المؤلفون: 林丙輝, 張森林, 葉仕國, Lin, M.H., Chung, S.L., Yeh, S.K.

المساهمون: 國立中興大學財務金融學系教授, 國立臺灣大學財務金融學系教授, Professor, Department of Finance, National Chung Hsing University, Professor, Department of Finance, National Taiwan University, 林丙輝, 張森林, 葉仕國, Lin, M.H., Chung, S.L., Yeh, S.K.

مصطلحات موضوعية: 衍生性金融商品, 實證研究, 實質選擇權, 市場微結構, derivatives, empirical research, real option, market microstructure, manag, eco

Time: 163

Relation: http://ntur.lib.ntu.edu.tw/handle/246246/284270

الاتاحة: http://ntur.lib.ntu.edu.tw/handle/246246/284270

المؤلفون: 張志宏, 洪瑞成, 邱建良

المساهمون: 國企系

مصطلحات موضوعية: 即期匯率, 隱含匯率, 價格發現, 臺灣期貨交易所, 市場微結構, Implied exchange rate, Microstructure, Price discovery, Spot exchange rate, Taiwan Futures Exchange

وصف الملف: 475 bytes; text/html

Relation: International Journal of Information and Management Sciences 24:1 2013.03[民102.03] 頁23-38+a7; http://ir.lib.pccu.edu.tw//handle/987654321/37475; http://ir.lib.pccu.edu.tw/bitstream/987654321/37475/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/37475
http://ir.lib.pccu.edu.tw/bitstream/987654321/37475/2/index.html

المؤلفون: 山本竜市

المساهمون: 國立政治大學國際貿易學系, 行政院國家科學委員會

مصطلحات موضوعية: 長期記憶性, 委託單切割, 市場微結構, Long-memory, order-splitting, microstructure, order flow, agent-based

Relation: 基礎研究; 學術補助; 研究期間:9708~ 9807; 研究經費:370仟元; https://nccur.lib.nccu.edu.tw//handle/140.119/53110; https://nccur.lib.nccu.edu.tw/bitstream/140.119/53110/-1/972416H001.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/53110
https://nccur.lib.nccu.edu.tw/bitstream/140.119/53110/-1/972416H001.pdf

المؤلفون: 黃彥聖

مصطلحات موضوعية: 市場微結構, 升降單位, 收盤集合競價, 流動性, 價格發現

Relation: http://ir.lib.ntust.edu.tw/handle/987654321/4506; http://ir.lib.ntust.edu.tw/bitstream/987654321/4506/1/市場機制與股票價格行為.PDF

الاتاحة: http://ir.lib.ntust.edu.tw/handle/987654321/4506
http://ir.lib.ntust.edu.tw/bitstream/987654321/4506/1/市場機制與股票價格行為.PDF

المؤلفون: 華濰儒, Hua, Wei-Ru

المساهمون: 陳鴻毅 郭維裕, Chen, Hong-Yi Kuo, Wei-Yu

مصطلحات موضوعية: 市場微結構, 定價錯誤, 異質信念, Market microstructure, Mispricing, Heterogeneous beliefs

وصف الملف: 6427285 bytes; application/pdf

Relation: Abarbanell, Jeffery S, William N Lanen, and Robert E Verrecchia, 1995, Analysts’ Forecasts as Proxies for Investor Beliefs in Empirical Research, Journal of Accounting and Economics 20, 31–60.\nAkins, Brian K, Jeffrey Ng, and Rodrigo S Verdi, 2012, Investor Competition over Information and the Pricing of Information Asymmetry, The Accounting Review 87, 35–58.\nAmihud, Yakov, 2002, Illiquidity and Stock Returns: Cross-Section and Time-Series Effects, Journal of Financial Markets 5, 31–56.\nAmihud, Yakov, Allaudeen Hameed, Wenjin Kang, and Huiping Zhang, 2015, The Illiquidity Premium: International Evidence, Journal of Financial Economics 117, 350–368.\nAmihud, Yakov, and Haim Mendelson, 1986, Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics 17, 223–249.\nBack, Kerry, and Shmuel Baruch, 2004, Information in Securities Markets: Kyle Meets Glosten and Milgrom, Econometrica 72, 433–465.\nBack, Kerry, Kevin Crotty, and Tao Li, 2018, Identifying Information Asymmetry in Securities Markets, The Review of Financial Studies 31, 2277–2325.\nBaker, Malcolm, and Jeffrey Wurgler, 2006, Investor Sentiment and the Cross-Section of Stock Returns, The Journal of Finance 61, 1645–1680.\nBamber, Linda Smith, Orie E Barron, and Thomas L Stober, 1997, Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements, The Accounting Review 72, 575–597.\nBarron, Orie E, Oliver Kim, Steve C Lim, and Douglas E Stevens, 1998, Using Analysts’ Forecasts to Measure Properties of Analysts’ Information Environment, The Accounting Review 73, 421– 433.\nBarron, Orie E, and Pamela S Stuerke, 1998, Dispersion in Analysts’ Earnings Forecasts as a Measure of Uncertainty, Journal of Accounting, Auditing & Finance 13, 245–270.\nBarry, Christopher B, and Robert H Jennings, 1992, Information and Diversity of Analyst Opinion, Journal of Financial and Quantitative Analysis 27, 169–183.\nBerkman, Henk, Valentin Dimitrov, Prem C Jain, Paul D Koch, and Sheri Tice, 2009, Sell on the News: Differences of Opinion, Short-Sales Constraints, and Returns Around Earnings Announcements, Journal of Financial Economics 92, 376–399.\nBoehmer, Ekkehart, Gideon Saar, and Lei Yu, 2005, Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE, The Journal of Finance 60, 783–815.\nBrennan, Michael J., Sahn-Wook Huh, and Avanidhar Subrahmanyam, 2013, An Analysis of the Amihud Illiquidity Premium, Review of Asset Pricing Studies 3, 133–176.\nBrennan, Michael J., and Avanidhar Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441–464.\nCaballe, Jordi, and Murugappa Krishnan, 1994, Imperfect Competition in a Multi-Security Market with Risk Neutrality, Econometrica 62, 695.\nCen, Ling, K.C. John Wei, and Liyan Yang, 2016, Disagreement, Underreaction, and Stock Returns, Management Science 63, 1214–1231.\nChordia, Tarun, Sahn-Wook Huh, and Avanidhar Subrahmanyam, 2009, Theory-Based Illiquidity and Asset Pricing, The Review of Financial Studies 22, 3629–3668.\nDaniel, Kent, and Sheridan Titman, 1997, Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, The Journal of Finance 52, 1–33.\nDe Bondt, Werner FM, and Richard Thaler, 1985, Does the Stock Market Overreact?, The Journal of Finance 40, 793–805.\nDe Long, J Bradford, Andrei Shleifer, and Lawrence H Summers, 1990a, Noise Trader Risk in Financial Markets, Journal of Political Economy 98, 703–738.\nDe Long, J Bradford, Andrei Shleifer, Lawrence H Summers, and Robert J Waldmann, 1990b, Positive Feedback Investment Strategies and Destabilizing Rational Speculation, The Journal of Finance 45, 379–395.\nDiamond, Douglas W, and Robert E Verrecchia, 1987, Constraints on Short-Selling and Asset Price Adjustment to Private Information, Journal of Financial Economics 18, 277–311.\nDiether, Karl B, Christopher J Malloy, and Anna Scherbina, 2002, Differences of Opinion and the Cross Section of Stock Returns, The Journal of Finance 57, 2113–2141.\nDuarte, Jefferson, and Lance Young, 2009, Why Is PIN Priced?, Journal of Financial Economics 91, 119–138.\nEasley, David, S Hvidkjaer, and Maureen O’Hara, 2002, Is Information Risk a Determinant of Asset Returns?, The Journal of Finance 57, 2185–2221.\nEasley, David, Soeren Hvidkjaer, and Maureen OH́ara, 2010, Factoring Information into Returns, Journal of Financial and Quantitative Analysis 45, 293–309.\nEasley, David, N M Kiefer, and Maureen O’Hara, 1996, Liquidity, Information, and Infrequently Traded Stocks, The Journal of Finance 51, 1405.\nEasley, David, and Maureen O’Hara, 2004, Information and the Cost of Capital, The Journal of Finance 59, 1553–1583.\nFama, Eugene F, and Kenneth R French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics 33, 3–56.\nFama, Eugene F, and Kenneth R French, 2015, A Five-Factor Asset Pricing Model, Journal of Financial Economics 116, 1–22.\nFama, Eugene F, and J D MacBeth, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of political economy 81, 607–636.\nGarfinkel, Jon A, 2009, Measuring Investors’ Opinion Divergence, Journal of Accounting Research 47, 1317–1348.\nGivoly, Dan, and Josef Lakonishok, 1979, The Information Content of Financial Analysts’ Forecasts of Earnings: Some Evidence on Semi-Strong Inefficiency, Journal of Accounting and Economics 1, 165–185.\nGivoly, Dan, and Josef Lakonishok, 1980, Financial Analysts’ Forecasts of Earnings: Their Value to Investors, Joural of Banking and Finance 4, 221–233.\nGlosten, L R, and P R Milgrom, 1985, Bid, Ask and Transaction Prices in a Apecialist Market with Heterogeneously Informed Traders, Journal of Financial Economics 14, 71–100.\nGriffin, Paul A, 1976, Competitive Information in the Stock Market: An Empirical Study of Earnings, Dividends and Analysts’ Forecasts, The Journal of Finance 31, 631–650.\nGrossman, Sanford, 1976, On the efficiency of competitive stock markets where trades have diverse information., The Journal of Finance 31, 573–585.\nHarris, Milton, and Artur Raviv, 1993, Differences of Opinion Make a Horse Race, The Review of Financial Studies 6, 473–506.\nHirshleifer, David, 2001, Investor Psychology and Asset Pricing, The Journal of Finance 56, 1533– 1597.\nHong, Harrison, and Jeremy C Stein, 1999, A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets, The Journal of Finance 54, 2143–2184.\nHong, Harrison, and Jeremy C Stein, 2007, Disagreement and the Stock Market, Journal of Economic Perspectives 21, 109–128.\nHou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting Anomalies: An Investment Approach, The Review of Financial Studies 28, 650–705.\nHuang, Roger D, and Hans R Stoll, 1997, The Components of the Bid-Ask Spread: A General Approach, The Review of Financial Studies 10, 995–1034.\nHughes, John, Jing Liu, and Jun Liu, 2007, Information asymmetry, diversification, and cost of capital, The Accounting Review 82, 705–729.\nImhoff Jr, Eugene A, and Gerald J Lobo, 1984, Information Content of Analysts’ Composite Forecast Revisions, Journal of Accounting Research 22, 541–554.\nImhoff Jr, Eugene A, and Gerald J Lobo, 1992, The Effect of Ex Ante Earnings Uncertainty on Earnings Response Coefficients, The Accounting Review 67, 427–439.\nJegadeesh, Narasimhan, 1990, Evidence of Predictable Behavior of Security Returns, The Journal of Finance 45, 881–898.\nJegadeesh, Narasimhan, Joonghyuk Kim, Susan D Krische, and Charles M C Lee, 2004, Analyzing the Analysts: When Do Recommendations Add Value?, The Journal of Finance 59, 1083–1124.\nJegadeesh, Narasimhan, and Joshua Livnat, 2006, Revenue Surprises and Stock Returns, Journal of Accounting and Economics 41, 147–171.\nJegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance 48, 65–91.\nJiang, Guohua, Charles M C Lee, and Yi Zhang, 2005, Information Uncertainty and Expected Returns, Review of Accounting Studies 10, 185–221.\nKandel, Eugene, and Neil D Pearson, 1995, Differential Interpretation of Public Signals and Trade in Speculative Markets, Journal of Political Economy 103, 831–872.\nKelly, Bryan T, and Alexander Ljungqvist, 2012, Testing Asymmetric-Information Asset Pricing Models, The Review of Financial Studies 25, 1366–1413.\nKim, Oliver, and Robert E Verrecchia, 1991, Trading Volume and Price Reactions to Public Announcements, Journal of Accounting Research 29, 302–321.\nKyle, Albert S, 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315–1335.\nLang, Mark H, and Russell J Lundholm, 1996, Corporate disclosure policy and analyst behavior, The Accounting Review 71, 467–492.\nLee, Charles M C, and Bhaskaran Swaminathan, 2000, Price Momentum and Trading Volume, The Journal of Finance 55, 2017–2069.\nLintner, John, 1969, The Aggregation of Investor’s Diverse Judgments and Preferences in Purely Competitive Security Markets, Journal of Financial and Quantitative Analysis 4, 347.\nLiu, Weimin, 2006, A Liquidity-Augmented Capital Asset Pricing Model, Journal of Financial Economics 82, 631–671.\nLoh, Roger K, and René M Stulz, 2018, Is Sell-Side Research More Valuable in Bad Times?, The Journal of Finance 73, 959–1013.\nMadhavan, Ananth, Matthew Richardson, and Mark Roomans, 1997, Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks, The Review of Financial Studies 10, 1035–1064.\nMaloney, Michael T, and J Harold Mulherin, 2003, The Complexity of Price Discovery in An Efficient Market: the Stock Market Reaction to the Challenger Crash, Journal of Corporate Finance 9, 453–479.\nMendelson, Haim, and Tunay I Tunca, 2004, Strategic Trading, Liquidity, and Information Acquisition, The Review of Financial Studies 17, 295–337.\nMiller, Edward M, 1977, Risk, Uncertainty, and Divergence of Opinion, The Journal of Finance 32, 1151–1168.\nPástor, Ľuboš, and Robert F Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy 111, 642–685.\nRoss, Lee, 1977, The Intuitive Psychologist and His Shortcomings: Distortions in the Attribution Process, In Advances in Experimental Social Psychology 10, 173–220.\nSadka, Ronnie, 2006, Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk, Journal of Financial Economics 80, 309–349.\nSadka, Ronnie, and Anna Scherbina, 2007, Analyst Disagreement, Mispricing, and Liquidity, The Journal of Finance 62, 2367–2403.\nShleifer, Andrei, and Lawrence H Summers, 1990, The Noise Trader Approach to Finance, The Journal of Economic Perspectives 4, 19–33.\nShleifer, Andrei, and Robert W Vishny, 1997, The Limits of Arbitrage, The Journal of Finance 52, 35–55.\nStambaugh, Robert F, and Yu Yuan, 2016, Mispricing Factors, The Review of Financial Studies 30, 1270–1315.\nSubrahmanyam, Avanidhar, 1991, Risk Aversion, Market Liquidity, and Price Efficiency, The Review of Financial Studies .\nVan den Steen, Eric, 2011, Overconfidence by Bayesian-Rational Agents, Management Science 57, 884–896.\nVarian, Hal R, 1989, Differences of Opinion in Financial Markets, Financial Risk Theory, Evidence and Implications 3–37.\nWang, F Albert, 1998, Strategic Trading, Asymmetric Information and Heterogeneous Prior Beliefs, Journal of Financial Markets 1, 321–352.\nWang, Jiang, 1994, A Model of Competitive Stock Trading Volume, Journal of Political Economy 102, 127–168.\nYu, Jialin, 2011, Disagreement and return predictability of stock portfolios, Journal of Financial Economics 99, 162–183.\nZhang, X Frank, 2006a, Information Uncertainty and Analyst Forecast Behavior, Contemporary Accounting Research 23, 565–590.\nZhang, X Frank, 2006b, Information Uncertainty and Stock Returns, The Journal of Finance 61, 105–137.; G0102357502; https://nccur.lib.nccu.edu.tw//handle/140.119/133845; https://nccur.lib.nccu.edu.tw/bitstream/140.119/133845/1/750201.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/133845
https://doi.org/10.6814/NCCU202100150
https://nccur.lib.nccu.edu.tw/bitstream/140.119/133845/1/750201.pdf

المؤلفون: 林宗岳, Lin, Chung-Yueh

المساهمون: 洪碧霞, 管理學院:財務金融學系

مصطلحات موضوعية: 投資人類型, 市場微結構, 下單策略, 委託單規模, 交易行為, investor types, microstructure, order submission, order size, trading behavior, eco, manag

Relation: http://ir.ncnu.edu.tw:8080/handle/310010000/10215

الاتاحة: http://ir.ncnu.edu.tw:8080/handle/310010000/10215

المؤلفون: 林宗岳, Lin, Chung-Yueh

المساهمون: 洪碧霞, 管理學院:財務金融學系

مصطلحات موضوعية: 投資人類型, 市場微結構, 下單策略, 委託單規模, 交易行為, investor types, microstructure, order submission, order size, trading behavior

وصف الملف: 149 bytes; text/html

Relation: http://ir.ncnu.edu.tw:8080/handle/310010000/10215; http://ir.ncnu.edu.tw:8080/bitstream/310010000/10215/1/index.html

الاتاحة: http://ir.ncnu.edu.tw:8080/handle/310010000/10215
http://ir.ncnu.edu.tw:8080/bitstream/310010000/10215/1/index.html

المؤلفون: 林宗緯, Lin, Zong-Wei

المساهمون: 洪碧霞, 管理學院:財務金融學系

مصطلحات موضوعية: 市場微結構, 委託單積極度, 委託單規模, 價格貢獻度, 私有訊息, microstructure, order aggressiveness, order size, price contribution, trading behavior

وصف الملف: 149 bytes; text/html

Relation: http://ir.ncnu.edu.tw:8080/handle/310010000/10209; http://ir.ncnu.edu.tw:8080/bitstream/310010000/10209/1/index.html

الاتاحة: http://ir.ncnu.edu.tw:8080/handle/310010000/10209
http://ir.ncnu.edu.tw:8080/bitstream/310010000/10209/1/index.html

المؤلفون: 蔡宗穎, Tsai, Tsung Ying

المساهمون: 廖四郎, Liao, Szu Lang

مصطلحات موضوعية: 訊息不對稱, 訊息傳遞效果, 市場微結構, 資產訂價, 股票市場, 期貨市場, information asymmetry, information transmission, asset pricing, market microstructure, stock market, futures market, eco, manag

Relation: http://nccur.lib.nccu.edu.tw//handle/140.119/75405

الاتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/75405

المؤلفون: 張眾卓, Chang, Chong-Chuo, *, 陳獻儀, Chen, Hsien-Yi, 陳乃菁, Chen, Nai-Jing

المساهمون: 財務金融學系

مصطلحات موضوعية: 轉換交易市場, 市場流動性, 市場微結構, 買賣價差, switching exchange listings, market liquidity, market microstructure, bid-ask spread

Relation: 中山管理評論／Sun Yat-Sen Management Review;22(3):573-621; http://asiair.asia.edu.tw/ir/handle/310904400/87092

الاتاحة: http://asiair.asia.edu.tw/ir/handle/310904400/87092

المؤلفون: 陳煒朋, 鍾惠民, 徐淑芳, Chung, Huimin, Hsu, Shufang

المساهمون: 世新大學財務?融學系, 國?交通大學財務?融研究所, 亞太創意技術學院觀光與休閒事業管?系

مصطلحات موضوعية: 價格群聚, 市場競爭, ETF, 市場微結構, Price clustering, Market competition, ETFs, Microstructure, eco, manag

Relation: http://asiair.asia.edu.tw/ir/handle/310904400/63761

الاتاحة: http://asiair.asia.edu.tw/ir/handle/310904400/63761

المؤلفون: 何昀霓

المساهمون: 張興華

مصطلحات موضوعية: 流動性, 股票市場, 期貨市場, 市場微結構

وصف الملف: 810694 bytes; application/pdf

Relation: 一、中文部分\n1. 劉玉珍、劉維琪、吳欽杉、郭秋榮 (1991)，臺灣地區股票上市公司變現能力與股票報酬關係之實證研究，管理科學學報，8(1)：37-51。\n2. 劉玉珍、藍新仁 (1994)，臺灣集中交易市場與櫃檯買賣市場之變現力分析，證券市場發展季刊，21：79-101。\n3. 馬黛、陳效踐 (1995)，臺灣股市異常交易監視制度與股價行為關係之實證研究，中國財務學刊，3(1)：69-93。\n4. 胡星陽 (1998)，流動性對台灣股市報酬率的影響，中國財務學刊，5(4)：1-19。\n5. 詹場、胡星陽 (2001)，(綜論)流動性衡量方法之綜合評論，國家科學委員會研究彙刊：人文及社會科學，11(3)：205-221。\n\n二、英文部分\n1. Amihud, Y., Mendelson, H. (1986). Asset Pricing and the Bid-ask Spread. Journal of Financial Economics, 17(2): 223-249.\n2. Amihud, Y., Mendelson, H. (1988). Liquidity and Asset Prices: Financial Management Applications. Financial Management, 17(1): 5-15.\n3. Amihud, Y., Mendelson, H., Wood, R.A. (1990). Liquidity and the 1987 Stock Market Crash. The Journal of Portfolio Management, 16(3): 65-69.\n4. Aitken, M., Comerton-Forde, C. (2003). How Should Liquidity Be Measured. Pacific-Basin Finance Journal, 11(1): 45-59.\n5. Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-section and Time-series Effects. Journal of Financial Markets, 5(1): 31-56.\n6. Bessembinder, H., Seguin, P.J., (1993). Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets. Journal of Financial and Quantitative Analysis, 28(1): 21-39.\n7. Bekaert, G., Harvey, C.R., Lundblad, C. (2007). Liquidity and Expected Returns: Lessons from Emerging Markets. The Review of Financial Studies, 20(6): 1783-1831.\n8. Brunnermeier, M.K., Pederson, L.H. (2009). Market Liquidity and Funding Liquidity. Review of Financial Studies, 22(6): 2201-2238.\n9. Chordia, T., Roll, R., Subrahmanyam, A. (2000). Commonality in Liquidity. Journal of Financial Economics, 56(1): 3-28.\n10. Demsetz, H. (1968). The Cost of Transacting. The Quarterly Journal of Economics, 82(1): 33-53.\n11. Datar, V.T., Naik, N.Y., Radcliffe, R. (1998). Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, 1(2): 203-219.\n12. Elyasiani, E., Hauser, S., Lauterbach, B. (2000). Market Response to Liquidity Improvements: Evidence from Exchange Listings. The Financial Review, 35(1): 1-14.\n13. Engkuchik, E.N., Kaya, H.D. (2012). The Impact of the Asian Crisis on Stock Market Liquidity: Evidence from the Malaysian Stock Exchange. International Journal of Business and Social Science, 3(8): 120-127.\n14. Grossman, S.J., Miller, M.H. (1988). Liquidity and Market Structure. The Journal of Finance, 43(3): 617-633.\n15. Hamao, Y., Hasbrouck, J. (1995). Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange. The Review of Financial Studies, 8(3): 849-878.\n16. Huang, R.D., Stoll, H.R. (1996). Dealer versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE. Journal of Financial Economics, 41(3): 313-357.\n17. Harris, L. (2003). Trading and Exchanges: Markets Microstructure for Practitioners. New York: Oxford University Press, Inc.\n18. Kyle, A.S. (1985). Continuous Auctions and Insider Trading. Econometrica, 53(6): 1315-1335.\n19. Lehmann, B.N., Modest, D.M. (1994). Trading and Liquidity on the Tokyo Stock Exchange: A Bird’s Eye View. The Journal of Finance, 49(3): 951-984.\n20. Lesmond, D.A., Ogden, J.P., Trzcinka, C.A. (1999). A New Estimate of Transaction Costs. The Review of Financial Studies, 12(5): 1113-1141.\n21. Liu, W. (2006). A Liquidity-augmented Capital Asset Pricing Model. Journal of Financial Economics, 82(3): 631-671.\n22. O’HARA, M. (1995). Market Microstructure Theory. Cambridge, MA: Blackwell Publisher Inc.\n23. Pastor, L., Stambaugh, R.F. (2003). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3): 642-685.\n24. Roll, R. (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. The Journal of Finance, 39(4): 1127-1139.; G0101352007; https://nccur.lib.nccu.edu.tw//handle/140.119/68237; https://nccur.lib.nccu.edu.tw/bitstream/140.119/68237/1/200701.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/68237
https://nccur.lib.nccu.edu.tw/bitstream/140.119/68237/1/200701.pdf

المؤلفون: 簡智崇, Chien, Chih-Chung

المساهمون: 臺灣大學: 國際企業學研究所, 陳思寬, 張銘仁

مصطلحات موضوعية: 市場微結構, 委託單流量, 流動性, 買賣價差, 交易密度, 訊息異質性, 消費成長差異, Microstructure, Order flow, Liquidity, Bid-ask spread, Trading density, Heterogeneous information, Consumption growth differential, eco, stat

Relation: http://ntur.lib.ntu.edu.tw/bitstream/246246/252631/1/ntu-101-D92724015-1.pdf; http://ntur.lib.ntu.edu.tw/handle/246246/252631

الاتاحة: http://ntur.lib.ntu.edu.tw/bitstream/246246/252631/1/ntu-101-D92724015-1.pdf
http://ntur.lib.ntu.edu.tw/handle/246246/252631

المؤلفون: 陳柏文, Chen, Po-Wen

المساهمون: 淡江大學管理科學研究所碩士班, 倪衍森, Ni, Yen-sen

مصطلحات موضوعية: 市場微結構, 成份股, 日內資料, Microstruture, Constituent stock, Intraday data

Relation: 參考文獻 一、中文文獻 1. 丁誌魰、曾富敏，「以向量自我迴歸模式探討臺灣股價、成交量、融資融券與法人進出之關聯性」，真理財經學報，第13期，2005年，頁43-74。 2. 王毓敏、黃瑞靜，「價量關係－台股指數期貨市場之研究」，台灣金融財務季刊，第2卷，第2期，2001年，頁97-114。 3. 李修全、周賢榮，「台灣股價指數期貨價量同時關係之研究」，台灣金融財務季刊，第4卷，第4期，2003年，頁109-122。 4. 江明憲、鄭淯隆，「影響台灣股市日內股價變動因素之探討」，中山管理評論，第12卷，第1期，2004年，頁173-193。 5. 袁麗胜、宋逢明，「大額交易的生存分析與微觀市場狀態變遷」，運籌與管理，第15卷，第1期，2006年，頁73-77。 6. 莊家彰、管中閔，「台灣與美國股市價量關係的分量迴歸分析」，經濟論文，第33卷，第4期，2005年，頁379-404。 7. 菅瑞昌、王健聰、闕河士，「交易持續時間與交易價格衝擊之關係」，管理與系統，第16卷，第4期，2009年，頁 533-554。 8. 黃明棋，「成交量與匯率波動率對股票市場報酬之衝擊：以南韓股票市場報酬為例」，東亞論壇，第458期，2007年，頁67-84。 9. 韓千山，「股價動量現象之研究：理論與實證」，輔仁管理評論，第16卷，第2期，2009年，頁25-42。 10. 劉映興、陳家彬，「台灣股票市場交易值、交易量與發行量加權股價指數關係之實證研究─光譜分析之應用」，農業經濟半年刊，第72期，2002年，頁65-87。 二、英文文獻 1. Abhyankar, L. and Copeland, L.S. and Wong, W. “LIFE Cycles: Intraday Evidence from the FTSE-100 Stock Index Futures Market,” European Journal of Finance, Vol.5, 1999, pp.123-139. 2. Alexakis, C. and Xanthakis, E. “Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations,” European Research Studies Journal, Vol.6, 2003, pp.81-96. 3. Ait-Sahalia, Yacine, “How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise,” Review of Financial Studies, Vol.18, 2005, pp.351-416. 4. Alexakis, Christos and Balios, Dimitris, “Investigating the Effects of Market Microstructure on Stock Price Formation and Volatility: Evidence from the Athens Stock Exchange,” Applied Financial Economics Letters, Vol.4, 2008, pp.225-231. 5. Al-Saad, Khalid and Moosa, Imad, “Asymmetry in the Price-Volume Relation: Evidence Based on Individual Company Stocks Traded in an Emerging Stock Market,” Applied Financial Economics Letters, Vol.4, 2008, pp.151-155. 6. Allen, Franklin and Gorton, Gary, “Stock Price Manipulation, Market Microstructure and Asymmetric Information,” Rodney L. White Center for Financial Research Working Papers No. 21-91, 2009. 7. Biais, Bruno and Glosten, Larry and Spatt, Chester S. “The Microstructure of Stock Markets,” CEPR Discussion Papers No. 3288, 2002. 8. Bildik, Recep and Gulay, Guzhan, “Are Price Limits Effective? Evidence from the Istanbul Stock Exchange,” Journal of Financial Research, Vol.29, 2006, pp.383-403. 9. Bayraktar, Erhan and Horst, Ulrich and Sircar, Ronnie, “Queueing Theoretic Approaches to Financial Price Fluctuations,” Quantitative Finance Papers No. Math/0703832, 2007. 10. Cooper, Michael, “Filter Rules Based on Price and Volume in Individual Security Overreaction,” Review of Financial Studies, Vol.12, 1999, pp.901-35. 11. Chen, Gong-meng and Firth, Michael and Rui, Oliver M. “The Dynamic Relation between Stock Returns, Trading Volume, and Volatility,” Financial Review, Vol.36, 2001, pp.153-73. 12. Chen, Shyh-Wei and Chen, Chun-Wei, “Testing for Nonlinear Granger Causality in the Price-Volume Relations of Taiwan''s Stock and Foreign Exchange Markets,” Journal of Economics and Management, Vol.2, 2006, pp.21-51. 13. Ciner, Cetin and Sackley, William H. “Transactions, Volume and Volatility: Evidence from an Emerging Market,” Applied Financial Economics Letters, Vol.3, 2007, pp.161-164. 14. Du, Yan and Liu, Qianqiu and Rhee, S. Ghon, “An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data,” Center for Economic Institutions, CEI Working Paper No. 2005-17. 15. De Jong, Frank and Rindi, Barbara, “The Microstructure of Financial Markets,” Department of Finance, Cambridge University, Paper No. 9780521687270, 2009. 16. Darolles, Serge and Fol, Gaelle Le and Mero, Gulten, “When Market Illiquidity Generates Volumes,” Working Papers No. halshs-00536046, 2010. 17. Easley, David and O''Hara, Maureen, “Microstructure and Ambiguity,” The Journal of Finance, Vol.65, 2010, pp.1817-1846. 18. Gunduz, Lokman and Hatemi-J, Abdulnasser, “Stock Price and Volume Relation in Emerging Markets,” Emerging Markets Finance and Trade, Vol.41, 2005, pp.29-44. 19. Huang, Roger D. and Stoll, Hans R. “Market Microstructure and Stock Return Predictions,” Review of Financial Studies, Vol.7, 1994, pp.179-213. 20. Hiemstra, Craig and Jones, Jonathan D. “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation,” Journal of Finance, Vol.49, 1994, pp.1639-64. 21. Kumar, Brajesh and Pandey, Ajay and Singh, Priyanka, “The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market,” Indian Institute of Management Ahmedabad, Working Paper No. 380015, 2005. 22. Karpoff, Jonathan M. “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis, Vol.22, 1987, pp.109-126. 23. Krause, Andreas, “Microstructure Effects on Daily Return Volatility in Financial Markets,” Quantitative Finance Papers No. cond-mat/0011295, 2000. 24. Louhichi, Wael, “Adjustment of Stock Prices to Earnings Announcements: Evidence from Euronext Paris,” Review of Accounting and Finance, Vol.7, 2008, pp.102-115. 25. Mixon, Scott, “Volume and Volatility: News or Noise?” Financial Review, Vol.36, 2001, pp.99-118. 26. Madhavan, Ananth and Richardson, Matthew and Roomans, Mark, “Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks,” Rodney L. White Center for Financial Research, Working Papers No. 20-94, 2008. 27. Nowak, Sylwia, “How do Public Announcements Affect the Frequency of Trading in U.S. Airline Stocks?” Centre for Applied Macroeconomic Analysis CAMA Working Papers No. 2008-38, 2008. 28. Shi, Leilei, “Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?” Quantitative Finance Papers No. 1001.0880, 2004. 29. Stephan, Jens A. and Whaley, Robert E. “Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets,” Journal of Finance, Vol.45, 1990, pp.191-220. 30. Silvapulle, Param and Choi, Jong-Seo, “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Korean Evidence,” Quarterly Review of Economics and Finance, Vol.39, 1999, pp.59-76. 31. Spierdijk, L. “Empirical Studies of Market Microstructure,” Open Access Publications from Tilburg University, Paper No. 12-111973, 2003. 32. Theodosopoulos, Ted, “Uncertainty Relations in Models of Market Microstructure,” Quantitative Finance, Papers No. Math/0409076, 2005. 33. Tsutsui, Yoshiro and Hirayama, Kenjiro and Tanaka, Takahiro and Uesugi, Nobutaka, “Special Quotes Invoke Autocorrelation in Japanese Stock Prices,” Asian Economic Journal, Vol.21, 2007, pp.369-386. 34. Ulibarri, Carlos A. “Introducing Contemporaneous Open-outcry and E-trading at the Chicago Board of Trade,” MPRA Paper No. 14821, 2004. 35. Vergote, Olivier, “Financial Transaction Data and Volatility,” Open Access Publications from Katholieke Universiteit Leuven, Paper No. 1979/2067, 2008. 36. Yoruk, Nevin and Erdem, Cumhur and S. E., Meziyet, “Testing for Linear and Nonlinear Granger Causality in the Stock Price-volume Relation: Turkish Banking Firms and Close Curly Quote Evidence,” Applied Financial Economics Letters, Vol.2, 2006, pp.165-171.; U0002-2106201113001800; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/74230; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/74230/-1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/74230
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/74230/-1/index.html

المؤلفون: 簡意萍, Chien, Yi-ping

المساهمون: 淡江大學財務金融學系碩士班, 邱建良

مصطلحات موضوعية: 指數分配自我相關條件交易時距模型, 市場微結構, 價格變動時距, GARCH模型, EACD model, Market Microstructure, Price duration, GRACH model

وصف الملف: 143 bytes; text/html

Relation: 1.Admati, A. R. and Pfleiderer, P. (1988), The Theory of Intraday Patterns:Volume and Price Variability, Review of Financial Studies, 1, 3-40. 2.Allen, D., Lazarov, Z., McAleer, M. and Peiris, S. (2009), Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market, Mathematics and Computers in Simulation, 79 2535–2555. 3.Bauwens, L. and Giot, P. (2000), The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks, Annales d''Economie et de Statistique, 60, 117-149. 4.Black, F. (1976), Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meetings of the Business and Economics Statistics Section, American Statistical Association, 177-181. 5.Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327. 6.Chiang, M. H. (2005), The Autoregressive Conditional Duration Model under Price and Duration Momenta, Thirteenth Annual Conference on Pacific Basin Finance, Economics, and Accounting, New Jersey, American. 7.Christie, A. A. (1982), The Stochastic Behavior of Common Stock Variances: Value, Leverage, and Interest Rate Effects, Journal of Financial Economics, 10, 407-432. 8.Christoffersen, P. F. (1998), Evaluating Interval Forecasts, International Economic Review, 39, 841–862. 9.Diamond, D. W. and Verrecchia, R. E. (1987), Constraints on Short-selling and Asset Price Adjustment to Private Information, Journal of Financial Economics, 18, 277-311. 10.Diebold, F. X., Gunther, T. A. and Tay, A. S. (1998), Evaluating Density Forecasts with Applications to Financial Risk Management, International Economic Review, 39, 863–883. 11.Dufour, A. and Engle, R. F. (2000), The ACD Model: Predictability of the Time Between Consecutive Trades, ICMA – Discussion Papers in Finance, 5. 12.Easley, D. and O’Hara, M. (1987), Price, Trade Size and Information in Securities Market, Journal of Financial Economics, 19, 69-90. 13.Easley, D. and O’Hara, M. (1992), Time and the Process of Security Price Adjustment, Journal of Finance, 47, 577-605. 14.Engle, R. F. (2000), The Econometrics of Ultra-High-Frequency Data, Econometrica, 68, 1-22. 15.Engle, R. F. and Russell, J. R. (1997), Forecasting the Frequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model, Journal of Empirical Finance, 4, 187-212. 16.Engle, R. F. and Russell, J. R. (1998), Autoregressive Conditionalduration: A New Model for Irregularly-spaced Transactiondata, Econometrica, 66, 1127-1162. 17.Fletcher, R. A. (1995), The Role of Information and the Time Between Trades: An Empirical Investigation, Journal of Financial Research, 18, 239-260. 18.French, R. K., Schwert, G.W. and Stambaugh, R. F. (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29. 19.Gerhard, F. and Hautsch, N. (2002), Volatility Estimation on the Basis of Price Intensities, Journal of Empirical Finance, 9, 57-89. 20.Hamelink, F. (1998), On the Specification of Duration Between Price Changes and the Predictability of High Frequency Returns：An Application to the French CAC 40, Finance, 19, 139-163. 21.Harris, L. (1989), A Day-end Transaction Price Anomaly, Journal of Financial and Quantitative Analysis, 24, 1, 29-45. 22.Hausman, J. A., Lo, A. W. and MacKinlay, A. C. (1992), An Ordered Probit Analysis of Transaction Stock Prices, Journal of Financial Economics, 31, 319-379. 23.Hawkes, A. G. (1971a), Spectra of Some Mutually Exciting Point Processes, Biometrika, 58, 83-90. 24.Hawkes, A. G. (1971b), Point Spectra of Some Mutually Exciting Point Processes, Journal of the Royal Statistical Society, 33, 438-443. 25.Hawkes, A. G. (1972), Spectra of Some Mutually Exciting Point Processes with Associated Variables, Stochastic Point Processes, ed. by P. A. W. Lewis, John Wiley, New York, 261-271. 26.Lancaster, T. (1990), The Econometric Analysis of Transition Data, Cambridge: Cambridge University Press. 27.Lu, W. and Pang, H. (2008), An Empirical Investigation of the ACD Model for Trading Price: Comparison and Selection, 1, 1, 111-125. 28.Mandelbrot, B. B. (1963), The Variation of Certain Speculative Prices, Journal of Business, 36, 394-419. 29.Manganelli, S. (2005), Duration, Volume and Volatility Impact of Trades, Journal of Financial Markets, 8, 377–399. 30.Mcinish, T. H. and Wood, R. A. (1990), An Analysis of Transactions Data for Toronto Stock Exchange, Journal of Banking and Finance, 14, 441-458. 31.Rubin, I. (1972), Regular Point Processes and Their Detection, IEEE Transactions on Information Theory, ITT-18, 547-557. 32.Snyder, D. L. and Miller, M. I. (1991), Random Point Processes in Time and Space, Second Edition, New York, Springer-Verlag. 33.Spierdijk, L. (2004), An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE, Journal of Empirical Finance, 11, 163–184. 34.Taylor, N. (2004), Trading Intensity, Volatility, and Arbitrage Activity, Journal of Banking and Finance, 28, 1137-1162. 35.Wong, W. K., Tan, D. and Tian, Y. (2009), Informed Trading and Liquidity in the Shanghai Stock Exchange, International Review of Financial Analysis, 18, 66–73. 36.Xu, X. E., Chen, P. and Wu, C. (2006), Time and Dynamic Volume–Volatility Relation, Journal of Banking and Finance, 30, 1535–1558. 37.Zhang, M. Y., Russell, J. R. and Tsay, R. S. (2001), A Nonlinear Autoregressive Conditional Duration Model with Applications to Financial Transaction Data, Journal of Econometrics, 104, 179–207. 38.Zhang, Q., Cai, C. X. and Keasey, K. (2009), Forecasting Using High-Frequency Data: A Comparison of Asymmetric Financial Duration Models, Journal of Forecasting, 28, 5, 371-386. 39.陳美璇(2008)，應用EACD-GARCH 模型配適波動度之探討，銘傳大學財務金融研究所碩士論文。 40.鄭淯隆(1999)，台灣股市日內價格變動之研究，成功大學國際企業研究所碩士論文。 41.陳筱嵐(2000)，交易時距與資訊反應之研究-以摩根台股指數期貨為例，成功大學國際企業研究所碩士論文。 42.簡暉恩(2006)，台指選擇權市場交易時距之研究，銘傳大學經濟學系碩士論文。; U0002-0306201015090900; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/51543; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/51543/1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/51543
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/51543/1/index.html

المؤلفون: 王元章 Yung-Jang Wang, 陳振遠 Roger C.Y.Chen,張眾卓 Chong-Chuo Chang

المساهمون: 國?中正大學財務?融學系,國?高雄第一科技大學企業管?研究所,亞洲大學財務?融學系

مصطلحات موضوعية: 公司治?,市場微結構,資訊透明?,市場波動性,買賣單?平衡,資訊?對稱,Corporate Governance, Market Microstructure, Information Transparency,Market Volatility, Order Imbalance, Information Asymmetry

Relation: 2010中部學術財金研討會 論文發表; http://asiair.asia.edu.tw/ir/handle/310904400/63667

الاتاحة: http://asiair.asia.edu.tw/ir/handle/310904400/63667

المؤلفون: 王元章 Yung-Jang Wang, 陳振遠 Roger C.Y.Chen,張眾卓 Chong-Chuo Chang

المساهمون: Finance, National Chung Cheng University,National Kaohsiung First University of Science and Technology,Department of Finance, Asia University

مصطلحات موضوعية: 公司治?,市場微結構,資訊透明?,市場波動性,買賣單?平衡,資訊?對稱,Corporate Governance, Market Microstructure, Information Transparency,Market Volatility, Order Imbalance, Information Asymmetry

Relation: 2010中部學術財金研討會 論文發表; http://asiair.asia.edu.tw/ir/handle/310904400/63666

الاتاحة: http://asiair.asia.edu.tw/ir/handle/310904400/63666

المؤلفون: 徐淑芳, Hsu, Shu-Fang, 許和鈞, Sheu, Her-Jiun

المساهمون: 管理科學系所

مصطلحات موضوعية: 電子盤期貨, 人工盤期貨, 定價效率, 雜訊交易者風險, 價格群聚, 市場競爭, 指數股票型基金, 市場微結構, E-mini futures, Floor-traded future, Pricing efficiency, Noise trader risk, Price clustering, Market competition, ETFs, Microstructure, manag, eco

Relation: http://hdl.handle.net/11536/77027

الاتاحة: http://hdl.handle.net/11536/77027

المؤلفون: 陳雅姿, Chen, Ya-tzu

المساهمون: 吳儀玲, Wu, Yi-Lin

مصطلحات موضوعية: 公司購併, 市場微結構, 訊息交易比例, 現金併購, 股票併購, Microstructure, informed-based trading, M&A, eco, stat

Time: 41

Relation: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/31939

الاتاحة: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/31939

المؤلفون: 廖信彥, Liao, Shin-Yen

المساهمون: 洪碧霞, 管理學院:財務金融學系

مصطلحات موضوعية: 市場微結構, 買賣單不均衡, 價量關係, microstructure, order imbalance, price-volume relation, eco, manag

Relation: http://ir.ncnu.edu.tw:8080/handle/310010000/3632

الاتاحة: http://ir.ncnu.edu.tw:8080/handle/310010000/3632