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題名:Strategic Spoofing Order Trading by Different Types of Investors in Taiwan Index Futures Market
書刊名:財務金融學刊
作者:王韻怡
作者(外文):Wang, Yun-yi
出版日期:2019
卷期:27:1
頁次:頁65-103
主題關鍵詞:虛單流動性波動性機構投資人個別交易人Spoofing ordersLiquidityVolatilityInstitutional investorsIndividual traders
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:2
  • 點閱點閱:8
期刊論文
1.Gerety, Mason S.、Mulherin, J. Harold(1992)。Trading halts and market activity: An analysis of volume at the open and the close。The Journal of Finance,47(5),1765-1784。  new window
2.Felixson, Karl、Pelli, Anders(1999)。Day End Returns--Stock Price Manipulation。Journal of Multinational Financial Management,9(2),95-127。  new window
3.Aggarwal, Rajesh K.、Wu, Guojun(2006)。Stock Market Manipulations。Journal of Business,79(4),1915-1953。  new window
4.Comerton-Forde, Carole、Putniņš, Tālis J.(2011)。Measuring Closing Price Manipulation。Journal of Financial Intermediation,20(2),135-158。  new window
5.Hillion, Pierre、Suominen, Matti(2004)。The Manipulation of Closing Prices。Journal of Financial Markets,7(4),351-375。  new window
6.Khwaja, Asim Ijaz、Mian, Atif(2005)。Unchecked Intermediaries: Price Manipulation in An Emerging Stock Market。Journal of Financial Economics,78(1),203-241。  new window
7.Jarrow, Robert A.(1994)。Derivative security markets, market manipulation, and option pricing theory。Journal of Financial and Quantitative Analysis,29(2),241-261。  new window
8.Admati, Anat R.、Pfleiderer, Paul(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
9.林允永、謝文良(20070400)。Mini Index Futures: Information Impacts, Relative Pricing, and Arbitrage Opportunities in the Least Frictional Markets。財務金融學刊,15(1),103-134。new window  new window
10.Kumar, Praveen、Seppi, Duane J.(1992)。Futures manipulation with "cash settlement"。The Journal of Finance,47(4),1485-1502。  new window
11.Jain, Prem C.、Joh, Gun-Ho(1988)。The dependence between hourly prices and trading volume。Journal of Financial and Quantitative Analysis,23(3),269-283。  new window
12.Chou, Robin K.、Wang, George H.、Wang, Yun-Yi(2015)。The impacts of individual day trading strategies on market liquidity and volatility: Evidence from the Taiwan Index Futures Market。Journal of Futures Markets,35(5),399-425。  new window
13.O'Hara, Maureen(2015)。High frequency market microstructure。Journal of Financial Economics,116(2),257-270。  new window
14.Chordia, Tarun、Goyal, Amit、Lehmann, Bruce N.、Saar, Gideon(2013)。High-frequency trading。Journal of Financial Markets,16(4),637-645。  new window
15.Hasbrouck, Joel、Saar, Gideon(2013)。Low-Latency trading。Journal of Financial Markets,16(4),646-679。  new window
16.Foster, F. Douglas、Viswanathan, Subramanian(1993)。Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models。Journal of Finance,48(1),187-211。  new window
17.Easterbrook, Frank H.(1986)。Monopoly, manipulation, and the regulation of futures markets。Journal of Business,59(2),S103-S127。  new window
18.Carrion, Allen(2013)。Very fast money: High-frequency trading on the NASDAQ。Journal of Financial Markets,16(4),680-711。  new window
19.Brogaard, Jonathan、Hendershott, Terrence、Riordan, Ryan(2014)。High-frequency trading and price discovery。The Review of Financial Studies,27(8),2267-2306。  new window
20.Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2014)。The cross-section of speculator skill: Evidence from day trading。Journal of Financial Markets,18,1-24。  new window
21.Allen, Franklin、Gorton, Gary(1992)。Stock price manipulation, market microstructure and asymmetric information。European Economic Review,36(2/3),624-630。  new window
22.Allen, Franklin、Gale, Douglas(1992)。Stock-price manipulation。The Review of Financial Studies,5(3),503-529。  new window
23.Jarrow, Robert A.(1992)。Market manipulation, bubbles, corners, and short squeezes。Journal of Financial and Quantitative Analysis,27(3),311-336。  new window
24.Jiang, Guolin、Mahoney, Paul G.、Mei, Jianping(2005)。Market manipulation: A comprehensive study of stock pools。Journal of Financial Economics,77(1),147-170。  new window
25.Lee, Eun Jung、Eom, Kyong Shik、Park, Kyung Suh(2013)。Microstructure-based manipulation: Strategic behavior and performance of spoofing traders。Journal of Financial Markets,16(2),227-252。  new window
26.Manahov, Viktor(2016)。Front‐Running Scalping Strategies and Market Manipulation: Why Does High‐Frequency Trading Need Stricter Regulation?。Financial Review,51(3),363-402。  new window
27.Menkveld, Albert J.(2013)。High frequency trading and the new market makers。Journal of Financial Markets,16(4),712-740。  new window
28.Pirrong, Stephen Craig(1993)。Manipulation of the commodity futures market delivery process。Journal of Business,66(3),335-369。  new window
29.Wang, George H. K.、Yau, Jot(2000)。Trading volume, bid-ask spread, and price volatility in futures markets。Journal of Futures Markets,20(10),943-970。  new window
30.Wood, Robert A.、McInish, Thomas H.、Ord, J. Keith(1985)。An investigation of transactions data for NYSE stocks。Journal of Finance,40(3),723-739。  new window
31.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。  new window
研究報告
1.Hu, Grace X.、Pan, Jun、Wang, Jiang(2014)。Early peek advantage?。  new window
2.Biais, Bruno、Woolley, Paul(2011)。High-Frequency trading。  new window
3.Leis, Diego(2012)。High Frequency Trading: Market Manipulation and Systemic Risks from an EU Perspective。  new window
其他
1.Hope, Bradley,Albanese, Chiara,Viswanatha, Aruna(20150506)。Navinder Sarao's "Flash Crash" Case Highlights Problem of "Spoofing" in Complex Markets。  new window
圖書論文
1.Kyle, Albert S.(1984)。A theory of futures market manipulation。The Industrial Organization of Futures Markets。Lexington, MA:Lexington Books。  new window
 
 
 
 
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