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題名:盤前公開資訊、開盤價格發現與投資人委託決策
書刊名:經濟論文
作者:曾翊恆 引用關係魏品揚
作者(外文):Tseng, Yi-hengWei, Ping-yang
出版日期:2017
卷期:45:4
頁次:頁503-597
主題關鍵詞:臺灣證交所開盤集合競價價格發效率委託積極度Taiwan stock exchangeOpening call auctionPrice discoveryOrder aggressiveness
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:1
  • 共同引用共同引用:16
  • 點閱點閱:4
期刊論文
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4.Hvidkjaer, Soeren(2008)。Small Trades and the Cross-Section of Stock Returns。Review of Financial Studies,21(3),1123-1151。  new window
5.台灣證券交易所(2012)。我國有價證券借貸市場的過去、現況與未來。證交資料,599,6-13。  延伸查詢new window
6.Anand, Amber、Chakravarty, Sugato、Martell, Terrence(2005)。Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders。Journal of Financial Markets,8(2),289-309。  new window
7.Bloomfield, Robert、O'Hara, Maureen、Saar, Gideon(2005)。The "Make or Take" Decision in an Electronic Market: Evidence on the Evolution of Liquidity。Journal of Financial Economics,75(1),165-199。  new window
8.Engelberg, Josphn E.、Reed, Adam V.、Ringgenberg, Matthew C.(2012)。How Are Shorts Informed?: Short Sellers, News, and Information Processing。Journal of Financial Economics,105,260-278。  new window
9.Hasbrouck, Joel、Saar, Gideon(2009)。Technology and Liquidity Provision: The Blurring of Traditional Definitions。Journal of Financial Markets,12(2),143-172。  new window
10.Huang, Yu Chuan、Chan, Shu Hui(2010)。Trading Behavior on Expiration Days and Quarter-end Days: The Effect of A New Closing Method。Emerging Markets Finance and Trade,46,105-125。  new window
11.Lu, Tsung-Hsun(2014)。The Profitability of Candlestick Charting in the Taiwan Stock Market。Pacific-Basin Finance Journal,26,65-78。  new window
12.Moshirian, Fariborz、Nguyen, Huong Giang (Lily)、Pham, Peter Kien(2012)。Overnight Public Information, Order Placement, and Price Discovery during the Pre-Opening Period。Journal of Banking and Finance,36(10),2837-2851。  new window
13.Tao, Juan、Green, Christopher J.(2013)。Transactions Costs, Index Arbitrage and Non-linear Dynamics between FTSE100 Spot and Futures: A Threshold Cointegration Analysis。International Journal of Finance and Economics,18,175-187。  new window
14.Hirose, Takehide、Kato, Hideaki Kiyoshi、Bremer, Marc(2009)。Can Margin Traders Predict Future Stock Returns in Japan?。Pacific-Basin Finance Journal,17,41-57。  new window
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18.Cao, Charles、Ghyels, Eric、Hatheway, Frank(2000)。Price Discovery without Trading: Evidence from the Nasdaq Preopening。Journal of Finance,55(3),1339-1365。  new window
19.Ciccotello, C. S.、Hatheway, F. M.(2000)。Indicating Ahead: Best Execution and the NASDAQ Preopening。Journal of Financial Intermediation,9,184-212。  new window
20.Comerton-Forde, C.、Rydge, J.(2006)。The Influence of Call Auction Algorithm Rules on Market Efficiency。Journal of Financial Markets,9(2),199-222。  new window
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24.洪碧霞、陳瑞璽、黃永成、廖信彥(20120600)。委託單失衡、投資人類別與股票報酬之實證研究。證券市場發展,24(2)=94,1-48。new window  延伸查詢new window
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29.Ma, Tai、Lin, Yaling、Chen, Hsiu-Kuei(2008)。Are Investor More Aggressive in Transparent Market?。Asia-Pacific Journal of Financial Studies,37(2),343-380。  new window
30.Liu, Wai-Man(2009)。Monitoring and Limit Order Submission Risks。Journal of Financial Markets,12(1),107-141。  new window
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32.Aitken, Michael J.、Almeida, Niall、DeB. Harris, Frederick H.、McInish, Thomas H.(2007)。Liquidity Supply in Electronic Markets。Journal of Financial Markets,10(2),144-168。  new window
33.蔡佩雯(20100400)。我國證券集中交易市場開盤及收盤資訊揭露之規劃建議。證交資料,576,8-21。  延伸查詢new window
34.曾翊恆(20141200)。投資人如何在收盤集合競價時間決定委託價、量積極度?探究資訊揭露對自然人與機構投資人之影響。經濟論文叢刊,42(4),539-599。new window  延伸查詢new window
35.張裕任、吳琮璠、王泰昌(20120300)。影響外資持股偏好因素之探討:安全性及資訊不對稱。證券市場發展,24(1)=93,1-44。new window  延伸查詢new window
36.林雅玲、馬黛(20110300)。透明度、資訊內涵及下單策略之實證研究。財務金融學刊,19(1),1-32。new window  延伸查詢new window
37.Pagano, M. S.、Peng, L.、Schwartz, R. A.(2013)。A Call Auction's Impact on Price Formation and Order Routing: Evidence from the NASDAQ Stock Market。Journal of Financial Markets,16,331-361。  new window
38.詹場、李志宏(20140300)。市場穩定與競價制度--臺灣期貨市場之實證。經濟論文叢刊,42(1),49-101。new window  延伸查詢new window
39.Garbade, Kenneth D.、Silber, William L.(1979)。Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk。Journal of Finance,34(3),577-593。  new window
40.Mendelson, H.(1982)。Market Behavior in a Clearing House。Econometrica,50(6),1505-1524。  new window
41.Barclay, Michael J.、Warner, Jerold B.(1993)。Stealth trading and volatility which trades move prices?。Journal of Financial Economics,34(3),281-305。  new window
42.李怡宗、劉玉珍、王錦瑩、陳薇如、賴文弘(20090400)。限價委託簿資訊透明度與市場品質。證券市場發展季刊,21(1)=81,51-86。new window  延伸查詢new window
43.陳瑞璽、洪碧霞、蔡侑達(20150600)。公開資訊觀測站訊息如何影響股票報酬?臺灣股票市場日內及日間資料分析。證券市場發展季刊,27(2)=106,125-184。new window  延伸查詢new window
44.曾翊恆(20160300)。集合競價、限價簿揭露資訊與委託積極度決策。證券市場發展季刊,28(1)=109,39-101。new window  延伸查詢new window
45.臺灣證券交易所(2012)。臺灣證券交易所走過50年--民國96年鼓勵鮭魚返郷,力推TDR在臺第二上市。證交資料,597,8-36。  延伸查詢new window
46.鄭曜昌、林啟忠(20131200)。我國證券交易市場開(收)盤資訊揭露的未來發展方向。證券暨期貨月刊,31(12),5-12。  延伸查詢new window
47.謝俊魁、林建甫(20040600)。緩長記憶與狀態變換。經濟論文叢刊,32(2),193-232。new window  延伸查詢new window
48.Amihud, Y.、Mendelson, H.(1991)。Volatility, Efficiency and Trading: Evidence the Japanese Stock Market。Journal of Finance,46,1765-1789。  new window
49.Anagnostidis, P.、Kanas, A.、Papachristou, G.(2015)。Information Revelation in the Greek Exchange Opening Call: Daily and Intraday Evidence。Journal of International Financial Markets, Institutions and Money,38,167-184。  new window
50.Biais, B.、Bisière, C.、Pouget, S.(2013)。Equilibrium Discovery and Preopening Mechanisms in an Experimental Market。Management Science,60,753-759。  new window
51.Brooks, R.、Negro, M. D.(2006)。Firm-Level Evidence on International Stock Market Comovement。Review of Finance,10,69-98。  new window
52.Dia, M.、Pouget, S.(2011)。Sunshine Trading in an African Stock Market。Managerial Finance,37,257-274。  new window
53.Dodd, O.、Gakhovich, A.(2011)。The Holiday Effect in Central and Eastern European Financial Markets。Investment Management and Financial Innovations,8,29-35。  new window
54.Doyle, J.、Magilke, M.(2009)。The Timing of Earnings Announcements: An Examination of the Strategic Disclosure Hypothesis。The Accounting Review,84,157。  new window
55.Hollifield, Burton、Miller, Robert A.、Sandås, Patrik、Slive, Joshua(2006)。Estimating the Gains from Trade in Limit-Order Markets。Journal of Finance,61,2753-2804。  new window
56.Ibikunle, G.(2015)。Opening and Closing Price Efficiency: Do Financial Markets Need the Call Auction?。Journal of International Financial Markets, Institutions and Money,34,208-227。  new window
57.Kalay, A.、Li, W.、Wohl, A.(2002)。Continuous Trading or Call Actions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange。Journal of Finance,57,523-542。  new window
58.Liu, W.、Hsieh, W. G.、Tu, A. H.(2017)。Does the Early Bird Catch the Warm? The Information Content of Taiwan's Index Option Trading in the Early 15-Min Pre-Opening Session。North American Journal of Economics and Finance,41,168-189。  new window
59.Madhavan, A.、Panchapagesan, V.(2000)。Price Discovery in Auction Market: A Look inside the Black Box。Review of Financial Studies,13,627-658。  new window
60.Otsubo, Y.(2014)。International Cross-Listing and Price Discovery under Trading Concentration in the Domestic Market: Evidence from Japanese Shares。Journal of Empirical Finance,25,36-51。  new window
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62.Wang, Jianxin、Yang, Minxian(2011)。Housewives of Tokyo versus the Gnomes of Zurich: Measuring Price Discovery in Sequential Markets。Journal of Financial Markets,14,82-108。  new window
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圖書
1.顏月珠(2010)。無母數統計方法。台北:顏月珠。  延伸查詢new window
單篇論文
1.Kuk, J.,Liu, W.-M, R.,Pham, P. K.(2016)。Strategic Order Submission and Cancellation in Pre-Opening Periods and Its Impact on Price Discovery; The Case of IPO Firms,http://ssrn.com/abstract=1362484。  new window
 
 
 
 
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