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題名:加寬漲跌幅限制與暫緩收盤觸動之實證觀察
書刊名:經濟論文
作者:曾翊恆
作者(外文):Tseng, Yi-heng
出版日期:2019
卷期:47:4
頁次:頁613-650
主題關鍵詞:臺灣證券交易所漲跌幅限制委託積極度委託成效暫緩交易Taiwan stock exchangePrice limitOrder aggressivenessOrder performanceTrading halt
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:14
  • 點閱點閱:4
期刊論文
1.Kaniel, Ron、Saar, Gideon、Titman, Sheridan(2008)。Individual Investor Trading and Stock Return。Journal of Finance,63,273-310。  new window
2.Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spreads。Journal of Finance,38,1457-1469。  new window
3.Kim, K. A.、Rhee, S. G.(1997)。Price Limit Performance: Evidence from the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。  new window
4.Chung, J. M.、Choe, H.、Kho, B. C.(2009)。The Impact of Day-Trading on Volatility and Liquidity。Asia-Pacific Journal of Financial Studies,38(2),237-275。  new window
5.McCloskey, D. N.、Ziliak, S. T.(1996)。The Standard Error of Regressions。Journal of Economic Literature,34(1),97-114。  new window
6.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
7.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
8.Menkhoff, L.、Osler, C. L.、Schmeling, M.(2010)。Limit-order submission strategies under asymmetric information。Journal of Banking and Finance,34(11),2665-2677。  new window
9.Chan, S. H.、Kim, K. A.、Rhee, S. G.(2005)。Price limit performance: Evidence from transactions data and the limit order book。Journal of Empirical Finance,12(2),269-290。  new window
10.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
11.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
12.Biais, Bruno、Hillion, Pierre、Spatt, Chester(1995)。An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse。Journal of Finance,50(5),1655-1689。  new window
13.Duong, Huu Nhan、Kalev, Petko S.、Krishnamurti, Chandrasekhar(2009)。Order Aggressiveness of Institutional and Individual Investors。Pacific-Basin Finance Journal,17(5),533-546。  new window
14.Ellul, Andrew、Holden, Craig W.、Jain, Pankaj、Jennings, Robert H.(2007)。Order Dynamics: Recent Evidence from the NYSE。Journal of Empirical Finance,14(5),636-661。  new window
15.Fong, Kingsley Y. L.、Liu, Wai-Man(2010)。Limit Order Revisions。Journal of Banking and Finance,34(8),1873-1885。  new window
16.Goettler, Ronald L.、Parlour, Christine A.、Rajan, Uday(2005)。Equilibrium in a Dynamic Limit Order Market。Journal of Finance,60(5),2149-2192。  new window
17.Griffiths, Mark D.、Smith, Brian F.、Turnbull, D. Alasdair S.、White, Robert W.(2000)。The Costs and the Determinants of Order Aggressiveness。Journal of Financial Economics,56(1),65-88。  new window
18.Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。  new window
19.Parlour, Christine A.(1998)。Price Dynamics in Limit Order Markets。Review of Financial Studies,11(4),789-816。  new window
20.Pascual, Roberto、Veredas, David(2009)。What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?。Quantitative Finance,9(5),527-545。  new window
21.Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。  new window
22.Valenzuela, Marcela、Zer, Iiknur(2013)。Competition, Signaling and Non-walking through the Book: Effects on Order Choice。Journal of Banking and Finance,37(12),5421-5435。  new window
23.Cao, Charles、Hansch, Oliver、Wang, Xiaoxin(2008)。Order placement strategies in a pure limit order book market。Journal of Financial Research,31,113-140。  new window
24.Harris, Lawrence(1998)。Optimal dynamic order submission strategies in some stylized trading problems。Financial Markets, Institutions and Instruments,7,1-76。  new window
25.Hung, Pi-Hsia(2016)。Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange。Pacific-Basin Finance Journal,39,124-140。  new window
26.Cho, J.-W.、Nelling, E.(2000)。The Probability of Limit-Order Execution。Financial Analysts Journal,56(5),28-33。  new window
27.曾翊恆、魏品揚(20171200)。盤前公開資訊、開盤價格發現與投資人委託決策。經濟論文,45(4),503-597。new window  延伸查詢new window
28.Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2009)。Just How Much Do Individual Investors Lose by Trading?。The Review of Financial Studies,22(2),609-632。  new window
29.王宏瑞(2015)。淺談盤中逐筆競價機制對於開(收)盤資訊揭露的影響。證券服務,638,38-44。  延伸查詢new window
30.張維碩、馬黛(20121000)。由個股價格跳躍觀點分析臺股漲跌幅限制放寬措施。管理與系統,19(4),701-727。new window  延伸查詢new window
31.蔡佩雯(20151200)。「放寬股市漲跌幅度及擴大當沖範圍」措施之介紹。證券暨期貨月刊,33(12),5-14。  延伸查詢new window
32.Ahmed, W. M. A.(2014)。The Trading Patterns and Performance of Individual vis-à-vis Institutional Investors in the Qatar Exchange。Review of Accounting and Finance,13(1),24-42。  new window
33.Chiao, C.、Wang, Z.、Tong, S.(2017)。Order Cancellations across Investors: Evidence from an Emerging Order-Driven Market。Review of Quantitative Finance and Accounting,49,1167-1193。  new window
34.Chiu, J.、Chung, H.、Wang, G. H. K.(2017)。Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market。Journal of Futures Markets,37(11),1094-1123。  new window
35.Farag, H.(2013)。Price Limit Bands, Asymmetric Volatility and Stock Market Anomalies: Evidence from Emerging Markets。Global Finance Journal,24(1),85-97。  new window
36.Foucault, T.(1999)。Order Flow Composition and Trading Cost in a Dynamic Limit Order Book。Journal of Financial Market,2,99-134。  new window
37.Hung, P.、Lien, D.(2019)。Trading Aggressiveness, Order Execution Quality, and Stock Price Movements: Evidence from the Taiwan Stock Exchange。Journal of International Financial Markets, Institutions and Money,60,231-251。  new window
38.Kim, Y. H.、Yang, J. J.(2004)。What Makes Circuit Breakers Attractive to Financial Market? A Survey。Financial Markets Institutions and Instruments,13(3),109-146。  new window
39.Liu, W. M.(2009)。Monitoring Limit Order Submission Risks。Journal of Financial Markets,12(1),107-141。  new window
40.Lo, D.(2017)。On the Limit Order Behaviour of Retail and Non-Retail Investors。Pacific-Basin Finance Journal,44,1-12。  new window
41.Phylaktis, K.、Kavussanos, M.、Manalis, G.(1999)。Price Limits and Stock Market Volatility in Athens Stock Exchange。European Financial Management,5(1),69-84。  new window
42.曾翊恆、張嘉玲、王凱立(20170600)。Order Choices, Order Performance, and Price Discovery during Closing Call Auctions--A Case Study of Improved LOB Disclosure in Taiwan Stock Exchange。財務金融學刊,25(2),105-156。new window  new window
43.Yamamoto, R.(2014)。An Empirical Analysis of Non-Execution and Picking-Off Risks on the Tokyo Stock Exchange。Journal of Empirical Finance,29,369-383。  new window
44.Gompers, Paul Alan、Metrick, Andrew(2001)。Institutional investors and equity prices。The Quarterly Journal of Economics,116(1),229-259。  new window
45.Lakonishok, Josef、Maberly, Edwin(1990)。The Weekend Effect: Trading Patterns of Individual and Institutional Investors。Journal of Finance,45(1),231-243。  new window
46.徐士勛、陳琮仁、林士淵、張金鶚(20200300)。高雄氣爆後的房價被市場暴棄了?。經濟論文,48(1),33-68。new window  延伸查詢new window
47.薛立言、陳獻儀(20040600)。漲跌幅限制變化對投資人預期之影響。臺大管理論叢,14(2),179-196。new window  延伸查詢new window
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
2.Greene, W. H.(2018)。Econometric Analysis。New York:Pearson。  new window
圖書論文
1.Fama, E. F.(1989)。Perspectives on October 1987, or What Did We Learn From the Crash?。Black Monday and the Future of the Financial Markets。Homewood, IL:Dow Jones-Irwin。  new window
 
 
 
 
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