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題名:The Intraday Price Discovery of Taiwan's Dual-Trading Foreign Exchange Market
書刊名:Corporate Management Review
作者:陳達新李英新
作者(外文):Chen, Dar-hsinLee, Ying-hsin
出版日期:2016
卷期:36:2
頁次:頁1-29
主題關鍵詞:CointegrationVector error correction modelForeign exchange marketPrice discovery
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:13
  • 點閱點閱:10
期刊論文
1.de Jong, F.(2002)。Measures of contributions to price discovery: A comparison。Journal of Financial Markets,5(3),323-327。  new window
2.Lehmann, B. N.(2002)。Some desiderata for the measurement of price discovery across markets。Journal of Financial Markets,5(3),259-276。  new window
3.Lieberman, O.、Ben-Zion, U.、Hauser, S.(1999)。A characterization of the price behavior of international dual stocks: an error correction approach。Journal of International Money and Finance,18(2),289-304。  new window
4.Lien, Donald、Shrestha, Keshab(2009)。A new information share measure。Journal of Futures Markets,29(4),377-395。  new window
5.Aslanidis, N.、Kouretas, G. P.(2005)。Testing for Two-regime Threshold Cointegration in the Parallel and Official Markets for Foreign Currency in Greece。Economic Modelling,22(4),665-682。  new window
6.林雅玲、馬黛(20140600)。The Relationship between Pre-trade Transparency, Order Imbalance and Investors' Behavioral Biases。交大管理學報,34(1),79-116。new window  new window
7.Gonzalo, Jesus、Granger, Clive W. J.(1995)。Estimation of Common Long-Memory Components in Cointegrated Systems。Journal of Business and Economic Statistics,13(1),27-35。  new window
8.Tse, Y.、Bandyopadhyay, P.、Shen, Y. P.(2006)。Intraday Price Discovery in the DJIA Index Markets。Journal of Business Finance and Accounting,33(9/10),1572-1585。  new window
9.Tse, Y.、Xiang, J.、Fung, J. K. W.(2006)。Price discovery in the foreign exchange futures market。Journal of Futures Markets,26(11),1131-1143。  new window
10.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
11.Baillie, R. T.、Booth, G. G.、Tse, Y.、Zabotina, T.(2002)。Price Discovery and Common Factor Models。Journal of Financial Markets,5(3),309-321。  new window
12.Chordia, T.、Roll, R.、Subrahmanyam, A.(2008)。Liquidity and market efficiency。Journal of Financial Economics,87(2),249-268。  new window
13.Pesaran, M. H.、Shin, Y.(1998)。Generalised Impulse Response Analysis in Linear Multivariate Models。Economics Letters,58(1),17-29。  new window
14.Baba, N.、Inada, M.(2009)。Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets。Journal of International Financial Markets, Institutions and Money,19(4),616-632。  new window
15.Peiers, B.(1997)。Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market。Journal of Finance,52(4),1589-1614。  new window
16.Sapp, S. G.(2002)。Price leadership in the spot foreign exchange market。Journal of Financial and Quantitative Analysis,37,425-448。  new window
17.張巧宜、陳香蘭、楊馥嫣(20150600)。The Effect of Herding Behavior and the Sentiments of Investors on Taiwan Stock Index Futures。交大管理學報,35(1),25-46。new window  new window
18.Aggarwal, R.、Mougouè, M.(1996)。Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese Yen。Japan and the World Economy,8(3),291-308。  new window
19.Wan, J. Y.、Kao, C. W.(2009)。Price discovery in Taiwan's foreign exchange market。Journal of International Financial Markets, Institutions and Money,19(1),77-93。  new window
20.Wang, P.、Bhar, R.(2014)。Information content in CDS spreads for equity returns。Journal of International Financial Markets, Institutions and Money,30,55-80。  new window
21.Piccotti, L.、Schreiber, B.(2015)。Information shares of two parallel currency options markets: Trading costs versus transparency/tradability。Journal of Empirical Finance,32,210-229。  new window
22.Pascual, R.、Pascual-Fuster, B.(2014)。The relative contribution of ask and aid quotes to price discovery。Journal of Financial Markets,20,129-150。  new window
23.Lok, E.、Kalev, P. S.(2006)。The intraday price behaviour of Australian and New Zealand cross-listed stocks。International Review of Financial Analysis,15(4/5),377-397。  new window
24.Lien, Donald、Shrestha, Keshab(2014)。Price discovery in interrelated markets。Journal of Future Markets,34(3),203-219。  new window
25.King, Michael R.、Osler, Carol L.、Rime, Dagfinn(2013)。The market microstructure approach to foreign exchange: Looking back and looking forward。Journal of International Money and Finance,38,95-119。  new window
26.Kao, C. W.、Wan, J. Y.(2012)。An investigation on the price discovery of the NT-Dollar foreign exchange market。Taiwan Economic Forecast and Policy,42(2),81-117。  new window
27.Kanas, A.、Kouretas, G. P.(2001)。Black and official exchange rate volatility and foreign exchange controls: Evidence from Greece。International Journal of Finance and Economics,6(1),13-25。  new window
28.Kaul, A.、Mehrotra, V.(2007)。The role of trades in price convergence: A study of dual-listed Canadian stocks。Journal of Empirical Finance,14(2),196-219。  new window
29.Hasbrouck, J.(2002)。Stalking the 'efficient price' in market microstructure specifications: An overview。Journal of Financial Markets,5(3),329-339。  new window
30.Harris, F. H.、McInish, T. H.、Wood, R. A.(2002)。Security price adjustment across exchanges: An investigation of common factor components for Dow stocks。Journal of Financial Markets,5(3),277-308。  new window
31.Greb, F.、Von Cranon-Taubadel, S.、Krivobokov, T.、Munk, A.(2013)。Estimation of threshold models in price transmission analysis。American Journal of Agricultural Economics,95(4),900-916。  new window
32.Giannellis, N.、Papadopoulos, A. P.(2011)。What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries。Journal of International Money and Finance,30(1),39-61。  new window
33.Gebka, B.、Serwa, D.(2006)。Are financial spillovers stable across regimes? Evidence from the 1997 Asian crisis。Journal of International Financial Markets, Institutions and Money,16(4),301-317。  new window
34.Delatte, Anne-Laure、Gex, Mathieu、López-Villavicencio, Antonia(2012)。Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?。Journal of International Money and Finance,31(3),481-497。  new window
35.Demian, C.(2011)。Cointegration in central and east European markets in light of EU accession。Journal of International Financial Markets, Institutions and Money,21(1),144-155。  new window
36.Chen, Yu-Lun、Gau, Yin-Feng(2014)。Asymmetric responses of ask and bid quotes to information in the foreign exchange market。Journal of Banking and Finance,38(1),194-204。  new window
37.Chang, Y. C.、Taylor, S. J.(2003)。Information arrivals and intraday exchange rate volatility。Journal of International Financial Markets, Institutes and Money,13(1),85-112。  new window
38.張志向(20130600)。The Behavior of Commercial Paper Rates: Data Frequencies and Great Events。交大管理學報,33(1),65-104。new window  new window
39.Chan, S. J.、Hsu, H.、Lin, C. C.、Chen, I. C.(2007)。Impact of spot trading activity on the futures-spot relationship。Chiao Da Management Review,27(1),169-194。  new window
40.Breedon, F.、Ranaldo, A.(2013)。Intraday patterns in FX returns and order flow。Journal of Money, Credit and Banking,45(5),953-965。  new window
41.Brailsford, T.、Penm, J. H.、Terrell, R. D.(2006)。The equivalence of causality detection in VAR and VECM modeling with applications to exchange rates。Multinational Finance Journal,10(3),153-178。  new window
42.Shastri, Kuldeep、Thirumalai, Ramabhadran S.、Zutter, Chad J.(2008)。Information revelation in the futures market: Evidence from single stock futures。Journal of Futures Markets,28(4),335-353。  new window
43.張元晨(20070600)。銀行間新臺幣兌美元外匯交易流動性與交易成本的分析:臺北與元太外匯經紀公司的比較。中山管理評論,15(2),299-321。new window  延伸查詢new window
圖書
1.Johansen, S.(1995)。Likelihood-based inference in cointegrated vector autoregressive models。Oxford University Press。  new window
 
 
 
 
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