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題名:臺灣股市機構投資人之交易策略和股票報酬
書刊名:證券市場發展季刊
作者:蕭朝興 引用關係尤靜華 引用關係李家華
作者(外文):Chiao, ChaoshinYu, ChinghuaLee, Jiahwa
出版日期:2013
卷期:25:2=98
頁次:頁55-95
主題關鍵詞:買賣不均衡可市價化限價單不均衡非可市價化限價單不均衡Buy-sell imbalanceMarketable order imbalanceExecuted nonmarketable order imbalance
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(3) 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:3
  • 共同引用共同引用:7
  • 點閱點閱:28
期刊論文
1.Badrinath, S. G.、Kale, J. R.、Ryan, H. E. Jr.(1996)。Characteristics of Common Stock Holdings of Insurance Companies。Journal of Risk and Insurance,63(1),49-76。  new window
2.Hau, Harald(2001)。Location Matters: An Examination of Trading Profits。Journal of Finance,56(5),1959-1983。  new window
3.Keim, D. B.、Madhavan, A.(1995)。Anatomy of the trading process empirical evidence on the behavior of institutional traders。Journal of Financial Economics,37(3),371-398。  new window
4.蕭朝興、陳馨蕙、黃俊凱(20110400)。臺灣機構投資人動態持股偏好之探討。管理學報,28(2),97-126。new window  延伸查詢new window
5.Agarwal,S.、Faircloth, S.、Liu, C.、Rhee, S. G.(2009)。Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia。Journal of Financial Markets,12,32-53。  new window
6.Ball, R.、F. Finn(1989)。Effect of Block Transactions on Share Prices: Australian Evidence。Journal of Banking and Finance,13(3),397-419。  new window
7.Chiao, C.、S. Chen、J. Hu(2010)。Informational Differences among Institutional Investors in an Increasingly Institutionalized Market。Japan and the World Economy,22(2),118-129。  new window
8.Dvorak, T.(2005)。Do Domestic Investors Have an Informational Advantage? Evidence from Indonesia。Journal of Finance,60(3),817-839。  new window
9.Gompers, P. A.、Metrick, A.(2001)。Institutional Investors and Equity Price。Quarterly Journal of Economics,116(1),229-259。  new window
10.Hvidkjaer, S.(2008)。Small Trades and the Cross-Section of Stock Returns。Review of Financial Studies,21(3),1123-1151。  new window
11.Peterson, M.、E. Sirri(2003)。Order Preferencing and Market Quality on US Equity Exchanges。Review of Financial Studies,16(2),385-415。  new window
12.Lee, Yi-Tsung、Liu, Yu-Jane、Roll, Richard、Subrahmanyam, Avanidhar(2004)。Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange。Journal of Financial and Quantitative Analysis,39(2),327-341。  new window
13.Choe, H.、Kho, B. C.、Stulz, R. M.(2005)。Do domestic investors have an edge? The trading experience of foreign investors in Korea。Review of Financial Studies,18,795-830。  new window
14.Shukla, R. K.、Van Inwegen, G. B.(1995)。Do Locals Perform Better than Foreigners?: An Analysis of UK and US Mutual Fund Managers。Journal of Economics & Business,47,241-254。  new window
15.Chan, Louis K. C.、Lakonishok, Josef(1995)。The Behavior of Stock Prices around Institutional Trades。The Journal of Finance,50(4),1147-1174。  new window
16.Bennett, James A.、Sias, Richard W.、Starks, Laura T.(2003)。Greener pastures and the impact of dynamic institutional preferences。Review of Financial Studies,16(4),1203-1238。  new window
17.Coval, Joshua D.、Moskowitz, Tobias J.(1999)。Home Bias at Home: Local Equity Preference in Domestic Portfolios。The Journal of Finance,54(6),2045-2073。  new window
18.Grossman, Sanford J.、Miller, Merton H.(1988)。Liquidity and market structure。Journal of Finance,43(3),617-633。  new window
19.Brennan, Michael J.、Cao, H. Henry(1997)。International Portfolio Investment Flows。Journal of Finance,52(5),1851-1880。  new window
20.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
21.Gervais, S.、Kaniel, R.、Mingelgrin, D. H.(2001)。The High-Volume Return Premium。The Journal of Finance,56(3),877-919。  new window
22.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
23.Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity and market returns。Journal of Financial Economics,65(1),111-130。  new window
24.Stoll, Hans R.(1978)。The Supply of Dealer Services in Securities Markets。Journal of Finance,33(4),1133-1151。  new window
25.Barber, B. M.、Odean, T.、Zhu, N.(2009)。Do Retail Trades Move Markets?。Review of Financial Studies,22(1),151-186。  new window
26.Chiao, C.、Lin, K.-I.(2004)。The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market。Review of Pacific Basin Financial Markets and Policies,7(2),259-288。  new window
27.Kamesaka, Akiko、Nofsinger, John R.、Kawakita, Hidetaka(2003)。Investment Patterns and Performance of investor Groups in Japan。Pacific-Basin Finance Journal,11(1),1-22。  new window
28.Foucault, Thierry(1999)。Order Flow Composition and Trading Costs in A Dynamic Limit Order Market。Journal of Financial Markets,2(2),99-134。  new window
29.Harris, Lawrence、Hasbrouck, Joel(1996)。Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy。Journal of Financial and Quantitative Analysis,31(2),213-231。  new window
30.Parlour, Christine A.(1998)。Price Dynamics in Limit Order Markets。Review of Financial Studies,11(4),789-816。  new window
31.Grinblatt, Mark、Keloharju, Matti(2000)。The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set。Journal of Financial Economics,55(1),43-67。  new window
32.Holthausen, Robert W.、Leftwich, Richard W.、Mayers, David(1987)。The effect of large block transactions on security prices: A cross-sectional analysis。Journal of Financial Economics,19(2),237-267。  new window
33.Daniel, Kent、Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1997)。Measuring Mutual Fund Performance with Characteristic-based Benchmarks。Journal of Finance,52(3),1035-1058。  new window
34.Dahlquist, Magnus、Robertsson, Göran(2001)。Direct foreign ownership, institutional investors, and firm characteristics。Journal of Financial Economics,59(3),413-440。  new window
35.Griffin, John M.、Harris, Jeffrey H.、Topaloglu, Selim(2003)。The dynamics of institutional and individual trading。The Journal of Finance,58(6),2285-2320。  new window
36.Kang, Jun-Koo、Stulz, Rene M.(1997)。Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan。Journal of Financial Economics,46(1),3-28。  new window
37.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
38.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
39.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
40.Barber, Brad M.、Odean, Terrance(2008)。All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors。Review of Financial Studies,21(2),785-818。  new window
41.Kaniel, Ron、Saar, Gideon、Titman, Sheridan(2008)。Individual investor trading and stock returns。Journal of Finance,63(1),273-310。  new window
42.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
43.Chakravarty, S.、Holden, C. W.(1995)。An Integrated Model of Market and Limit Orders。Journal of Financial Intermediation,4(3),213-240。  new window
44.Chiao, C.、Wang, Z.、Lai, H.(2009)。Order Submission Behaviors and Opening Price Behaviors: Evidence from an Emerging Market。Review of Quantitative Finance and Accounting,33(3),253-278。  new window
45.Cooney, J., Jr.、Sias, R. W.(2004)。Informed Trading and Order Type。Journal of Banking and Finance,28(7),1711-1743。  new window
研究報告
1.Campbell, J.Y.、T. Ramadorai、T.O. Vuolteenaho(2005)。Caught on Tape: Institutional Order Flow and Stock Returns。Harvard University。  new window
2.Wermers, R.(2004)。Is Money Really Smart? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence。University of Maryland。  new window
3.Seasholes, Mark S.(2000)。Smart Foreign Traders in Emerging Markets。Harvard Business School。  new window
學位論文
1.Anand, A.、T. Martell(2001)。Informed limit order trading(-)。Syracuse University。  new window
圖書
1.Schwartz, R. A.、Shapiro, J. E.(1992)。The Challenge of Institutionalization for the Equity Market。Recent Development in Finance。New York, NY:New York University Salomon Center。  new window
 
 
 
 
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