsiaTeng, Wan-fei
出版日期:2013
卷期:25:1=97
頁次:頁67-113
主題關鍵詞:價格叢聚交易規模叢聚升降單位投資人類別雙變量probit模型Price clusteringTrade-size clusteringTick sizeInvestor typesBivariate probit model
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(1) 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:1
  • 共同引用共同引用:6
  • 點閱點閱:32
期刊論文
1.Chan, K.、Covrig, V.、Ng, L.(2005)。What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide。Journal of Finance,60(3),1495-1534。  new window
2.Sopranzetti, B. J.、Datar, V.(2002)。Price Clustering in Foreign Exchange Spot Markets。Journal of Financial Markets,5(4),411-417。  new window
3.Grossman, S. J.、Miller, M. H.、Cone, K. R.、Fischel, D. R.、Ross, D. J.(1997)。Clustering and Competition in Asset Markets。Journal of Law and Economics,40,23-60。  new window
4.闕河士(20030800)。摩根臺股指數期貨契約價格群聚現象之實證。管理學報,20(4),689-720。new window  延伸查詢new window
5.Admati, Anat R.、Pfleiderer, Paul(1988)。A Theory of Intraday Trading Patterns: Volume and Price Variability。Review of Financial Studies,1,3-40。  new window
6.Colwell, P. F.、Rushing, P. J.、Young, K.(1994)。The Rounding of Appraisal Estimates。Illinois Real Estate Letter,8(2),1-4。  new window
7.Ikenberry, D. L.、Weston, J.(2008)。Clustering in US Stock Prices after Decimalization。European Financial Management,14(1),30-54。  new window
8.Niederhoffer, V.(1965)。Clustering in Stock Prices。Operations Research,13(2),258-265。  new window
9.Niederhoffer, V.(1966)。A New Look at Clustering in Stock Prices。Journal of Business,39(2),309-313。  new window
10.Ahn, H.、Cai, J.、Cheung, Y. L.(2005)。Price Clustering on the Limit-order Book: Evidence from the Stock Exchange of Hong Kong。Journal of Financial Markets,8(4),421-451。  new window
11.Alexander, G. J.、Peterson, M. A.(2007)。An Analysis of Trade-Size Clustering and its Relation to Stealth Trading。Journal of Financial Economics,84(2),435-471。  new window
12.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
13.Cooney, J. W. Jr.、Van Ness, B. F.、Van Ness, R. V.(2003)。Do Investors Prefer Even-eighth Prices? Evidence from NYSE Limit Orders。Journal of Banking & Finance,27(4),719-748。  new window
14.Easley, D.、O'Hara, M.(1992)。Time and Process of Security Price Adjustment。Journal of Finance,47(2),577-605。  new window
15.Moulton, P. C.(2005)。You Can't Always Get What You Want: Trade-Size Clustering and Quantity Choice in Liquidity。Journal of Financial Economics,78(1),89-119。  new window
16.O'Neill, M.、Swisher, J.(2003)。Institutional Investors and Information Asymmetry: An Event Study of Self-tender Offers。Financial Review,38,197-211。  new window
17.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
18.蕭朝興、王子湄(20080600)。臺灣股市委託價格群聚現象之實證研究。管理學報,25(3),359-380。new window  延伸查詢new window
19.Barclay, M. J.、Warner, J. B.(1993)。Stealth Trading and Volatility: Which Trades Move Prices?。Journal of Financial Economics,34,281-305。  new window
20.Harris, L.(1991)。Stock price clustering and discreteness。Review of Financial Studies,4,389-415。  new window
21.Chakravarty, Sugato(2001)。Stealth-trading: Which traders' trades move stock prices?。Journal of Financial Economics,61(2),289-307。  new window
22.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
23.Osborne, M. F. M.(1962)。Periodic structure in the Brownian motion of stock prices。Operations Research,10(3),345-379。  new window
24.Koski, J. L.、Scruggs, J. T.(1998)。Who Trades around the Ex-dividend Day? Evidence from NYSE Audit File Data。Financial Management,27(3),58-72。  new window
25.Christie, W. G.、Harris, J. H.、Schultz, P. H.(1994)。Why Did NASDAQ Market Makers Stop Avoiding Odd-eighth Quotes?。Journal of Finance,49(5),1841-1860。  new window
26.Kahn, C.、Pennacchi, G.、Sopranzetti, B.(1999)。Bank Deposit Rate Clustering: Theory and Empirical Evidence。Journal of Finance,54(6),2188-2214。  new window
研究報告
1.Chakravarty, S.、Kalev, P. S.、Pham, L. T.(2005)。Stealth Trading in Volatile Markets。Department of Accounting and Finance, Faculty of Business and Economics, Monash University。  new window
2.Hodrick, L. S.、Moulton, P. C.(2005)。Liquidity。Columbia University。  new window
3.Chiao, C.、Wang, Z.(2007)。Order Submission Patterns of Professional Institutional Investors and Stock Price Behaviors in the Taiwan Stock Market。National Dong Hwa University。  new window
4.Goodhart, C.、Curcio, R.(1991)。The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market。LSE Financial Markets Group。  new window
圖書
1.Wyckoff, P.(1963)。The Psychology of Stock Market Timing。Englewood Cliffs, NJ:Prentice-Hall。  new window
 
 
 
 
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