證券市場結構與機制
2014 Fall
馬黛
教授
2015/1/15更新
本課程旨在介紹證券市場之結構、行為與績效, 以使學生對於證券市場究竟如何運作、價格是受到那些因素所影響問題有較深入的了解。內容包括各交易制度及其對價格影響、行情締造(Market Making)、資訊與價格、市場績效之衡量、價格行為、投資人結構、技術分析之有效性、融資與融券以及相關之證券法規之影響等等問題。以授課及研討兩種方式同時進行。學生須進行多次作業，以從中學習處理日內資料分析影響價格行程之各項重要因素與策略。
壹、 教科書及參考書：
Michael Dlirbin, “All
about high-frequency trading” ,The McGraw-Hill Companies, 2010.
Nikolaus Hautsch, “Econometrics
of Financial High-Frequency Data”,Springer, 2012.
Irene Aldridge, “High-Frequency
Trading: A Practical Guide to Algorithmic Strategies and Trading Systems” ,John
Wiley & Sons, Inc., 2010.
Paul Ubulake, Sang Lee, “The
High Frequency Game Changer: How Automated Trading Strategies Have
Revolutionized the Markets”, John Wiley & Sons, Inc., 2011.
Barry Johnson, “Algorithmic
Trading & DMA:An introduction to direct access trading strate.”, Myeloma
Press, 2010.
Paolo Vitale, Market
Microstructure Theory Lecture Note: Unit 2 - Financial markets, prices and
information, The London School of Economics and Political Science,2003.
Larry Harris, Trading and
Exchange- Market Microstructure for Practioners, Oxford, 2003.
Maureen O’Hara, Market
Microstructure Theory, Basil Blackwell, 1997.
Robert A. Schwartz,
Reshaping the Equity Market, Harper Business, 1991.
Miller, Merton H.,
Financial Innovations and Market Volatility, Basil Black-Well, 1991.
Shiller, R. J., Market
Volatility, MIT, 1989.
“Regulatory Issues Raised
by the Impact of Technological Changes on Market Integrity and Efficiency” The
International Organization of Securities Commissions, 2011
” Proposed Guidance on
Certain Manipulative and Deceptive Trading Practices” Investment Industry
Regulatory Organization of Canada, 2012
貳、補充資料：
1.
台灣證券交易所—證交資料、國際證券市場發展動態
2.
台灣期貨交易所—台灣期貨雙月刊
3.
WFE(World Federation of Exchanges)
4.
IOSCO(International Organization of Securities
Commisions)
5.
幣圖誌—美股當沖、程式交易、籌碼分析、期指看盤、法人決策
6.
酷皮(股市量能分析工具)—大盤K線、三大法人排行、融資融券排行
7.
Nvesto(財經資訊服務平台)—大盤資訊、台股分析、個股主力進出
8.
HFT Review—Studies/White Papers
http://www.hftreview.com/pg/main/white-papers
9.
High Frequency Traders—High frequency trading
news, opinion and resources
http://highfrequencytraders.com/
10.
FT Trading Room—High Frequency Trading
http://www.ft.com/intl/ft-trading-room/high-frequency-trading
11.
CMoney 理財寶(理財應用程式)
12.
TradeStation—Online Trading platform, trading
software and online financial brokerage
13.
股狗—籌碼分析(買買日報表資料)
http://www.stockdog.tw/stockdog/index.php?p=home
14.
InformedTrades—David’s Basics of Trading Course
http://www.informedtrades.com/
Module 1 : Technical
Analysis Basics
Module 2 : Chart Patterns
Module 3 : Technical
Indicators
Module 4 : Candlestick
Chart Formations
Module 5 : The Psychology
of Trading
Module 6 : Money Management
Module 7 : Position Sizing
Module 8 : Economic
Releases that Move the Markets
Module 9 : Pulling It All
Together
參、課程大綱：
|
Ch1. Introduction Ch2. Trading System Ch3. 競價與交易制度 Ch4. Alternative Views of
Market Making Ch5. Market Structure Ch6. Liquidity Ch7. 透明度 Ch8. 資訊與價格, 技術分析 Ch9. Returns and Volatility Ch10. Intertemporal
Correlationn |
肆、評分(暫定):
|
1.
上課參與/新知報告 |
15% |
|
2.
口頭報告 |
30% |
|
3.
作業 |
± 25% |
|
4.
期末報告 |
± 20% |
|
5.
讀書心得 |
± 10% |
伍、Reading List：
|
Ch1. 交易制度介紹 Ch2. Call vs. Continuous
Trading Ch3. Technology Ch4. Price Limits, Trading
Halts, short selling and Transaction Taxes Ch5. Limit Order Book Ch6. Market Fragmentation Ch7. Market Making Ch8. Efficiency Ch9. Liquidity Ch10. Volatility Ch11. Bid-Ask Spread Ch12. Transparency Ch13. Information Ch14. Algo Trading &
High Frequency Trading Ch15. Intraday Patterns Ch16. Trading Volume and
Return Ch17. Intermarket Relation Ch18. Institutional Trading /
Individual Trading Ch19. Robert Engle and
related time varing intraday analysis Ch20. Financial Crisis Ch21. Regulation Ch22. Methodology Ch23. Bubble Ch24. Other Market
Microstructure Issue |
1. 交易制度介紹
|
|
1-1 |
Robert F. Stambaugh,''Presidential
Address: Investment Noise and Trends'',The Journal of Finance,Volume 69,
Issue 4,August 2014,p.1415–1453 |
|
|
1-2 |
Cumming, D.; Johan, S. ;
Li, D. “ Exchange Trading Rules and Stock Market Liquidity”, Journal of
Finance and Economics, Vol.99, Iss.3 Mar. 2011., 477-716. |
|
|
1-3 |
Raj Aggarwal, John W.
Goodell, “Markets and institutions in
financial intermediation: National characteristics as determinants”, Journal of
Banking & Finance, Vol. 33, Iss. 10, October 2009, 1770-1780. |
|
|
1-4 |
Clayton, Matthew, Jorgensen, Bjorn N. and
Kavajecz, Kenneth A., “On the Presence and Market-structure of Exchanges
around the World” Journal of Financial Markets, Vol.9, Iss.1, 2006, 27-48. |
|
|
1-5 |
Randi Nas and Bernt Arne
Odegaard, “Equity Trading Institutional Investors: To Cross or Not to Cross?”
Journal of Financial Markets, Vol.9, Iss.2, 2006, 79-99. |
|
|
1-6 |
Amber Anand and Daniel
G. Weaver, “The Value of Specialist: Empirical Evidence from the CBOE”
Journal of Financial Markets, Vol.9, Iss.2, 2006, 100-118. |
|
|
1-7 |
Comerton-Forde, Carole
and Rydge, James, “Call Auction Algorithm Design and Market Manipulation”,
Journal of Multinational Financial Management, Vol. 16, Iss.2, 2006, 184-198. |
|
|
1-8 |
Bartram, Sohnke M. and
Fehle, Frank Rudolf, “Competition without Fungibility: Evidence from
Alternative Market Structures for Derivatives”, Journal of Banking & Finance,
2007, vol. 31, issue 3, pages 659-677. |
|
|
1-9 |
Madhavan, Ananth,
"Market Microstructure: A Survey", Journal of Financial Markets 3,
2000, 205-258. |
交易制度的影響
2. Call vs. Continuous Trading
|
|
2-1
|
Sofia B. Ramos,
Ernst-Ludwig von Thadden, “Stock Exchange Competition in A Simple Model of Capital
Market Equilirium”, Journal of Financial Market, Vol.11, Iss.3, 2008,
284-307. |
|
|
2-2
|
Michael A. Goldstein,
Andriy V. Shkilko, Bonnie F. Van Ness, Robert A. Van Ness, “Competition in
the Market for NASDAQ Securities”, Journal of Financial Market, Vol.11,
Iss.2, 2008, 113-143. |
|
|
2-3
|
Carole Comerton-Forde
and James Rydge, “The Influence of Call Auction Algorithm Rules on Market
Efficiency” Journal of Financial Markets, Vol.9, Iss.2, 2006, 199-222. |
|
|
2-4
|
Kalay A., Wei L. and
Wohl A., “Continuous Trading or Call Auction: Revealed Preferences of
Investors as TASE” The Journal of Finance, Vol. 57, 2002, 523-542. |
3. Technology
|
|
3-1
|
Ethan Cohen-Cole, Andrei
Kirilenko, Eleonora Patacchini,''Trading networks and liquidity
provision",Journal of Financial Economics,Volume 113 ,Issue
2, August 2014,p.Pages 235-251 |
|
|
3-2
|
Terrence Hendershott,
Pamela C. Moulton, “Automation, speed, and stock market quality:The NYSE’s
Hybrid”, Journal of Financial Markets 14 (2011) 568–604. |
|
|
3-3
|
Humphery-Jenner, Mark
L.” Optimal VWAP trading under noisy conditions” Journal of Banking &
Finance, Vol.35, ISS.9, Sep. 2011. |
|
|
3-4
|
Sabrina Buti, Barbara
Rindi, Ingrid M. Werner, “Diving into dark pools”, working paper, October
2010 |
|
|
3-5
|
Mark J. Ready,
“Determinants of volume in dark pools” , working paper, December 12, 2009. |
|
|
3-6
|
Jason Fink, Kristin
E.Fink, James P. Weston, “Competition on the Nasdaq and the Growth of
Electronic Communication Networks” Journal of Banking and Finance, Vol.30,
Iss.9, 2006. 2537-2559. |
|
|
3-7
|
Jain, Panjaj K.,
“Financial Market Design and the Equity Premium: Electronic versus Floor
Trading”, Journal of Finance, Vol.60, No.6, 2005. 2955-2985. |
|
|
3-8
|
Venkataraman, Kumar and
Bessembinder, Hendrik, “Does an Electronic Stock Exchange Need an Upstairs
Market?” Journal of Financial Economics 73, 2004, 3-36. |
|
|
3-9
|
Barclay, M.J., T.
Hendershott, and D.T. McCormick, “Competition among Trading Venues:
Information and Trading on Electronic Communications Networks” The Journal of
Finance, Vol.58, No.6, 2003. |
|
|
3-10
|
I. Hasan, M. Malkamaki
and H. Schmiedel, “Technology, automation and productivity of stock
exchanges: International evidence” Journal of Banking & Finance 27, 2003,
1743-1773. |
|
|
3-11
|
Weston, James Peter,
“Electronic Communication Networks and Liquidity on the Nasdaq” Journal of
Financial Services Research, Vol.22. 2003. |
|
|
3-12
|
Tse, Yiuman and
Erenburg, Grigori, “Competition for Order Flow, Market Quality, and Price
Discovery in the Nasdaq 100 Index Tracking Stock”, Journal of Financial
Research, Vol. 26, No.3, 2003, 301-318. |
|
|
3-13
|
Domowitz, Ian H., “Liquidity,
Transaction Cost, and Reintermediation in Electronic Markets” Journal of
Financial Services Research, Vol.22, 2002. |
|
|
3-14
|
Roger D. Huang, “The
Quality of ECN and Nasdaq Market Maker Quotes.”Journal of Finance. Vol.LVII,
No.3, 2002. |
|
|
3-15
|
Amelia M. Hill and Alex
Frino, “The Impact of Electronic Trading on Liquidity.” SSRN, FEN
CapMkts-Micro WPS, Vol. 4, No. 21, September 3, 2001. |
|
|
3-16
|
Jennifer S. Conrad,
Kevin Johnson and Sunil Wahal, “Alternative Trading Systems.” Journal of
Financial Economics, Vol 70(1), pages 99–134. |
|
|
3-17
|
Pascal Barneto, “Time
and Trading Behaviour with an Electronic Order Book: Evidence from the
Spanish futures Market.” SSRN, FEN CapMkts-Micro WPS, Vol. 4, No. 16, July
16, 2001 |
|
|
3-18
|
Michael J. Barclay,
Terrence Hendershott, and D. Timothy Mccormick, “Electronic communications Networks
and Market Quality.” SSRN, FEN CapMkts-Micro WPS, Vol. 4, No. 12, May 28,
2001. |
|
|
3-19
|
Hendershott, Terrence,
“Crossing networks and dealer markets: Competition and performance”, Journal
of Finance, Vol.55, No.4, 2000; 2071-2116. |
|
|
3-20
|
Ananth Madhavan &
Venkatesh Panchapagesan,”Price Discovery in Auction Markets: A Look Inside
the Black Box”, The Review of Financial Studies, Fall 2000. |
4. Price
Limits, Trading Halts, short selling and Transaction Taxes
|
|
4-1
|
Samuel G. Hanson and Adi
Sunderam,''The Growth and Limits of Arbitrage: Evidence from Short
Interest'',The Review of Financial Studies,Volume 27,Issue 4,April
2014,p.1238-1286 |
|
|
4-2
|
Andrew Lynch, Biljana Nikolic,
Xuemin (Sterling) Yan, and Han Yu,''Aggregate short selling, commonality, and
stock market returns",Journal of Financial Markets,Volume 17,January
2014,p.199-229 |
|
|
4-3
|
Banerjee and Graveline, “The Cost
of Short-Selling Liquid Securities” The Journal of Finance Vol.68 No.2, 2013 |
|
|
4-4
|
Jain, Jain, McInish and McKenzie,
“Worldwide reach of short selling regulations” Journal/Journal of Financial
Economics Vol.109 No.1, 2013 |
|
|
4-5
|
Kaplan, Moskowitz and Sensoy,
“The effects of stock lending on security prices: An experiment” The Journal
of Finance Vol.68 No.5 2013 |
|
|
4-6
|
Ekkehart Boehmer,
Charles M. Jones, and Xiaoyan Zhang, ” Shackling Short Sellers: The 2008
Shorting Ban” , The Review of Financial Studies, Volume 26, Number 6, June
2013 |
|
|
4-7
|
Ekkehart Boehmer and
Juan (Julie)Wu, “Short Selling and the Price Discovery Process”, The Review
of Financial Studies, Volume 26, Number 2, February 2013 |
|
|
4-8
|
Benjamin M. Blau, J.
Michael Pinegar, “Are short sellers incrementally informed prior to earnings
announcements?”, Journal of Empirical Finance, Volume 21, (March 2013) |
|
|
4-9
|
Robert Battalio and Paul
Schultz, “Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale
Ban's Impact on Equity Option Markets (pages 2013–2053) |
|
|
4-10
|
Steven Lecce, Andrew
Lepone, Michael D. McKenzie, Reuben Segara, “The impact of naked short
selling on the securities lending and equity market”, Journal of Financial
Markets 15 (2012) 81–107. |
|
|
4-11
|
Ian W. Marsh, Richard
Payne, “Banning short sales and market quality: The UK’s experience”, Journal
of Banking & Finance 36 (2012) 1975–1986. |
|
|
4-12
|
Jonathan M. Karpoff, and Xiaoxia Lou, “Short
Sellers and Financial Misconduct”, The Journal of Finance, Vol.65, No.05,
Oct. 2010, pp.1879. |
|
|
4-13
|
Charlie Charoenwong
;Chiraphol New Chiyachantana ; Nareerat Taechapiroontong, ”The Effectiveness
of Trading Halts and Investor Trading Performance: An Intraday Analysis on
the Stock Exchange of Thailand ”, Working Paper, 2010. |
|
|
4-14
|
Woo-Baik Lee, Jong Won
Park, Steven J. Jordan, “How Do Program Trade Halts affect Large Order
Imbalances?”, Working Paper, 2010. |
|
|
4-15
|
Gang Hu, “Measures of implicit trading costs
and buy–sell asymmetry”, Journal of Financial Markets, Vol. 12,
Iss. 3, August 2009, pp.418-437. |
|
|
4-16
|
Ryan J. Davies and Sang Soo Kim, ” Using matched samples to test for
differences in trade execution costs”, Journal of
Financial Markets, Vol.12, Iss.2, May 2009. 173-202. |
|
|
4-17
|
Yong H. Kim ; José
Yagüe; J. Jimmy Yang, “Relative performance of trading halts and price
limits: Evidence from the Spanish Stock Exchange ” , International Review of
Economics and Finance, 2008. |
|
|
4-18
|
Eric C. Chang, Joseph W. Cheng, and Yinghui Yu,
“Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong
Market”, The Journal of Finance, Oct. 2007, Vol. 62, Iss. 5, pp. 2097-2121. |
|
|
4-19
|
Hauser; Kedar Levy ;
Pilo,Shurki, ”The Effect of Trading Halts on the Speed of Price Discovery”,
Journal of Financial Services Research , 2006. |
|
|
4-20
|
Roger Edelen, Simon
Gervais, “The role of trading halts in Monitoring a specialist market”, The
Review of Financial Studies, Vol.16, 2003. pp.263-300 |
|
|
4-21
|
Obiyathulla I. Bacha ;
Mohamed Eskandar S. A. Rashid;
Roslily Ramlee, ” The efficiency of trading halts: Emerging market
evidence”, International Journal of Banking and Finance,Vol.5, 2008.
p.125-148. |
|
|
4-22
|
Alex Frino ; Steven
Lecce ; Reuben Segara, “The impact of trading halts on liquidity and price
volatility: Evidence from the Australian Stock Exchange”, Pacific-Basin
Finance Journal, Vol.19. 2011. p.298-317. |
|
|
4-23
|
Antore, Don M.;
Billingley, Randall S.; Kovacs, Tunde” The 2008 short sale ban: Liquidity,
dispersion of opinion, and the cross-section of return of US financial
stocks”, Journal of Banking & Finance, Vol. 35, ISS.9, Sep.2011. |
|
|
4-24
|
Phillips, Blake,”
Options, Short-sale constraints and market efficiency: A new perspective”
Journal of Banking & Finance, Vol.35, Iss.2, Feb.2011. |
|
|
4-25
|
Thierry Foucault,
David Sraer, Daivd J. Thesmar, “Individual Investors and Volatility”, Journal
of Financial, Vol.66, Iss. 4, Aug. 2011. |
|
|
4-26
|
Pedro A, C. Sai and
Kari Sigurdsson, “Price Efficiency and Short Selling”, Review of Financial
Studies, Vol.24, Iss.3, Mar.2011. |
|
|
4-27
|
Richard B. Evans,
Christopher C. Geczy, David K. Musto, and Adam V. Reed, “Failure Is an
Option: Impediments to Short Selling and Options Prices”, The Review of Financial Studies, Vol.
22, No.5, 2009, 1955-1980. |
|
|
4-28
|
Sanjeev Bhojraj, Robert
J. Bloomfield, and William B. Tayler, “Margin
Trading, Overpricing, and Synchronization Risk”, The Review of Financial Studies, Vol. 22, No.5, 2009, 2059-2085. |
|
|
4-29
|
Henk Berkman, Valentin Dimitrov, Prem C. Jain,
Paul D. Koch, Sheri Tice, “Sell on the news: Differences of
opinion, short-sales constraints, and returns around earnings announcements”, Journal of
Financial Economics, Vol. 92, Iss. 3, June 2009, 376-399. |
|
|
4-30
|
Arturo Bris, William N. Goetzmann, and Ning Zhu,
“Efficiency and the Bear: Short Sales and Markets around the World”, the
Journal of finance, Vol. 62, Iss.3, 2007, 1029-1079. |
|
|
4-31
|
Hu, O, Huang, Z and
Liao, B.S., “Short Sale Constraint and Return Asymmetry in Taiwan Stock
Market”, International Research Journal of Finance and Economics, Vol.15,
2008, 58-62. |
|
|
4-32
|
Honghui Chen and
Vijay Singal, “Role of Speculative Short Sales in Price Formation: the Case
of the Weekend Effect”, the Journal of Finance, Vol. 58, Iss.2, 2003,
685-706. |
|
|
4-33
|
Graham, J.E. and
Hughen, J.C, “Ownership Structure, Expectations, and Short Sales on the
Nasdaq”, Journal of Economics and Finance, Vol.31, 2007, 33-48. |
|
|
4-34
|
Anchor Y. Lin, Peggy E
Swanson, “Contrarian Strategies and Investor Overreaction under Price
Limits”, Journal of Economics and Finance, 2009. |
|
|
4-35
|
Bong-Gyu Jang, Hyeng
Keun Koo, Hong Liu, and Mark Loewenstein, “Liquidity Premia and Transaction
Costs”, The Journal of Finance, Oct. 2007, Vol. 62, Iss. 5, pp.2329-2366. |
|
|
4-36
|
Kim, Yong H., Yague, Jose and Yang, J. Jimmy, “Relative
Performance of Trading Halts and Price Limits: Evidence from the Spanish
Stock Exchange” International
Review of Economics & Finance, Vol. 17, No.
2, 197-215, 2008. |
|
|
4-37
|
Venkat R. Eleswarapu and Kumar Venkataraman. “The Impact
of Legal and Political Institutions on Equity Trading Costs: A Cross-Country
Analysis” Review of financial studies, Vol.19, Iss. 3, 2006. |
|
|
4-38
|
Chan, Soon Huat, Kenneth A. Kim and S. Ghon
Rhee, 2005, Price limit performance: evidence from transactions data and the
limit order book, Journal of Empirical Finance 12, 269– 290 |
|
|
4-39
|
Glosten, L.R. and Harris, L., 1988, Estimating the
components of the bid-ask spread, Journal of Financial Economics 21, 123-142 |
|
|
4-40
|
Cho, David D., Jeffrey Russell, George C. Tiao
and Ruey Tsay, 2003, The magnet effect of price limits: evidence from
high-frequency data on Taiwan Stock Exchange, Journal of Empirical Finance,
February, 133-168 |
|
|
4-41
|
Kasch-Haroutounian, Maria and Theissen, Erik,
“Competition Between Exchanges: Euronext versus Xetra” European Financial
Management, Vol.15(1), 181-207 . |
|
|
4-42
|
Belcher, Ma, Mallett, “The Info Content of Price
Limit Mover” International Journal of Business, Vol.8, No.2, 2003. |
|
|
4-43
|
John, Kose, Apoorva Koticha, Ranga Narayanan and
Marti Subrahmanyam, “Margin Rules, Informed Trading in Derivatives and Price
Dynamics,” SSRN-FEN, March 2003. |
|
|
4-44
|
Christie, William G., Shane A. Corwin, and
Jeffrey H. Harris, 2002, Nasdaq trading halts: The impact of market
mechanisms on prices, trading activity, and execution costs, Journal of
Finance 57, 1443-1478. |
|
|
4-45
|
Berkman, Henk and John Byong Tek Lee, 2002, The
effectiveness of price limits in an emerging market: Evidence from the Korean
Stock Exchange, Pacific-Basin Finance Journal 10, 517– 530 |
5. Limit Order Book
|
|
5-1
|
Peter Hoffmann,''A dynamic limit
order market with fast and slow traders",Journal of Financial
Economics,Volume 113 ,Issue 1, July2014,p.Pages 156-169 |
|
|
5-2
|
Buti and Rindi, “Undisclosed
orders and optimal submission strategies in a limit order market” Journal of
Financial Economics Vol.109 No.3,2013 |
|
|
5-3
|
Roman Kozhan, Mark
Salmon, “The information content of a limit order book:The case of an FX
market”, Journal of Financial Markets 15 (2012) 1–28. |
|
|
5-4
|
Juhani T. Linnainmaa,
“Do Limit Orders Alter Inferences About Investor Performance And Behavior?”,
The Journal of Finance, Vol. 65, Iss. 4, Aug. 2010, pp. 1473–1506. |
|
|
5-5
|
Sabrina Buti, Barbera Rindi, Ingrid M. Werner,
“Dynamic dark pool trading strategies in limit order markets” , working
paper, June 2010 |
|
|
5-6
|
Wai-Man Liu, “Monitoring and Limit Order
Submission Risks”, Journal of Financial Markets,
Vol. 12, Iss. 1, Feb2009, pp. 107-141. |
|
|
5-7
|
Charles Cao, Oliver Hansch, Xiaoxin Wang, “ The
Information Content of An Open Limit-Order Book”, Journal of Futures Markets,
Vol. 29, Iss. 1, Jan2009, pp. 16-41. |
|
|
5-8
|
Jeremy Large, “ A Market-Clearing Role for
Inefficiency on A Limit Order Book”, Journal of Financial Economics, Vol. 91,
Iss. 1, Jan2009, pp. 102-117. |
|
|
5-9
|
Kyong Shik Eom, Jinho Ok, Jong-Ho Park,
“Modelling the Buy and Sell Intensity in a Limit Order Book Market”, Journal
of Financial Market, Vol.10, Iss.3, 2007, 249-286. |
|
|
5-10
|
Nas, Randi and Skjeltorp, Johannes A., “Order
Book Characteristics and the Volume- Volatility Relation: Empirical Evidence
from a Limit Order Market” Journal of Financial Markets, Vol.9, Iss.4, 2006,
433-447. |
|
|
5-11
|
Kaniel, Ron and Liu, Hong, “So What Orders Do
Informed Traders Use?” Journal of Business, 2006,
vol. 79, Iss.4, 1867-1914. |
|
|
5-12
|
Foucault, Thierry, Kadan, Ohad and Kandel,
Eugene, “Limit Order Book as a Market for Liquidity”, Review of Financial
Studies, Vol. 18, No. 4, 2005. |
|
|
5-13
|
Thierry Foucault, Ohad Kadan and Eugene Kandel,
“Limit Order Book as a Market for Liquidity.”The Review of Financial Studies,
Vol.18, No.4, 2005, 1171-1217. |
|
|
5-14
|
Obizhaeva, Anna A. and Wang, Jiang, “Optimal
Trading Strategy and Supply/ Demand Dynamics”, SSRN, FEN CapMkts-Micro WPS,
Vol. 8, No. 21, 2005. |
|
|
5-15
|
Ranaldo, Angelo, “Order aggressiveness in limit
order book markets”, Journal of Financial Markets, Vol.7, No.1, 2004, 53-74. |
|
|
5-16
|
Burton Hollifield, Robert A. Miller and Patrik
Sandas, “Empirical Analysis of Limit Order Markets.”, Review of Economic
studies, Vol.71, No.4, 2004, 1027-1063. |
|
|
5-17
|
Handa, P., R. Schwartz and A. Tiwari, 2003,
“Quote Setting and Price Formation in an Order Driven Market”, Journal of
Financial Markets 6(4), 461-489. |
|
|
5-18
|
Handa, Puneet, Schwartz, Robert and Tiwari,
Ashish “Quote Setting and Price Formation in an Order Driven Market” Journal
of Financial Markets 6, 2003, 461-489. |
|
|
5-19
|
Lo, Andrew W., Mackinlay, A. Craig and Zhang
June, “Econometric Models of Limit-order Executions” Journal of Financial
Economics 65, 2002, 31-71. |
|
|
5-20
|
Griffiths M. D., Smith
B. F., Turnbull D. A. S. and White R. W., “The Costs and Determinants of
Order Aggressiveness”, Journal of Financial Economics, Vol. 56 No. 1, 2000. |
6. Market Fragmentation
|
|
6-1 |
Carole Comerton-Forde
and Kar Mei Tang, “Anonymity, liquidity and
fragmentation”, Journal of Financial
Markets, Vol. 12, Iss. 3, August 2009, pp.337-367. |
|
|
6-2 |
Brian M. Lucey, “International financial integration”, Journal of
Banking & Finance, Vol. 33, Iss. 10, October 2009, 1739-1740. |
|
|
6-3 |
Bennett, Paul and Wei,
Li, “Market Structure, Fragmentation, and Market Qulity” Journal of Financial
Markets, Vol.9, Iss.1, 2006, 49-78. |
|
|
6-4 |
Zurita, Felipe, “On the
limits to speculation in centralized versus decentralized market regimes”,
Journal of Financial Intermediation 13, 2004, 378-408 |
|
|
6-5 |
Barclay, M.J., T.
Hendershott, and D.T. McCormick, “Competition among Trading Venues:
Information and Trading on Electronic Communications Networks” The Journal of
Finance, Vol.58, No.6, 2003. |
|
|
6-6 |
Conrad, J., K.M.
Jonhson, and Sunil Wahal, “Institutional trading and alternative trading
systems” Journal of Financial Economics, Vol.70, No.1, 2003. |
|
|
6-7 |
Barclay, M.J., and T.
Hendershott, “Price Discovery and Trading After Hours” The Review of
Financial Studies, Vol.16, No.4, 2003. |
|
|
6-8 |
R. Naes and J.A.
Skjeltorp, “Equity trading by institutional investors: Evidence on order
submission strategies” Journal of Banking & Finance 27, 2003, 1779-1817. |
|
|
6-9 |
B. Boehmer and E.
Boehmer, “Trading your neighbor’s ETFs: Competition or fragmentation” Journal
of Banking and Finance 27, 2003, 1667-1703. |
|
|
6-10
|
Kingsley Fong, Ananth
Madhavan, and Peter L. Swan, “Why do Markets Fragment? A Panel-Data Analysis
of Off-Exchange Trading”, SSRN_Capital Markets Abstracts, Vol.4, No.4, 2001. |
7. Market Making
|
|
7-1 |
Joon Chae, Jaeuk Khil
and Eun Jung Lee, “Who Makes Markets? Liquidity Providers Versus Algorithmic
Traders”, Journal of Futures Markets, May 2013, Volume 33, Issue 5, (pages 397–420) |
|
|
7-2 |
Andrew Lepone, Jin Young
Yang, “Informational role of market makers: The case of exchange traded
CFDs”, Journal of Empirical Finance, Volume 23, (September 2013) |
|
|
7-3 |
Perotti, P. ; Rindi, B.”
Market makers as information provider: The natural experiment of STAR”,
Journal of Empirical Finance, Vol.17, Iss.5, Dec.2010. |
|
|
7-4 |
Peter Locke and Zhan
Onayev, “Order Flow, Dealer Profitability, and Price Formation”, Journal of
Financial Intermediation, Vol.85, Iss.3, 2007, 857-887. |
|
|
7-5 |
Venkataraman, Kunar and
Waisburd, Andrew C., “The Value of the Designated Market Maker”, Journal of
Financial & Quantitative Analysis, Sep 2007, Vol. 42, Iss. 3, pp.735-758. |
|
|
7-6 |
Christine A. Parlour and
Duance J. Seppi, “Liquidity-based competition for order flow” The Review of
Financial Studies Vol 16, No2, 2003, 301-343. |
|
|
7-7 |
T.K. Kam, V.
Panchapagesan and D.G. Weaver, “Competition among markets: The repeal of Rule
|
|
|
7-8 |
Jon A. Garfinkel and
Mahendrarajah Nimalendran, “Market Structure and Trader anonymity: an
Analysis of Insider Trading.” Journal of Financial and Quantitative Analysis,
September 2003, 591- 610 |
|
|
7-9 |
Pu Shen and Ross M.
Starr, “Market Makers’ Supply and Pricing of Financial Market Liquidity”,
Economics Letters, Vol.76, iss.1, 2002, 53-58. |
|
|
7-10
|
Oleg P Bondarenko, “Competing
Market Makers, Liquidity provision, and Bid-Ask Spread.” Journal of
Financial Markets,
Vol. 4, Iss. 3, 2001, 269-308. |
|
|
7-11
|
Chan, Kalok and Wai-Ming
Fong, "Trade Size, order Imbalance, and the Volatility-Volume
Relation", Journal of Financial Economics 57, 2000, 247-273. |
市場績效
8. Efficiency
|
|
8-1
|
Jean-Edouard Colliard and
Thierry Foucault, “Trading Fees and Efficiency in Limit Order Markets”, The
Review of Financial Studies, Volume 25, Number 11, November 2012 |
|
|
8-2
|
Tālis J. Putniņš, “What do
price discovery metrics really measure?”, Journal of Empirical Finance,
Volume 23, (September 2013) |
|
|
8-3
|
Chordia, Tarum; Roll, Richard; Subrahmanyam, Avanidhar, ”Recent Trends
in Trding activity and Market Quality” Journal of Finance Economics, Vol.101,
Iss.2, Aug.2011. |
|
|
8-4
|
Lior Menzly and Oguzhan
Ozbas, “Market Segmentation and Cross-predictability of Returns”, The Journal
of Finance, Vol. 65, Iss. 4, Aug. 2010, pp. 1555–1580. |
|
|
8-5
|
Griffin, John M.; Kelly, Patrick J.; Nardari, Federico, “Do Market Efficiency
Measures Yield Correct Inferences? A Comparison of Developed and Emerging
Markets”, Review of
Financial Studies, Vol. 23 Issue 8,
Aug2010, pp.3225-3277. |
|
|
8-6
|
Harald A. Benink, José
Luis Gordillo, Juan Pablo Pardo, Christopher R. Stephens, “Market efficiency
and learning in an artificial stock market: A perspective from Neo-Austrian
economics “, Journal of
Empirical Finance, Volume 17, Issue 4, September 2010, pp.668-688. |
|
|
8-7
|
Jeremy C. Stein, “Presidential Address: Sophisticated
Investors and Market Efficiency “, The Journal of Finance, Vol. 64,
Iss.4, August 2009, 1517-1548. |
|
|
8-8
|
Shinhua Liu, “International cross-listing and stock pricing efficiency:
an empirical study”, Emergin Markets review, Vol. 8, 2007, 251-263. |
|
|
8-9
|
Carrieri, Francesca,
Errunza, Vihang, and Hogan, Ked, “Characterizing World Maket Integration
Through Time”, Journal of Financial & Quantitive Analysis, Dec. 2007,
Vol. 42, Iss. 4, pp. 915-940. |
|
|
8-10
|
Hautsch, Nikolaus and
Hess, Dieter, “Bayesian Learning in Financial Markets: Testing for the
Releveance of Information Precision in Price Discovery”, Journal of Financial
& Quantitative Analysis, March 2007. |
|
|
8-11
|
Mizrach, Bruce and
Neely, Christopher J., “The Microstructure of Bond Market Tatonnement”, SSRN,
FEN CapMkts-Micro WPS, Vol. 8, No. 33, 2005. |
|
|
8-12
|
Lee, Yi-Tsung, Yu-Jane
Liu, R. Roll and A. Subrahmanyam, 2004, Order imbalances and market
efficiency: Evidence from the Taiwan Stock Exchange, Journal of Financial and
Quantitative Analysis 39, 327-341. |
|
|
8-13
|
Robin K. Chou and
Jie-Haun Lee, “The Relative Efficiencies of Price Execution Between Singapore
Exchange and Taiwan Futures Exchange”, Journal of Futures Market, Vol. 22,
No. 2, 2001, 173-196. |
|
|
8-14
|
Chen J., Hong H. G., and Stein
J. C., “Forecasting Crashes: Trading Volume, Past Returns and Conditional
Skewness in Stock Price”, Journal of Financial Economics, Vol.61, Iss.3, 2001, 345-381. |
9. Liquidity
|
|
9-1
|
Craig W. Holden and Stacey
Jacobsen,''Liquidity Measurement Problems in Fast, Competitive Markets:
Expensive and Cheap Solutions'',The Journal of Finance,Volume 69, Issue
4,August 2014,p.1747–1785 |
|
|
9-2
|
Sahn-Wook Huh,''Price impact and
asset pricing",Journal of Financial Markets,Volume 19,June 2014,p.1-38 |
|
|
9-3
|
Frederic
Malherbe,''Self-Fulfilling Liquidity Dry-Ups'',The Journal of Finance,Volume
69, Issue 2,April 2014,p.947–970 |
|
|
9-4
|
David Easley, Terrence Hendershott,
and Tarun Ramadorai,''Leveling the trading field",Journal of Financial
Markets,Volume 17,January 2014,p.65-93 |
|
|
9-5
|
Kris Boudt and Mikael
Petitjean,''Intraday liquidity dynamics and news releases around price jumps:
Evidence from the DJIA stocks",Journal of Financial Markets,Volume
17,January 2014,p.121-149 |
|
|
9-6
|
Grace Xing Hu, Jun Pan and Jiang
Wang,''Noise as Information for Illiquidity'',The Journal of Finance,Volume
68, Issue 6,December 2013,p.2341–2382 |
|
|
9-7
|
Loriano Mancini, Angelo Ranaldo and
Jan Wrampelmeyer,''Liquidity in the Foreign Exchange Market: Measurement,
Commonality, and Risk Premiums'',The Journal of Finance,Volume 68, Issue
5,October 2013,p.1805–1841 |
|
|
9-8
|
Rangvid,Schmeling and
Schrimpf,"What do professional forecasters' stock market expectations
tell us about herding,information extraction and beauty
contests?"Journal of Empirical Finance Vol.20,2013 |
|
|
9-9
|
Hsiu-Chuan Lee, Cheng-Yi
Chien and Tzu-Hsiang Liao, “Commonality in trading activity and futures-cash
basis: Evidence from the Taiwan futures and stock markets”, Journal of
Futures Markets, October 2012, Volume 32, Issue 10, (pages 964–994) |
|
|
9-10
|
Dong Lou, Hongjun Yan,
and Jinfan Zhang, “Anticipated and Repeated Shocks in Liquid Markets” The
Review of Financial Studies, Volume 26, Number 8, August 2013 |
|
|
9-11
|
Alex Boulatov and Thomas
J. George, “Hidden and Displayed Liquidity in Securities Markets with
Informed Liquidity Providers”, The Review of Financial Studies, Volume 26,
Number 8, August 2013 |
|
|
9-12
|
Patricia
Chelley-Steeley, Neophytos Lambertides, Christos S. Savva, “Illiquidity
shocks and the comovement between stocks: New evidence using smooth
transition”, Journal of Empirical Finance, Volume 23, (September 2013) |
|
|
9-13
|
Octavio
Fernández-Amador, Martin Gächter, Martin Larch, Georg Peter, “ Does
monetary policy determine stock market liquidity? New evidence from the euro
zone”, Journal of Empirical Finance, Volume 21, (March 2013) |
|
|
9-14
|
Wolfgang Karl Härdle,
Nikolaus Hautsch, Andrija Mihoci, “Modelling and forecasting liquidity supply
using semiparametric factor dynamics”, Journal of Empirical Finance, Volume
19, Issue 4, (September 2012) |
|
|
9-15
|
Biao Guo and David
Newton, “Regime-dependent Liquidity Determinants of Credit Default Swap
Spread Changes”, Journal of Financial Research, Summer 2013, Volume 36, Issue 2, (pages 279–298) |
|
|
9-16
|
G. Andrew Karolyi,
Kuan-Hui Lee, Mathijs A. van Dijk, “Understanding commonality in liquidity
around the world”, Journal of Financial Economics 105 (2012) 82–112. |
|
|
9-17
|
Michael J. Brennan,
Tarun Chordia, Avanidhar Subrahmanyam, Qing Tong, “Sell-order liquidity and
the cross-section of expected stock returns”, Journal of Financial Economics
105 (2012) 523–541. |
|
|
9-18
|
Dimitri Vayanos, Jiang
Wang, “Liquidity and Asset Returns Under Asymmetric Information and Imperfect
Competition”, Review of Financial Studies (2012) 25(5): 1339-1365. |
|
|
9-19
|
Radhakrishnan Gopalan,
Ohad Kadan, and Mikhail Pevzner, “Asset Liquidity and Stock Liquidity”,
Journal of Financial and Quantitative Analysis Vol. 47, No. 2, Apr. 2012, pp.
333–364. |
|
|
9-20
|
Ben R. Marshall, Nhut H.
Nguyen, and Nuttawat Visaltanachoti, “Commodity Liquidity Measurement and
Transaction Costs”, Review of Financial Studies (2012) 25(2): 599-638. |
|
|
9-21
|
Ryan Riordan, Andreas
Storkenmaier, “Latency, liquidity and price discovery”, Journal of Financial
Markets 15 (2012) 416–437. |
|
|
9-22
|
Simi Kedia, Xing Zhou,
“Local market makers, liquidity and market quality”, Journal of Financial
Markets 14 (2011) 540–567. |
|
|
9-23
|
Tarun Chordia, Asani
Sarkar and Avanidhar Subrahmanyam, “Liquidity Dynamics and Cross- Autocorrelations”,
Journal of Financial and Quantitative Analysis, Vol.46, Iss03, June 2011,
pp.709-736. |
|
|
9-24
|
Lou, Xiaoxia ; Sadka, Ronnie,”Liquidity Level or Liquidity Risk?
Evidence from the Financial Crisis”, Journal of Finance and Economics,
Vol.67, Iss.3, May-Jun. 2011. |
|
|
9-25
|
Roll, Richard ;
Subrahmanyam, Avanidhar. ” Liquidity skewness” Journal of Banking &
Finance, Vol.34, Iss.10, Oct. 2011. |
|
|
9-26
|
Richard C. Green, Dan
Li, and Norman Schürhoff, “Price Discovery in Illiquid Markets: Do Financial
Asset Prices Rise Faster Then They Fall?”, The Journal of Finance, Vol.65,
No.05, Oct. 2010, pp.1669. |
|
|
9-27
|
Chung, Dennis ; Hrazdil,
Karel,”Liquidity and market efficiency : A large sample study” , Journal of
Banking & Finance, Vol.34, Iss.10, Oct. 2010. |
|
|
9-28
|
Lee, Kuan-Hui, “ The
world price of Liquidity risk” Journal of Finance and economics, Vol.99,
Iss.1, Jan.2011., 1-234 |
|
|
9-29
|
Prachi Deuskar, Timothy
C. Johnson, ”Market Liquidity and Flow-driven Risk ”, Review of Financial
Studies, Vol. 24, Iss.3, Mar.2011. |
|
|
9-30
|
Ronnie Sadka, “Liquidity risk and the cross-section of hedge-fund
returns “, Journal of Financial Economics, Volume 98, Issue 1, Oct.2010,
pp.54-71. |
|
|
9-31
|
Ryan Garvey, Fei Wu, ” Intraday time and order execution
quality dimensions”, Journal of Financial
Markets, Vol.12, Iss.2, May 2009. 203-228. |
|
|
9-32
|
Ulf Nielsson, “Stock exchange merger and
liquidity: The case of Euronext”, Journal of
Financial Markets, Vol.12, Iss.2, May 2009. 229-267. |
|
|
9-33
|
Jennifer Huang and Jiang
Wang, “Liquidity and Market Crashes”,
The Review of Financial Studies, Vol. 22, No. 7, 2009, 2607-2643. |
|
|
9-34
|
Alessandro Beber, Michael W. Brandt, and Kenneth A. Kavajecz, “Flight-to-Quality
or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market”, The Review of Financial Studies, Vol.
22, No. 3, 2009, 925-957. |
|
|
9-35
|
Ruslan Y. Goyenko, Craig
W. Holden, Charles A. Trzcinka, “Do liquidity measures measure
liquidity?”, Journal of Financial
Economics, Vol. 92, Iss. 2, May 2009, 153-181. |
|
|
9-36
|
Ruslan Y. Goyenko and
Andrey D. Ukhov, “Stock and Bond Market Liquidity: A Long-Run Empirical
Analysis”, Journal of Financial and
Quantitative Analysis, Volume 44, Issue 01, February
2009, pp 189-212. |
|
|
9-37
|
Silva, A.C., G.A.Chavez,
“Cross-listing and liquidity in emerging market stocks”, Journal of Banking
and Finance, Vol.32, 2008, 420-433. |
|
|
9-38
|
George C. Chacko, Jakub
W. Jurek, Erik Stafford, “The Price of Immediacy”, Journal of Finance, Vol.
63, Iss. 3, June 2008, pp. 1253-1290. |
|
|
9-39
|
Barclay, Michael J.,
Jones Charles M., Hendershott, Terrence, “Order Consolidation, Price
Effieiency, and Extreme Liquidity Shocks”, Journal
of Financial & Quantitative Analysis, Vol. 43, Iss. 1, Mar2008, pp.
93-121. |
|
|
9-40
|
Robert A. Korajczyk and
Ronnie Sadka, “Pricing the Commonality Across Alternative Measures of
Liquidity”, Journal of Financial Economics, Vol. 87, Iss. 1, Jan. 2008, pp.
45-72. |
|
|
9-41
|
Tarun Chordia, Richard
Roll, and Avanidhar Subrahmanyam, “Liquidity and Market Efficiency”, Journal
of Financial Economics, Vol. 87, Iss. 2, Feb.2008, pp. 249-268. |
|
|
9-42
|
Avraham Kamara, Xiaoxia
Lou, Ronnie Sadka, “The Divergence of Liquidity Commonality in the
Cross-Section of Stocks”, Journal of Financial Economics, Vol. 90, Iss. 1,
Oct.2008, pp. 444-466. |
|
|
9-43
|
Sriketan Mahanti, Amrut
Nashikkar, Marti Subrahmanyam, George Chacko, Gaurav Mallik, “Latent
Liquidity: A New Measure of Liquidity, with an Application to Corporate
Bonds”, Journal of Financial Intermediation, Vol.88, Iss.2, 2008, 272-298. |
|
|
9-44
|
Shmeul
Baruch, G. Andrew Karolyi and Michael L. Lemmon, “Multimarket Trading
and Liquidity: Theory and Evidence”, The Journal of Finance, Vol. 62, Iss.5,
2007, 2169-2200. |
|
|
9-45
|
Richard
Roll, Eduardo Schwartz and Avanidhar Subrahmanyam, “Liquidity and the Law
of One Price: The Case of the Futures-Cash Basis”, The Journal of Finance,
Vol. 62, Iss.5, 2007, 2201-2234. |
|
|
9-46
|
Bruce Ian
Carlin, Miguel Sousa Lobo and S. Viswanathan, “Episodic Liquidity
Crises: Cooperative and Presdatory Trading”, The Journal of Finance, Vol. 62,
Iss.5, 2007, 2235-2274. |
|
|
9-47
|
Bong-Gyu
Jang, Hyeng Keun Koo, Hong Liu and Mark Loewenstein, “Liquidity Premia and
Transaction”, The Journal of Finance, Vol. 62, Iss.5, 2007, 2329-2366. |
|
|
9-48
|
Choria, Tarun, Roll,
Richard, and Subrahmanyam, Avanidhar, “Liquidity and market efficiency”,
Journal of Financial Economics, Vol. 87, Iss. 2, February 2008, pp. 249-268. |
|
|
9-49
|
Aitken, Michael,
Almeida, Niall, deB. Harris, Frederock H.,and Mclnish, Thomas H, “Liquidity
supply in electronic markets”, Journal of Financial Markets, May 2007.. |
|
|
9-50
|
Grammig, Joachim and
Giot, Pierre, “How Large is Liquidity Risk in an Automated Auction Market?”,
Empirical Economics, Vol.30, No.4, 2006,
867-887. |
|
|
9-51
|
Antunovich, Peter and
Sarkar, Asani, “Fifteen Minutes of Fame? The Market Impact of Internet Stock
Picks” Journal of Business, 2006, vol. 79, issue 6, 3209-3208. |
|
|
9-52
|
Kavajecz, Kenneth A. and
Keim, Donald B., “Packaging Liquidity: Blind Auctions and Transaction
Efficiencies”, Journal of Financial and Quantitative Analysis Vol. 40, No. 3,
2005. |
|
|
9-53
|
Benczur, Peter,
“Information Revelation, Liquidity Shocks, the Volatility and the Level of
Bond Spreads”, Economica, Vol. 72, No. 285, 2005, 95-119. |
|
|
9-54
|
Avramov, Doron, Chordia,
Tarun and Goyal, Amit, “Liquidity and Autocorrelations in Individual Stock
Returns”, Journal of Finance, Volume 61, Issue 5, pages 2365–2394, October
2006 |
|
|
9-55
|
Marshall, Ben R.,
“Liquidity and Stock Returns: Evidence from a Pure Order-Driven Market Using
a New Liquidity Proxy”, International
Review of Financial Analysis, 2006, vol.
15, issue 1, 21-38. |
|
|
9-56
|
Gibson, Rajna, and
Mougeot, Nicolas, “The pricing of systematic liquidity risk: Empirical
evidence from the US stock market”, Journal of Banking and Finance 28, 2004,
157-178. |
|
|
9-57
|
Chakravarty, Sugato,
Wood, Robert A. and Van Ness, Robert A., “Decimals and Liquidity: A Study of
the NYSE”, The Journal of Financial
Research, Vol.27, Iss.1, 2004, 75-94. |
|
|
9-58
|
Coughenour, Jay F., and
Saad, Mohsen M., “Common market makers and commonality in liquidity”, Journal
of Financial Economics 73, 2004, 37-69. |
|
|
9-59
|
Paul Brockman and Dennis
Y. Chung, “Investor Protection and Firm Liquidity”, The Journal of Finance
Vol.58, No.2, 2003. |
|
|
9-60
|
Maureen O’Hara,
“Presidential Address: Liquidity and Price Discovery”, The Journal of Finance
Vol 58. No.4, August 2003. |
|
|
9-61
|
Fernando, Chitru S.,
“Commonality in Liquidity: Transmission of Liquidity Shocks Across Investors
and Securities” Journal of Financial Intermediation, Vol.12, No.3, 2003. |
|
|
9-62
|
Pastor, Lubos and
Stambaugh, Robert F., “Liquidity Risk and Expect Stock Returns” Journal of
Political Economic, Vol.111, 2003. |
|
|
9-63
|
Tarun Chordia, Richard
Roll, and Avanidhar Subrahmanyam, “Order Imbalance, Liquidity, and Market
Returns”, JFE, Vol.4, May 2001. |
|
|
9-64
|
Hasbrouck, Joel and
Seppi, Duane J., “Common Factors in Prices, Order Flows, and Liquidity”
Journal of Financial Economics 59*, 2001, 383-411. |
|
|
9-65
|
Corwin, Shane A. and
Marc L. Lipson, 2000, Order flow and liquidity around NYSE trading halts,
Journal of Finance 55, 1771-1801. |
|
|
9-66
|
Chordia T., Roll R. and
Subramanyam A., “Market Liquidity and Trading Activity” Volume 56, Issue 2,
pages 501–530, April 2001 |
|
|
9-67
|
Hain Mendelson and Tunay
Ihsan Tunca, “Strategic Trading, Liquidity and Information Acquisition“, Review of Financial Studies,
Vol.17, No.2, 2000, 295-337. |
|
|
9-68
|
Chordia, Tarun, Richard
Roll and Avanidhar Subrahmanyam, "Commonality in Liquidity",
Journal of Financial Economics 56, 2000, 3-28. |
|
|
9-69
|
Tarun Chordia, Richard
Roll, and Avanidhar Subrahmanyam, “Order Imbalance, Liquidity, and Market
Returns”, JFE, Vol.4, May 2001. |
|
|
9-70
|
Hasbrouck, Joel and
Seppi, Duane J., “Common Factors in Prices, Order Flows, and Liquidity”
Journal of Financial Economics 59*, 2001, 383-411. |
|
|
9-71
|
Chordia T., Roll R. and
Subramanyam A., “Market Liquidity and Trading Activity”, Journal of Finance,
Vol. 56, 501-530. |
10. Volatility
|
|
10-1
|
Erik Haugom, Henrik Langeland,
Peter Molnár, Sjur Westgaard,''Forecasting volatility of the U.S. oil
market'',Journal of Banking & Finance,Volume 47,October 2014,p.Pages 1-14 |
|
|
10-2
|
Byun and Kim, “The Information
Content of Risk-Neutral Skewness for Volatility Forecasting” Journal of
Empirical Finance 2013 |
|
|
10-3
|
Manuel Ammann, Ralf
Buesser, “Variance risk premiums in foreign exchange markets”, Journal of
Empirical Finance, Volume 23, (September 2013) |
|
|
10-4
|
Minqiang Li, “An examination of the
continuous-time dynamics of international volatility indices amid the recent
market turmoil”, Journal of Empirical Finance, Volume 22, (June 2013) |
|
|
10-5
|
Xinyi Liu, Dimitris Margaritis, Peiming Wang,
“Stock market volatility and equity returns: Evidence from a two-state
Markov-switching model with regressors”, Journal of Empirical Finance, Volume
19, Issue 4, (September 2012) |
|
|
10-6
|
Sohnke M. Bartram,
Gregory Brown and Rene M. Stulz, “Why Are U.S. Stocks More Volatile? “, The
Journal of FinanceVolume 67, Issue 4, pages 1329–1370, August 2012. |
|
|
10-7
|
Boudt, K.; Croux, C.;
Laurent, S.” Robust estimation of intraweek periodicity in volatility and
jump detection”, Journal of Empirical, Vol.18., Iss.2, Mar. 2011. |
|
|
10-8
|
Pierre Giot, Sébatien
Laurent, and Mikael Petitjean, “Trading Activity, Realized Volatility and
Jumps”, Journal of Empirical Finance, Original Research Article, Jan. 2010,
pp.168-175. |
|
|
10-9
|
Talpsepp, T.; Rieger, M.O.,”Explaining asymmetric volatility around the
world”, Journal of Empirical Finance, Vol.17, Iss.5, Dec. 2010. |
|
|
10-10
|
Zhang, Chu, “A Reexamination of the Causes of Time-Varying Stock Return Volatilities”, Journal of Financial & Quantitative Analysis, Vol. 45, Issue 3, Jun2010, p663-684. |
|
|
10-11
|
Robert Bloomfield, Maureen O’Hara, and Gideon Saar, “How Noise
Trading Affects Markets: An Experimental Analysis”, The Review of Financial Studies, Vol. 22, No.6, 2009, 2275-2302. |
|
|
10-12
|
Masahiro
Watanabe, “Price Volatility and Investor Behavior in an Overlapping Generations
Model with Information Asymmetry”, The Journal of Finance, Vol.63, Iss.1,
2008, 229-272. |
|
|
10-13
|
Robert F. Engle and Jose
Gonzalo Rangel, “The Spline-GARCH Model for Low-Frequency Volatility and Its Global
Macroeconomic Causes”, Review of Financial Studies, Vol.21,
No.3, 2008, 1187-1222. |
|
|
10-14
|
Gillemot, Laszlo,
Farmer, J. Doyne and Lillo, Fabrizio, “There’s More to Volatility than
Volume”, Quantitative Finance, 2006, Vol. 6, Issue 5, 371-384. |
|
|
10-15
|
Taylor, Nicholas,
“Trading intensity, volatility, and arbitrage activity”, Journal of Banking
and Finance, Vol.28, Iss.5, 2004, 1137-1162. |
|
|
10-16
|
Roel C.A. Oomen, “Using
High frequency Stock Market Index Data to calculate, model & forecast
Realized Return Variance.” SSRN, FEN CapMkts-Micro WPS, Vol. 4, No. 15, June
5, 2001. |
|
|
10-17
|
Sassan Alizadeh, Michael
W. Brandt and Francis X. Diebold, "Range-Based Estimation Of Stochastic
Volatility Models," Journal of Finance, 2002, Vol. 57, 1047-1091. |
|
|
10-18
|
Fulvio Corsi, Gilles O.
Zumbach, Ulrich A. Muller and Michel M. Dacorogna, “Consistent High-Precision
Volatility from High-Frequency Data”, SSRN, FEN CapMkts-Micro WPS, Vol. 4,
No. 10, May 7, 2001. |
11. Bid-Ask
Spread
|
|
11-1
|
Dan Galai and Ben Z.
Schreiber, “Bid–Ask Spreads and Implied Volatilities of Key Players in a FX
Options Market”, Journal of Futures Markets, August 2013, Volume 33, Issue 8, (pages 774–794) |
|
|
|
11-2
|
Shane A. Corwin and Paul
Schultz, “A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low
Prices”, The Journal of Finance,Volume 67, Issue 2, pages 719–760, April
2012. |
|
|
|
11-3
|
Shikuan Chen, Chih-Chung
Chien, Ming-Jen Chang, “Order flow, bid–ask spread and trading density in
foreign exchange markets”, Journal of Banking & Finance 36 (2012)
597–612. |
|
|
|
11-4
|
Thomas Henker and Jian-Xin Wang, “On the
Importance of Timing Specifications in Market Microstructure Research”
Journal of Financial Markets, Vol.9, Iss.2, 2006, 162-179. |
|
|
|
11-5
|
Vins, Josemilio Farin, Mart, Constantino Josgarc
and Ibez, Ana M., “Insider Trading and Market Behavior Around Takeover”,
Review of Financial Markets, Vol. 7, No. 1, 2005, 31-53. |
|
|
|
11-6
|
Hasbrouck,
Joel, “Trading Costs and Returns for US Equities: Estimating effective costs
from Daily Data” The Journal of Finance, 2009. |
|
|
|
11-7
|
Gajewski, Jean-Francois and Gresse, Carole, “Centralised order books versus hybrid order
books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS
(London Stock Exchange)”, Journal of Banking & Finance, Vol. 31,
Issue 9, 2007, 2906-2924. |
|
|
|
11-8
|
Barabanov, Sergey and
Mcnamara, Michael J., “Market Perception of Information Asymmetry;
Concentration of Ownership by Different Types of Institutions and Bid-Ask
Spread” SSRN, FEN CapMkts-Micro WPS, Vol. 6, No. 12, 2003. |
|
|
|
11-9
|
Henker, Thomas and
Martens, Martin, “Spread Decomposition and Commonality in Liquidity” SSRN,
FEN CapMkts-Micro WPS, Vol. 6, No. 4, 2003. |
|
|
|
11-10
|
Najah Attig, Yoser
Gadhoum and Lang, Larry H.P. “Bid-Ask Spread, Asymmetric Information and
Ultimate Ownership” SSRN, FEN CapMkts-Micro WPS Vol.5, No.26, 2002. |
|
|
|
11-11
|
Helena Beltran Lopez, Pierre
Giot, and Joachim Gramming,”Expected and unexpected cost of trading in the
xetra automated auction market”, SSRN, February 2002. |
|
12.
Transparency
|
|
12-1
|
Ya Tang,''Information disclosure
and price discovery",Journal of Financial Markets,Volume 19,June 2014,p.39-61 |
|
|
12-2
|
Haoxiang Zhu,''Do Dark Pools Harm
Price Discovery?'',The Review of Financial Studies,Volume 27,Issue 3,March
2014,p.747-789 |
|
|
12-3
|
M. Ángeles de Frutos and Carolina
Manzano,''Market transparency, market quality, and sunshine
trading",Journal of Financial Markets,Volume 17,January 2014,p.174-198 |
|
|
12-4
|
Mahendrarajah Nimalendran and
Sugata Ray,''Informational linkages between dark and lit trading
venues",Journal of Financial Markets,Volume 17,January
2014,p. 230-261 |
|
|
12-5
|
Marco Pagano and Paolo
Volpin, “Securitization, Transparency, and Liquidity”,The Review of Financial
Studies (2012) Vol. 25,Issue.8,pp. 2417-2453. |
|
|
12-6
|
Carole Comerton-Forde,
Talis J. Putnins, and Kar Mei Tang, “Why Do Traders Choose to Trade
Anonymously? ”, Journal of Financial and Quantitative Analysis Vol. 46, No.
4, Aug. 2011, pp. 1025–1049. |
|
|
12-7
|
David Easley, Maureen O`
Hara,” Microstructure and Ambiguity”, Journal of Finance, Vol. 65, Iss. 5,
October 2010. |
|
|
12-8
|
Juhani T. Linnainmaa and
Gideon Saar,” Lack of Anonymity and the Inference from Order Flow”, Review of
Financial Studies (2012) 25(5): 1414-1456 |
|
|
12-9
|
Lauren Cohen, Andrea
Frazzini and Christopher Malloy,” Sell-Side School Ties”, The Journal of
Finance, Vol. 65, Iss. 4, Aug. 2010, pp.1409–1437. |
|
|
12-10
|
Ma, Tai, Yaling Lin and Hsiu-Kuei Chen,”Are investors more aggressive in
transparent markets?” Asia-Pacific Journal of Financial Studies, Vol. 37, No.
2, April 2008. |
|
|
12-11
|
Kyong Shik Eom, Jinho
Ok, Jong-Ho Park, “Pre-trade Transparency and Market Quality”, Journal of
Financial Market, Vol.10, Iss.4, 2007, 319-341. |
|
|
12-12
|
Zhao, Xin and Chung, Kee
H., Information Disclosure and Market Quality: The Effect of SEC Rule |
|
|
12-13
|
Michael A. Goldstein,
Edith S. Hotchkiss, and Erik R. Sirri, “Transpaerncy and Liquidity: A
Controlled Experiment on Corporate Bonds”, Review of Financial Studies, Vol.
20, No. 2, 2007 , pp. 235-273(39). |
|
|
12-14
|
Amy K. Edwards, Lawrence
E. Harris, and Michel S. Piwowar, “Corporate Bond Market Transaction Costs
and Transparency”, The Journal of Finance, June 2007 |
|
|
12-15
|
Bailey, Warren B.,
Karolyi, George Andrew and Salva, Carolina, “The Economic Consequences of
Increased Disclosure: Evidence from International Cross-listings”, Journal of
Financial Economics, Vol. 81, Iss. 1, 2006, 175-213. |
|
|
12-16
|
Boehmer, Ekkehart,
Jennings, Robert H. and Wei, Li, “Public Disclosure and Private Decisions:
Equidity Market Execution Quality and Order Routing”, Review of Financial
Studies, 2007, 20(2):315-358. |
|
|
12-17
|
Zhao, Xin and Chung, Kee
H., “Information Disclosure
and Market Quality: The Effect of SEC Rule 605 on Trading Costs”, Journal of Financial and Quantitative Analysis
,Vol. 42, No. 3, 2007, pp. 657–682. |
|
|
12-18
|
Verrecchia, Robert E.
and Weber, Joseph Peter, “Redacted Disclosure”, SSRN, FEN CapMkts-Micro WPS,
Vol. 9, No. 5, 2006. |
|
|
12-19
|
Bessembinder, Hendrik
Hank, Maxwell, Welliam and Venkatraman, Kumar, “Market Transparency,
Liquidity Externalities, and Institutional Trading Cost in Corporate Bonds”,
Journal of Financial Economics, Vol. 82, Issue 2, 2006, pp.251-288. |
|
|
12-20
|
Boehmer, Ekkehart, Saar,
Gideon and Yu, Lei, “Lifting the Veil: An analysis of pre-trade transparency
at the NYSE”, Journal of Finance, Vol. 60, No. 2, 2005. |
|
|
12-21
|
F. Drudi and Massimo
Massa, “Price manipulation in parallel markets with different transparency,”
The Journal of Business, Vol.78, 2005, 1625-1658. |
|
|
12-22
|
Vesna Straser,” The Impact of Regulation
Fair Disclosure and Information Asymmetry”, Financial Review, November
2004. |
|
|
12-23
|
Jon A. Garfinkel and M.
Nimalendran, “Market Structure and Trader Anonymity: An Analysis of Insider
Trading” Journal of Financial and Quantitative Analysis Vol. 38, No. 3, 2003. |
|
|
12-24
|
Simaan, Weaver and
Whitcomb, “Market Maker Quotation Behavior and Pretrade Transparency” Journal
of Finance, Vol 88, pg 1247-1268, June 2003. |
|
|
12-25
|
Perotti, Pietro and
Rindi, Barbara, “Market for information and identity disclosure in an experimental open limit order book” Economic
Notes ,2006, Vol. 1, 95-116. |
|
|
12-26
|
Rindi, Barbara,
“Informed Traders as Liquidity Providers: Transparency, Liquidity and Price
Formation” Review of Finance, 2008, Vol. 12, No. 3, pp.497-532. |
|
|
12-27
|
Hendershott, Terrence J.
and Jones, Charles M., “Island Goes Dark: Transparency, Fragmentation, and Regulation”, Review of Finance, 2005, Vol. 18, Issue 3, pp. 743-793. |
|
|
12-28
|
Frost, Carol A., Gordon, Elizabeth A. and Hayes,
Andrew H., “Stock Exchange Disclosure
and Market Development: An Analysis of 50 International Exchanges” Journal of Accounting Research, 2006, Vol. 44, Issue
3, 437 – 483. |
|
|
12-29
|
Bloomfield R. and O'Hara
M., “Can Transparent Market Survive?”
Journal of Financial Economics, Vol. 55 No. 3, 2000. |
13. Information
|
|
13-1
|
Yu-Lun Chen, Yin-Feng Gau,''Asymmetric responses of ask and bid
quotes to information in the foreign exchange market'',Journal of Banking
& Finance,Volume 38,January 2014,p.Pages 194-204 |
|
|
13-2
|
Yuxing Yan, Shaojun Zhang,''Quality of PIN estimates and the
PIN-return relationship'',Journal of Banking & Finance,Volume 43,June
2014,p.Pages 137-149 |
|
|
13-3
|
Benjamin M. Blau, Nga Nguyen, Ryan J. Whitby,''The information
content of option ratios'',Journal of Banking & Finance,Volume 43,June
2014,p.Pages 179-187 |
|
|
13-4
|
George J. Jiang, Ingrid Lo,''Private information flow and price
discovery in the U.S. treasury market'',Journal of Banking &
Finance,Volume 47,October 2014,p.Pages 118-133 |
|
|
13-5
|
Torben G. Andersen and Oleg Bondarenko,''VPIN and the flash
crash",Journal of Financial Markets,Volume 17,January 2014,p.1-46 |
|
|
13-6
|
David Easley, Marcos M. López de Prado, and Maureen
O'Hara,''VPIN and the Flash Crash: A rejoinder",Journal of Financial
Markets,Volume 17,January 2014,p.47-52 |
|
|
13-7
|
Torben G. Andersen and Oleg Bondarenko,''Reflecting on the VPIN
dispute",Journal of Financial Markets,Volume 17,January 2014,p.53-64 |
|
|
13-8
|
Jackson, “Estimating PIN for firms with high levels of trading”
Journal of Empirical Finance Vol.24 2013 |
|
|
13-9
|
Yaw-Huei Wang, “Volatility Information in the
Trading Activity of Stocks, Options, and Volatility”, Journal of Futures
Markets, August 2013, Volume 33, Issue 8, (pages 752–773) |
|
|
13-10
|
Lauren Cohen, Christopher
Malloy and Lukaszpomorski, “Decoding Inside Information”, The Journal of
FinanceVolume 67, Issue 3, pages 1009–1043, June 2012. |
|
|
13-11
|
Joseph E. Engelberg ,
Adam V. Reed, Matthew C. Ringgenberg, “How are shorts informed? Short
sellers, news, and information processing”, Journal of Financial Economics 105
(2012) 260–278. |
|
|
13-12
|
Andrew J. Patton and
Michela Verardo, “Does Beta Move with News? Firm-Specific Information Flows
and Learning about Profitability”,
Review of Financial Studies (2012) 25(9): 2789-2839. |
|
|
13-13
|
Sugato Chakravarty,
Pankaj Jain, James Upson, and Robert Wood, “Clean Sweep: Informed Trading
through Intermarket Sweep Orders”, Journal of Financial and Quantitative
Analysis Vol. 47, No. 2, Apr. 2012, pp. 415–435. |
|
|
13-14
|
Archishman Chakraborty,
Michael S. Pagano, Robert A. Schwartz, “Order revelation at market openings”,
Journal of Financial Markets 15 (2012) 127–150. |
|
|
13-15
|
Hadiye Aslan, David
Easley, Soeren Hvidkjaer, Maureen O'Hara, “The characteristics of informed
trading: Implications for asset pricing”, Journal of Empirical Finance 18
(2011) 782–801. |
|
|
13-16
|
Haiqiang Chena, Paul
Moon Sub Choi, “Does information vault Niagara Falls? Cross-listed trading in
New York and Toronto”, Journal of Empirical Finance 19 (2012) 175–199. |
|
|
13-17
|
Hsiou-Wei William Lin,
Wen-Chyan Ke, “A computing bias in estimating the probability of informed
trading”, Journal of Financial Markets 14 (2011) 625–640. |
|
|
13-18
|
Ozgur (Ozzy) Akay, Ken
B. Cyree, Mark D. Griffiths, Drew B. Winters, “What does PIN identify? Evidence
from the T-bill market”, Journal of Financial Markets 15 (2012) 29–46. |
|
|
13-19
|
Raymond P. H. Fishe,
Aaron D. Smith, “Identifying informed traders in futures markets”, Journal of
Financial Markets 15 (2012) 329–359. |
|
|
13-20
|
Yifan Chen, Huainan
Zhao, “Informed trading, information uncertainty, and price momentum”,
Journal of Banking & Finance 36 (2012) 2095–2109. |
|
|
13-21
|
Fariborz Moshirian,
Huong Giang (Lily) Nguyen, Peter Kien Pham, “Overnight public information,
order placement, and price discovery during the pre-opening period”, Journal
of Banking & Finance 36 (2012) 2837–2851. |
|
|
13-22
|
David Easley; Marcos M.
Lòpez de Prado ; Maureen O` Hara,” The Exchange of Flow Toxicity”, Journal
of Trading, Jan. 2011. |
|
|
13-23
|
Kang ,
Moonsoo,”Probability of information-based trading and January effect” Journal
of Banking & Finance, Vol.34, Iss.12, Dec. 2010. |
|
|
13-24
|
Takahashi, Hidetomo,”
Short-Sale inflow and stock returns : Evidence from Japan”, Journal of
Banking & Finance, Vol.34, Iss.10, Oct. 2010. |
|
|
13-25
|
David Easley, Soeren
Hvidkjaer, and Maureen O’Hara, “Factoring Information into Returns”, Journal
of Financial and Quantitative Analysis, Vol. 45, Iss. 2, Apr. 2010,
pp.293-309. |
|
|
13-26
|
F. Albert Wang,
“Informed arbitrage with speculative noise trading“, Journal of Banking &
Finance, Vol. 34, Iss. 4, Feb.2010, pp.304-313. |
|
|
13-27
|
Shane Underwood, “The cross-market information
content of stock and bond order flow”, Journal of
Financial Markets, Vol.12, Iss.2, May 2009. 268-289. |
|
|
13-28
|
Gina Nicolosi, Liang
Peng, Ning Zhu, “Do individual investors learn from
their trading experience?”, Journal of Financial Markets, Vol.12,
Iss.2, May 2009. 317-336. |
|
|
13-29
|
Shimon Kogan,
“Distinguishing the Effect of Overconfidence from Rational Best-Response on
Information Aggregation”, The Review of Financial Studies, Vol. 22, No.5,
2009, 1889-1914. |
|
|
13-30
|
Ronald L. Goettler,
Christine A. Parlour, Uday Rajan, “Informed traders and limit order
markets”, Journal of Financial
Economics, Vol. 93, Iss. 1, July 2009, 67-87. |
|
|
13-31
|
George J. Jiang,
Danielle Xu and Tong Yao, “The Information Content of Idiosyncratic
Volatility”, Journal of Financial and
Quantitative Analysis, Volume 44, Issue 01, February
2009, pp 1-28 |
|
|
13-32
|
Masahiro Watanabe,
“Price Volatility and Investor Behavior in an Overlapping Generations Model
with Information Asymmetry”, Journal of Finance, Vol. 63, Iss. 1, February
2008, pp.229-272. |
|
|
13-33
|
Heather E. Tookes,
“Information, Trading, and Product Market Interactions: Cross-section Implications
of Informed Trading”, The Journal of Finance, Vol.63, Iss.1, February 2008,
pp. 379-413. |
|
|
13-34
|
Hee-Joon Ahn, Jangkoo
Kang, Doojin Ryu, “Informed Trading In The Index Option Market: The Case of
KOSPI 200 Options”, Journal of Futures Markets, Vol. 28, Iss. 12, Dec. 2008,
pp.1118-1146. |
|
|
13-35
|
Anand, Amber, and
Subrahmanyam, Avanidhar, “Information and the Intermediary: Are Market
Intermediaries Informed Traders In Electronic Markets?”, Journal of Financial
& Quantitative Analysis, Vol. 43, Iss. 1, Mar2008, pp. 1-28. |
|
|
13-36
|
Jangkoo Kang, Hyoung-Jin
Park, “The Information Content of Net Buying Pressure: Evidence From The
KOSPI 200 Index Option Market”, Journal of Financial Markets, Vol. 11, Iss.
1, Feb2008, pp. 36-56. |
|
|
13-37
|
Alexei Goriaev, Theo E.
Nijman, Bas J. M. Werker, “Performance Information Dissemination In The
Mutual Fund Industry”, Journal of Financial Markets, Vol. 11, Iss. 2,
May2008, pp. 144-159. |
|
|
13-38
|
Elizabeth R.
Odders-White, Mark J. Ready, “The Probability and Magnitude of Information
Events”, Journal of Financial Economics, Vol. 87, Iss. 1, Jan2008, pp.
227-248. |
|
|
13-39
|
Martin D.D. Evans and
Richard K. Lyons, “How Is Macro News Transitted to Exchange Rates?”, Journal
of Financial Intermediation, Vol.88, Iss.1, 2008, 26-50. |
|
|
13-40
|
Jangkoo Kang, Hyoung-Jin
Park, “The Information Content of Net Buying Pressure: Evidence from the
KOSPI 200 Index Option Market”, Journal of Financial Market, Vol.11, Iss.1,
2008, 36-56. |
|
|
13-41
|
Sophie X. NI, Jun Pan
and Allen M. Poteshman, “Volatility Information Trading in the Option Market”,
The Journal of Finance, Vol.63, Iss.3, 2008, 1059-1091. |
|
|
13-42
|
Ekkehart Boehmer,
Charles M. Jones and Xiaoyan Zhang, “Which Shorts Are Informed?”, The Journal
of Finance, Vol.63, Iss.2, 2008, 491-527. |
|
|
13-43
|
Giovanni Cespa,
“Infromation Sales and Insider Trading with Long-Lived Information”, The
Journal of Finance, Vol.63, Iss.2, 2008, 639-672. |
|
|
13-44
|
Heather E.
Tookes, “Information, Trading, and Product Market Interactions: Cross-section
Implications of Informed Trading”, The Journal of Finance, Vol.63, Iss.1,
2008, 379-413. |
|
|
13-45
|
Ma, Tai, Hsieh, Ming
Hua, and Chen, Jan-hung “The Probability of Informed Trading and the
Performance of Stock in an Order-Driven Market", Asia Pacific Journal of
Financial Studies, Vol.36, iss.6, 2007, pp.871-896. |
|
|
13-46
|
Kalok Chan, Albert J.
Menkveld, Zhishu Yang, “The Informativeness of Domestic and Foreign
Investors’ Stock Trades: Evidence from the Perfectly Segmented Chines
Market”, Journal of Financial Market, Vol.10, Iss.4, 2007, 391-415. |
|
|
13-47
|
Odders-White, Elizabeth
R. and Ready, Mark J., “The probability and magnitude of information events”,
Journal of Financial Economics, Vol. 87, Iss. 1, January 2008, pp.227-248. |
|
|
13-48
|
Kalok Chan, Albert J.
Menkveld, and Zhishu Yang, “Information Asymmetry and Asste Prices: Evidence
from the China Foreign Share Discount”, The Journal of Finance, Feb. 2008,
Vol. 63, Iss. 1, pp. 159-196. |
|
|
13-49
|
Heather E. Tookes,
“Information, Traing, and Product Market Interactions: Cross-sectional
Implications of Informed Trading”, The Journal of Finance, Feb. 2008, Vol.
63, Iss. 1, pp. 379-413. |
|
|
13-50
|
Aktas, Nihat, de Bodt,
Eric, Declerck, Facny, and Van Oppens, Herve, “The PIN anomaly around M&A
announcements”, Journal for Financial Markets, May 2007. |
|
|
13-51
|
Qi Chen, Itay Goldstein,
and Wei Juang, “Price Informativeness and Investment Sensitivity to Stock
Price”, The Review of financial Studies, May2007. |
|
|
13-52
|
Jefferson Duarte and
Lance Young, “Why is PIN priced?” , Journal of Financial Economicsx, May 18,
2007. |
|
|
13-53
|
Clara vega, “Stock Price
reaction to public and private information.”, Journal of Financial Economics,
Vol. 82, Iss.1, 2006, 103-133. |
|
|
13-54
|
Pascual, Roberto,
Pascual-Fuster, Bartolome and Climent, Francisco, “Cross-listing, Price
Discovery and the Informativeness of the Trading Process”, Journal of
Financial Markets, Vol.9, Iss.2, 2006, 144-161. |
|
|
13-55
|
Hautsch, Nikolaus and
Hess, Dieter, “Bayesian Learning in Financial Markets- Testing for the
Relevance of Information Precision in Price Discovery”, Journal of Financial and Quantitative
Analysis, 2007. Vol. 42, No. 1, pp. 189–208. |
|
|
13-56
|
Yan, Yuxing and Zhang,
Shaojun, “An Improved Estimation Method and Empirical Properties of informed
trading”, Journal of Banking & Finance, Volume 36, Issue 2, February
2012, Pages 454–467 |
|
|
13-57
|
Owens, John P. and
Steigerwald, Douglas G., “Inferring Information Frequency and Quality”,
Journal of Financial Econometrics, Vol. 3, No. 4, 2005, 500-524. |
|
|
13-58
|
Bozcuk, Aslihan and
Lasfer, M. Ameziane, “The Information Content of Institutional Trades on
the London Stock Exchange”, Journal of Financial and
Quantitative Analysis, Vol. 40, No. 3, 2005. |
|
|
13-59
|
Li, George, “Information Quality, Learning, and Stock Market Returns”, Journal of Financial and Quantitative
Analysis, Vol. 40, No. 3, 2005. |
|
|
13-60
|
Brunnermeier, Markus K.,
“Information Leakage and Market Efficiency”, Review of Financial Studies,
Vol. 18, No. 2, 2005. |
|
|
13-61
|
Chae, Joon, 2005,
Trading volume, information asymmetry, and timing information, Journal of
Finance 60, 413-442. |
|
|
13-62
|
Bushee, Brian J. and
Leuz, Christian, “Economic Consequences of SEC Disclosure Regulation:
Evidence from the OTC Bulletin Board” Journal
of Accounting and Economics, Volume 39, Issue 2, June 2005, Pages
233-264. |
|
|
13-63
|
DeMarzo, Peter M., “The
Pooling and Tranching of Securities: A Model of Informed Intermediation”,
Review of Financial Studies, Vol. 18, No. 1, 2005. |
|
|
13-64
|
Easley, David, and
O’Hara, Maureen, “Information and the cost of capital”, Journal of Finance,
Vol.59, No.4, 2004, 1553-1583. |
|
|
13-65
|
Antweiler, Werner, and
Frank, Murray Z., “Is all that talk just noise? The information content of
internet stock message boards”, Journal of Finance, Vol.59, No.3, 2004,
1259-1294. |
|
|
13-66
|
Mendelson, Haim and
Tunay Ihsan Tunca, “Strategic Trading, Liquidity and Information Acquisition”
Review of Financial Studies, Vol. 17,
No. 2, 2004, 295-337. |
|
|
13-67
|
Mcdermott J. B. and
Hedge S. P., “Firm Characteristics as Cross-Sectional Determinants of Adverse
Selection” Journal of Business
Finance & Accounting Vol.31, Iss.7-8, 2004, 1097. |
|
|
13-68
|
馬黛、楊清芬，(2003)，「Measuring the Probability of Informed Trading in
a Call Auction Market and A Comprehensive Analysis on the Determinants of
Informed Trading」，高頻金融財務資料分析國際研討會，中研院經濟所，台北。 |
|
|
13-69
|
O’Hara, Maureen,
“Presidential Address: Liquidity and Price Discovery” The Journal of Finance
Vol 58, No.4, 2003. |
|
|
13-70
|
Chung and Li, “Adverse
Selection Costs and The Probability of Info-Based Trading” Financial Rev. 38,
May 2003. |
|
|
13-71
|
Aktas, Nihat, Eric de
Bodt, Decleck, Fany and Oppens, Herve Van, “Probability of Informed Trading?
Some Evidence Around Corporate Events” SSRN, FEN CapMkts-Micro WPS, Vol. 6,
No. 14, 2003. |
|
|
13-72
|
Nyholm, K., 2003,
“Inferring the Private Information Content of Trades: A Regime-Switching
Approach”, Journal of Applied Econometrics 18, 457-470. |
|
|
13-73
|
Easley, D., S. Hvidkjaer
and M. O’Hara, 2002, “Is Information Risk a Determinant of Asset Returns?”,
Journal of Finance 57(5), 1891-1921. |
14. Algo Trading & High Frequency Trading
|
|
14-1
|
Jonathan Brogaard, Terrence Hendershott, and
Ryan Riordan,''High-Frequency Trading and Price Discovery'',The Review of
Financial Studies,Volume 27 ,Issue 8, August 2014,p. 2267-2306 |
|
|
14-2
|
Martin Scholtus, Dick van Dijk, Bart Frijns,''Speed,
algorithmic trading, and market quality around macroeconomic news
announcements'',Journal of Banking & Finance,Volume 38,January
2014,p.Pages 89-105 |
|
|
14-3
|
Nick Taylor,''The rise and fall of technical trading rule
success'',Journal of Banking & Finance,Volume 40,March 2014,p.Pages
286-302 |
|
|
14-4
|
Kathryn M. Kaminski and Andrew W. Lo,''When do stop-loss rules
stop losses? ",Journal of Financial Markets,Volume 18,March
2014,p.234-254 |
|
|
14-5
|
Boehmer, Fong, and Wu, 2014, International evidence on
algorithmic trading, AFA 2013 San Diego Meetings Paper |
|
|
14-6
|
Kirilenko, Kyle, Samadi, and Tuzun,, The flash crash: The
impact of high frequency trading on an electronic market, working paper, 2014
revised version |
|
|
14-7
|
Alvaro, Jaimungal, and Ricci, 2014, Buy low sell high: a high
frequency trading perspective, SIAM Journal of Financial Mathematics |
|
|
14-8
|
Hagströmer, B., Nordén, L., 2013, The Diversity of High
Frequency Traders, Journal of Financial Markets, Vol. 16, Iss. 4, 741-770 |
|
|
14-9
|
Budish, E., Cramton, P., and Shim, J.J., 2014, The
High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design
Response, Working Paper. |
|
|
14-10
|
Egginton, VanNess, and VanNess, “Quote stuffing”, working
paper,2014 |
|
|
14-11
|
Hirschey, N., 2013, Do High-Frequency Traders Anticipate Buying
and Selling Pressure? , Working Paper. |
|
|
14-12
|
Foucault, T., Hombert, J. and Rosu, I., 2013, News Trading and
Speed , HEC Paris Research Paper,No. 975/2013 |
|
|
14-13
|
Nicolae Gârleanu and Lasse Heje Pedersen,''Dynamic Trading with
Predictable Returns and Transaction Costs'',The Journal of Finance,Volume 68,
Issue 6,December 2013,p.2309–2340 |
|
|
14-14
|
Kim and Park, “Term structure dynamics with macro-factors using
high frequency data” Journal of Empirical Finance Vol.22 2013 |
|
|
14-15
|
Patton and Ramadorai,"On the High-Frequency Dynamics of
Hedge Fund Risk Exposures",Journal of Finance Vol.68 No2,2013 |
|
|
14-16
|
Hoffmann, Algorithmic trading in a dynamic limit order market,
working paper,2013 |
|
|
14-17
|
Joel Hasbrouck and Gideon Saar, “Low-Latency
Trading”, Journal of Financial Markets, May 2013 |
|
|
14-18
|
Cartea, A. and Jaimungal, S., Modeling Asset
Prices for Algorithmic and High Frequency Trading, Applied Mathematical Finance,
2013 - Taylor & Francis |
|
|
14-19
|
Henrikson, F., “Characteristics of
High-Frequency Trading, Royal Institute of Technology”, Sweden, Journal of
Financial Markets, 2013 - Elsevier |
|
|
14-20
|
Martinez, V. H., Ro, I., High Frequency Traders,
News and Volatility, AFA 2013 San Diego Meetings, 2013 |
|
|
14-21
|
Colliard, J.-E., Catching Falling Knives:
Speculating on Market Overreaction, working paper,2013 |
|
|
14-22
|
David Easley, Marcos M. Lopez de Prado, Maureen
O’Hara, “Flow Toxicity and Liquidity in a High Frequency World”, Review of
Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012. |
|
|
14-23
|
Aldridge, Irene, “Can High-Frequency Traders
Game Futures?” Journal of Trading, Spring 2012, Vol. 7, No. 2: pp. 75-82 |
|
|
14-24
|
Easley, David, Lopez de Prado, Marcos and
O'Hara, Maureen, “The Volume Clock: Insights into the High Frequency
Paradigm”, The Journal of Portfolio Management, Fall 2012, Vol. 39, No. 1:
pp. 19-29 |
|
|
14-25
|
Menkveld, Albert J., High Frequency Trading and
the New-Market Makers (February 6, 2012). EFA 2011 Paper; AFA 2012 Paper; EFA
2011 Paper. |
|
|
14-26
|
Baron, M., Brogaard, J. and Kirilenko, A., “The
Trading Profits of High Frequency Traders” ,Working Paper Series, November
2012 |
|
|
14-27
|
Efremova, T., Ivliev, S., 2012, Modeling of
Russian Equity Market Microstructure, Working Paper Series |
|
|
14-28
|
Eom, K. S., Lee, E. J. and Park, K. S.,
“Microstructure-Based Manipulation: Strategic Behavior and Performance of
Spoofing Traders”, Journal of Financial Markets, 2012 - Elsevier |
|
|
14-29
|
McInish, and Upson, Strategic liquidity supply
in a market with fast and slow traders, working paper, 2012 |
|
|
14-30
|
Jarrow and Protter, “A Dysfunctional Role of
High Frequency Trading in Electronic Markets”, Journal of Theoretical and
Applied Finance, 2012 - World Scientific |
|
|
14-31
|
Terrence Hendershott, Charles M. Jones, and
Albert J. Menkveld, “Does Algorithmic Trading Improve Liquidity?”, The
Journal of Finance, Vol. LXVI, No.1, February 2011. |
|
|
14-32
|
David Easley, Marcos M. Lòpez de Prado, Maureen
O` Hara, “The Microstructure of The ‘Flash Crash’: Flow toxicity, liquidity
crashes and the Probability of Informed Trading” The Journal of Portfolio
Management, Vol. 37, No. 2, pp. 118-128, Winter 2011 |
|
|
14-33
|
Frank J. Fabozzi, Sergio M. Focardi, and
Caroline Jonas, “High-Frequency Trading: Methodologies and Market Impact”,
Review of Futures Markets, Vol. 19, Special IFM Issue. |
|
|
14-34
|
Christian T. Brownlees, Fabrizio Cipollini,
Giampiero M. Gallo, “Intra-daily Volume Modeling and Prediction for
Algorithmic Trading”, Journal of Financial Econometrics, 2011, Vol.9, No.3,
489-518. |
|
|
14-35
|
Godfrey Cadogan, ”Alpha Representation For
Active Portfolio Management and High Frequency Trading In Seemingly Efficient
Markets”, JSM Proceedings, Business and Economic Statistics Section, pp.
673-687, American Statistical Association, Alexandria, VA, 2011 |
|
|
14-36
|
Uno, and Shibata, 2011, Speed of trade and
liquidity, working paper |
|
|
14-37
|
Angel, J. J., McCabe D., “Fairness in Financial
Markets: The Case of High Frequency Trading” ,Journal of business ethics,
2011 - Springer |
|
|
14-38
|
Brogaard, J. A., 2011, High Frequency trading
and Volatility, managed funds association report |
|
|
14-39
|
Durbin, M., 2010, All about High-Frequency
Trading, New York, NY: McGraw-Hill. |
|
|
14-40
|
Kearns, M., Kulesza, A., Nevmyvaka, Y., 2010,
Empirical Limitations on High Frequency Trading Profitability, Working Paper |
|
|
14-41
|
Zhang, X. F., 2010, High-Frequency Trading,
Stock Volatility, and Price Discovery, Working Paper Series |
|
|
14-42
|
Brogaard, 2010, High frequency trading and its
impact on market quality, working paper |
|
|
14-43
|
Joel Hasbrouck and Gideon Saar, “Technology and
liquidity provision: The Blurring of Traditional Definitions” , Journal of
Financial Markets 12 (2009) 143-172. |
|
|
14-44
|
Prix, Johannes, Loistl, Otto and Huetl, Michael,
“Algorithmic Trading Patterns in Xetra Orders.”, European Journal of Finance,
Vol. 13, No. 8, pp. 717-739, 2007. |
|
|
14-45
|
Manganelli, S., 2005, Duration, Volume and
Volatility Impact of Trades, Journal of Financial Markets, Volume 8, Issue 4,
Pages 377–399 |
|
|
14-46
|
Brunnermeier, and Pedersen, 2005, Predatory
trading, Journal of Finance 60, 1825-1863 |
15. Intraday Patterns
|
|
15-1
|
Ryan Garvey, Fei Wu,''Clustering of intraday order-sizes by
uninformed versus informed traders'',Journal of Banking & Finance,Volume
41,April 2014,p.Pages 222-235 |
|
|
15-2
|
Zhengxiao Wu, “On the intraday periodicity
duration adjustment of high-frequency data”, Journal of Empirical Finance 19
(2012) 282–291. |
|
|
15-3
|
Álvaro Cartea, Dimitrios Karyampas, “Volatility
and covariation of financial assets: A high-frequency analysis”, Journal of
Banking & Finance 35 (2011) 3319–3334. |
|
|
15-4
|
Heston, Steven L. ;
Korajczyk, Robert A.; Sadka, Ronnie ; Thorson, Lewis D.” Are you Trding
Predictably” Journal of Finance Economics, Vol.67, Iss.2, Mar-Apr. 2011. |
|
|
15-5
|
Johnson, W.T.,”Do
investors trade uniformly through time?”, Journal of Empirical Finance,
Vol.17, Iss.4, Sep. 2010. |
|
|
15-6
|
Steven L. Heston, Robert
A. Korajczyk And Ronnie Sadka, “Intraday Patterns in The Cross-Section of
Stock Returns”, The Journal of Finance, Vol. 65, Iss. 4, Aug. 2010,
pp.1369-1407. |
|
|
15-7
|
Frino, Alex, Bjursell,
Johan , Wang, George H. K., Lepone, Andrew, “Large Trades and Industry
Futures Pric Behavior”, Journal of Futures Markets , Vol. 28, Iss. 12,
Dec2008, pp. 1147-1181. |
|
|
15-8
|
Kalev, Petko S., Liu,
Wai-Man, Pham, Peter K., Jarnecic, Elvis, “Public information arrival and
volatility of intraday stock returns” Journal of Banking and Finance, Vol.28,
Iss.6, 2004, 1441-1467. |
|
|
15-9
|
Pascual, Roberto,
Escribano, Alvaro, and Tapia, Mikel, “Adverse selection costs, trading
activity and price discovery in the NYSE: An empirical analysis”, Journal of
Banking and Finance 28, 2004, 107-128. |
|
|
15-10
|
Joel Hasbrouck,
“Intraday Price Formation in US Equity Index Markets” The Journal of Finance,
Vol. 58 No.6, 2003. |
16. Trading
Volume and Return
|
|
16-1
|
Eduardo Rossi, Paolo
Santucci de Magistris, “Long memory and tail dependence in trading volume and
volatility”, Journal of Empirical Finance, Volume 22, (June 2013) |
|
|
16-2
|
Ihsan Ullah Badshah,
“Quantile Regression Analysis of the Asymmetric Return-Volatility Relation”,
Journal of Futures Markets, March 2013, Volume 33, Issue 3, (pages 235–265) |
|
|
16-3
|
Andrei Shynkevich,
“Performance of technical analysis in growth and small cap segments of the US
equity market”, Journal of Banking & Finance 36 (2012) 193–208. |
|
|
16-4
|
Ron Kaniel, Arzu Ozoguz,
Laura Starks, “The high volume return premium: Cross-country evidence”,
Journal of Financial Economics 103 (2012) 255–279. |
|
|
16-5
|
George O. Aragon, Stephan Dieckmann, “Stock market trading activity and
returns around milestones”, Journal of Empirical Finance 18 (2011) 570–584. |
|
|
16-6
|
Mougoué, Mbodja ;
Aggarwl, Raj, ”Trading volume and Exchange rate volatility: Evidence for the
sequential arrival of information hypothesis”, Journal of Banking &
Finance, Vol.35, Iss.10, Oct. 2011. |
|
|
16-7
|
Malinova, Katya ; Park
,Andreas” Trading Volume in Dealer Markets” Journal of Finance and
Quantitative Analysis, Vol.45, Iss.6, Sep. 2011. |
|
|
16-8
|
Snehal Banerjee And Ilan
Kremer, “Disagreement and Learning: Dynamic Patterns of Trade”, The Journal
of Finance, Vol. 65, Iss. 4, Aug. 2010, pp.1269–1302. |
|
|
16-9
|
Andrea S. Au, John A.
Doukas, Zhan Onayev, “Daily short interest, idiosyncratic
risk, and stock returns”, Journal of Financial Markets, Vol.12,
Iss.2, May 2009. 290-316. |
|
|
16-10
|
Markus Glaser, Martin
Weber, “Which past returns affect trading
volume?”, Journal of Financial Markets, Vol.12,
Iss.1, February 2009. 1-31. |
|
|
16-11
|
Yingzi Zhu, Guofu Zhou,
“Technical analysis: An asset
allocation perspective on the use of moving averages”, Journal of
Financial Economics, Vol. 92, Iss. 3, June 2009, 519-544. |
|
|
16-12
|
Geoffrey C. Friesen,
Paul A. Weller, Lee M. Dunham, “Price trends and patterns in
technical analysis: A theoretical and empirical examination”, Journal of
Banking & Finance, Vol. 33, Iss. 6, June 2009, 1089-1100. |
|
|
16-13
|
BR Marshall, RH Cahan,
JM Cahan, “Does intraday technical analysis in the US equity market have
value?” , Journal of Empirical Finance, 2008, vol.15, no.1, 199-210. |
|
|
16-14
|
Paul Schultz,
“Downward-Sloping Demand Curves, the Supply of Shares, and the Collapse of
Internet Stock Prices”, Journal of Finance, Vol. 63, Iss. 1, February 2008,
pp. 351-378. |
|
|
16-15
|
Andrew Ang, Robert J.
Hodrick, Yuhang Xing, Xiaoyan Zhang, “ Hing Idiosyncratic Volatility and Low
Returns: International and Further U.S. Evidence”, Journal of Financial
Economics, Vol. 91, Iss. 1, Jan2009, pp. 1-23. |
|
|
16-16
|
Fangjian Fu,
“Idiosyncratic Risk and the Cross-Section of Expected Stock Returns”, Journal
of Financial Economics, Vol. 91, Iss. 1, Jan2009, pp. 24-37. |
|
|
16-17
|
Sandro C. Andrade,
Charles Chang, Mark S. Seasholes, “Trading Imbalances, Predictable Reveasals,
and Cross-stock Price Pressure”, Journal of Financial Intermediation, Vol.88,
Iss.2, 2008, 406-423. |
|
|
16-18
|
Tarun Chordia, Sahn-Wook
Huh, and Avanidhar Subrahmanyam, “The Cross-Section of Expected Trading
Activity”, The Review of Financial Studies, May 2007. |
|
|
16-19
|
Josef Lakonishok, Immoo
Lee, Neil D. Pearson, and Allen M. Poteshman, “Option Market Activity”, The
Review of Financial Studies, May 2007. |
|
|
16-20
|
Boehmer, Ekkehart and Wu,
Julie, “Order Flow and Prices”, SSRN, FEN CapMkts-Micro WPS, Vol. 9, No. 12,
2006. |
|
|
16-21
|
Fleming, Jeff, Kirby,
Chris and Ostdiek, Barbara, “ARCH Effects and Trading Volume”, SSRN, FEN
CapMkts-Micro WPS, Vol. 8, No. 28, 2005. |
|
|
16-22
|
Covrig, Vicentiu, Ng, Lilian,
“Volume autocorrelation, information, and investor trading”. Journal of
Banking and Finance, Vol.28, Iss.9, 2004, 2155-2174. |
|
|
16-23
|
Barron, Orie E.,
Karpoff, Jonathan M., “Information precision, transaction costs, and trading
volume”, Journal of Banking and Finance, Vol.28, Iss.6, 2004, 1207-1223. |
|
|
16-24
|
Wang, Changyun, Yu, Min,
“Trading activity and price reversals in futures markets”, Journal of Banking
and Finance, Vol.28, Iss.6, 2004, 1337-1361. |
|
|
16-25
|
Spierdijk, Laura, “An
empirical analysis of the role of the trading intensity in information
dissemination on the NYSE”, Journal of Empirical Finance 11, 2004, 163-184. |
|
|
16-26
|
Chordia, Tarun, and
Subrahmanyam, Avanidhar, “Order imbalance and individual stock returns:
Theory and evidence”, Journal of Financial Economics 72, 2004, 485-518. |
|
|
16-27
|
Judd, Kenneth L., F.
Kubler, and Karl Schmedders, “Asset trading volume with dynamically complete
markets and heterogeneous agents” The Journal of Finance, Vol.58, No.5, 2003. |
|
|
16-28
|
R.D. Huang and R.W.
Masulis, “Trading activity and stock price volatility: evidence from the
London Stock Exchange” Journal of Empirical Finance 10, 2003, 249-269. |
|
|
16-29
|
Chung, Kee H., Jo, Hoje
and Shefrin, Hersh M., “Trading Volume, Information, and Trading Cost:
Empirical Evidence” SSRN, FEN CapMkts-Micro WPS, Vol. 6, No. 10, 2003. |
|
|
16-30
|
Darrat, Ali F., Rahman,
Shariqur and Zhong, Maosen, “Intraday Trading Volume and Return Volatility of
the DJIA Stocks: A Note” Journal of Banking & Finance, Vol. 27, No. 10,
2003. |
|
|
16-31
|
Harford, Jarrad and
Kaul, Aditya, “Correlated Order Flow: Pervasiveness, Sources, and Pricing
Effects” SSRN, FEN CapMkts-Micro WPS, Vol. 6, No. 20, 2003. JFQA, Forthcoming. |
|
|
16-32
|
Llorente, Guillermo,
Roni Michaely, Gideon Saar and Jiang Wang, “Dynamic Volume-Return Relation of
Individual Stocks,” The Review of Financial Studies, Vol.15, No.4, 2002,
1005-1047. |
|
|
16-33
|
Chordia. Tarun, Roll,
Richard and Subrahmanyam, Avanidhar, “Order Imbalance, Liquidity, and Market
Returns” Journal of Financial Economics 65, 2002, 111-130. |
|
|
16-34
|
Andrew W. Lo, Harry
Mamaysky and Jiang Wang, “Asset Prices and Trading Volume Under Fixed
Transactions Costs.” Journal of political
economy, 2004, vol. 112, no5, pp. 1054-1090. |
|
|
16-35
|
Chan, Kalok and Wai-Ming
Fong, “Trade Size, order Imbalance, and the Volatility-Volume Relation”,
Journal of Financial Economics 57, 2000, 247-273. |
17.
Intermarket Relation
|
|
17-1. |
San-Lin Chung, Wen-Rang Liu,
Wei-Che Tsai,''The impact of derivatives hedging on the stock market:
Evidence from Taiwan’s covered warrants market'',Journal of Banking &
Finance,Volume 42,May 2014,p.Pages 123-133 |
|
|
17-2. |
Ihsan Ullah Badshah,
Bart Frijns and Alireza Tourani-Rad, “Contemporaneous Spill-Over Among
Equity, Gold, and Exchange Rate Implied Volatility Indices”, Journal of
Futures Markets, June 2013, Volume 33, Issue 6, (pages 555–572) |
|
|
17-3. |
Vincent Xiang, Michael
Chng and Victor Fang, “Transmigration Across Price Discovery Categories:
Evidence from the U.S. CDS and Equity Markets”, Journal of Futures Markets,
June 2013, Volume 33, Issue 6, (pages 573–599) |
|
|
17-4. |
Chuang-Chang Chang,
Pei-Fang Hsieh, Hung-Neng Lai, “Do informed option investors
predict stock returns? Evidence from the Taiwan stock exchange”, Journal of
Banking & Finance, Vol. 33, Iss. 4, April 2009, 757-764. |
18.
Institutional Trading / Individual Trading
|
|
18-1
|
Gang Hu, R. David McLean, Jeffrey Pontiff,
and Qinghai Wang,''The Year-End Trading Activities of Institutional
Investors: Evidence from Daily Trades'',The Review of Financial Studies,Volume
27,Issue 5,May 2014,p.1593-1614 |
|
|
18-2
|
Brad M. Barber, Yi-Tsung Lee, Yu-Jane Liu,
and Terrance Odean,''The cross-section of speculator skill: Evidence from day
trading",Journal of Financial Markets,Volume 18,March 2014,p.1-24 |
|
|
18-3
|
Kelley and Tetlock, “How wise are crowds?
Insights from retail orders and stock returns” The Journal of Finance Vol.68
No.3 2013 |
|
|
18-4
|
Jesper Rangvid, Maik Schmeling,
Andreas Schrimpf, “What do professional forecasters' stock market
expectations tell us about herding, information extraction and beauty
contests?”, Journal of Empirical Finance, Volume 20, (January 2013) |
|
|
18-5
|
Eitan Goldman, Günter Strobl,
“Large shareholder trading and the complexity of corporate investments”,
Journal of Financial Intermediation, Volume 22, Issue 1, (January 2013) |
|
|
18-6
|
Aydoğan Altı, Ron Kaniel, Uzi
Yoeli, “Why do institutional investors chase return trends?”, Journal of
Financial Intermediation, Volume 21, Issue 4, (October 2012) |
|
|
18-7
|
Ron Kaniel, Shuming Liu,
Gideon Saar and Sheridan Titman, “Individual Investor Trading and Return
Patterns around Earnings Announcements”, The Journal of Finance Volume 67,
Issue 2, pages 639–680, April 2012. |
|
|
18-8
|
John M. Griffin, Jeffrey H. Harris, Tao Shu, Selim Topaloglu,” Who
Drove and Burst the Tech Bubble? ”, Journal of Finance, Vol.66. Iss.4,
Aug.2011. |
|
|
18-9
|
Sumit Agarwal, Sheri Faircloth, Chunlin Liu, S. Ghon Rhee, “Why do
foreign investors underperform domestic investors in trading activities?
Evidence from Indonesia”, Journal of Financial Markets, Vol.12,
Iss.1, February 2009. 32-53. |
|
|
18-10
|
Alok Kumar, “Who Gambles in the Stock Market? “,
The Journal of Finance, Vol. 64,
Iss.4, August 2009, 1889-1933. |
|
|
18-11
|
Robin Greenwood, Stefan
Nagel, “Inexperienced investors and bubbles”, Journal of
Financial Economics, Vol. 93, Iss. 2, August 2009, 239-258. |
|
|
18-12
|
John Y. Campbell, Tarun Ramadorai,
Allie Schwartz, “Caught on tape: Institutional
trading, stock returns, and earnings announcements”, Journal of
Financial Economics, Vol. 92, Iss. 1, April 2009, 66-91. |
|
|
18-13
|
Avner Kalay and Avi
Wohl, “Detecting Liquidity Traders”, Journal of Financial and
Quantitative Analysis, Volume 44, Issue 01, February
2009, pp 29-54. |
|
|
18-14
|
Barber, B., and T.
Odean, “Trading Is Hazardous to Your Wealth: The Common Stock Investment
Performance of Individual Investors”, Journal of Finance, Vol.55, 2000,
773–806. |
|
|
18-15
|
Barber, B., Lee, Y., T.,
Liu, Y., J., T. Odean, “Just How Much Do Individual Investors Lose by
Trading?”, The Review of
Financial Studies, Vol.22, 2009,
609 – 632. |
|
|
18-16
|
Aneel Keswani and David
Stolin, “Which Money Is Smart? Mutual Fund Buys and Sells of Individual and
Institutional Investors”, Journal of Finance, Vol. 63, Iss. 1, February 2008,
pp. 85-118. |
|
|
18-17
|
Miguel A. Ferreira and
Pedro Matos, “The Colors of Investors’ Money: The Role of Institutional
Investors Around The World”, Journal of Financial Economics, Vol. 88, Iss. 3,
June2008, pp. 499-533. |
|
|
18-18
|
Ron Kaniel,
GIDEON SAAR and Sheridan Titman, “Individual Investor Trading and Stock
Returns”, The Journal of Finance, Vol.63, Iss.1, February 2008, pp. 273-310. |
|
|
18-19
|
Ekkehart Boehmer,
Charles M. Jones, Xiaoyan Zhang, “Which Shorts are Informed?”, Journal of Finance, Vol. 63(2),
February 2008, pp. 491-527. |
|
|
18-20
|
Aneel
Keswani and David Stolin, “Which Money Is Smart? Mutual Fund Buys and
Sells of Individual and Institutional Investors”, The Journal of Finance,
Vol.63, Iss.1, 2008, 491-527. |
|
|
18-21
|
Ron Kaniel,
GIDEON SAAR and Sheridan Titman, “Individual Investor Trading and Stock
Returns”, The Journal of Finance, Vol.63, Iss.1, 2008, 273-310. |
|
|
18-22
|
Miguel A. Ferreira,
Pedro Matos, “The Colors of Investors’ Money: The Role of Institutional
Investors around the World”, Journal of Financial Intermediation, Vol.88,
Iss.3, 2008, 499-533. |
|
|
18-23
|
Brad M. Barber and
Terrance Odean, “All That Glitters: The Effect of Attention and News on the Buying
Behavior of Individual and Institutional Investors”, Review
of Financial Studies, Vol.21, No.2, 2008, 785-818. |
|
|
18-24
|
Anand, Amber and
Chakravaty, Sugato, “Stealth Trading in Options Markets”, Journal of
Financial & Quantitative Analysis, March 2007. |
|
|
18-25
|
Griffin, John M.,
Jeffery H. Harris, and Selim Topaloglu, “The Dynamics of Institutional and
Individual Trading,” The Journal of Finance, Vol.58, No.6, 2003 |
|
|
18-26
|
Chakravarty, Sugato,
“Stealth-trading: Which Traders’ Trades Move Stock Prices?” Journal of
Financial Economics, Vol.61, 2001, 289-307. |
|
|
18-27
|
Gideon Saar, “Price Impact
Asymmetry of Block Trades: An Institutional Trading Explanation,” Review of
Financial Studies,
Vol.14, No.4, 2001, 1153-1181. |
19. Robert
Engle and related time varing intraday analysis
|
|
19-1
|
Brooks, R., Edwyna
Harris, Yovina Joymungul, 2009."Market depth in an illiquid market:
applying the VNET concept to Victorian water markets", Applied Economics
Letters, vol. 16(13), pages 1361-1364. |
|
|
19-2
|
Cartea A., Thilo
Meyer-Brandis, 2010. "How Duration Between Trades of Underlying
Securities Affects Option Prices," Review of Finance, vol. 14(4), pages
749-785. |
|
|
19-3
|
Dufour, Alfonso, Engle, R., 2000. "Time and the
Price Impact of a Trade," The Journal of Finance, vol. 55(6), pages
2467-2498. |
|
|
19-4
|
Easley, D., Engle, R.,
O'Hara, M., Liuren Wu, 2008. "Time-Varying Arrival Rates of Informed and
Uninformed Trades," Journal of Financial Econometrics, vol. 6(2), pages
171-207. |
|
|
19-5
|
Easley, D., O'Hara, M.,
1987. Price, trade size, and information in securities markets. Journal of
Financial Economics 19, 69-90. |
|
|
19-6
|
Easley, D., O'Hara, M., 1992.
Time and the process of security price adjustment. The Journal of Finance 47,
577-606. |
|
|
19-7
|
Eleanor Xu, Xiaoqing
& Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic
volume-volatility relation," Journal of Banking & Finance, vol.
30(5), pages 1535-1558. |
|
|
19-8
|
Engle, R., Joe Lange,
2001. Predicting VNET: A model of the dynamics of market depth. Journal of
Financial Markets, vol. 4(2), pages 113-142. |
|
|
19-9
|
Engle, R., Russell, J.,
1997. Forecasting the frequency of changes in quoted foreign exchange prices
with the autoregressive conditional duration model. Journal of Empirical
Finance 4, 187-212. |
|
|
19-10
|
Engle, R., Russell, J.,
1998. Autoregressive conditional duration: a new model for irregularly spaced
data. Econometrica 66, 1127-1162. |
|
|
19-11
|
Engle, R., 2000.
"The Econometrics of Ultra-high-frequency Data", Econometrica
68(1), 1-22. |
|
|
19-12
|
Engle, R.,Lunde A.,
2003. "Trades and Quotes: A Bivariate Point Process", Journal of
Financial Econometrics, vol. 1(2), 159-188. |
|
|
19-13
|
Engle, R., Patton A.J.,
2004. "Impacts of trades in an error-correction model of quote
prices", Journal of Financial Markets, Vol. 7(1), Pages 1–25. |
|
|
19-14
|
Engle, R., 2004.
"Risk and Volatility: Econometric Models and Financial Practice,"
American Economic Review, vol. 94(3), pages 405-420. |
|
|
19-15
|
Engle, R., & Gallo,
Giampiero M., 2006. "A multiple indicators model for volatility using
intra-daily data," Journal of Econometrics, vol. 131(1-2), pages 3-27. |
|
|
19-16
|
Fernandes, Marcelo &
Grammig, Joachim, 2006. "A family of autoregressive conditional duration
models," Journal of Econometrics, vol. 130(1), pages 1-23. |
|
|
19-17
|
Foster, F.D.,
Viswanathan, S., 1995. Can speculative trading explain the volume-volatility
relation? Journal of Business and Economic Statistics 13, 379-408. |
|
|
19-18
|
Hafner, C., 2005.
"Durations, volume and the prediction of financial returns in
transaction time," Quantitative Finance, vol. 5(2), pages 145-152. |
|
|
19-19
|
Hansen P.R., Lunde A.,
2005. "A Realized Variance for the Whole Day Based on Intermittent
High-Frequency Data", Journal of Financial Econometrics, vol. 3(4):
525-554. |
|
|
19-20
|
Hasbrouck, J., 1988.
Trades, quotes, inventories, and information. Journal of Financial Economics
22, 229-252. |
|
|
19-21
|
Hautsch, N., 200.
"Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand
Intensities", Journal of Financial Econometrics, vol. 1(2), 189-215. |
|
|
19-22
|
Heinen, Andreas &
Rengifo, Erick, 2007. "Multivariate autoregressive modeling of time
series count data using copulas," Journal of Empirical Finance, vol.
14(4), pages 564-583. |
|
|
19-23
|
Hollifield, B., Robert
A. Miller & Patrik Sandas, 2004. "Empirical Analysis of Limit Order
Markets," Review of Economic Studies, vol. 71(4), pages 1027-1063. |
|
|
19-24
|
Kyle, A.S., 1985.
Continuous auctions and insider trading. Econometrica 53, 1315 |
|
|
19-25
|
Large, J., 2005.
"Estimating quadratic variation when quoted prices jump by a constant
increment," Economics Papers 2005-W05, Nuffield College, University of
Oxford. |
|
|
19-26
|
Large, J., 2007.
"Measuring the resiliency of an electronic limit order book",
Journal of Financial Markets, Vol. 10(1), Pages 1–25. |
|
|
19-27
|
Large, J., 2011.
"Estimating quadratic variation when quoted prices change by a constant
increment", Journal of Econometrics, Vol. 160(1), Pages 2–11. |
|
|
19-28
|
Lee, C.M., Ready, .M.J.,
1991. Inferring trade direction from intraday data. The Journal of Finance
46, 733-746. |
|
|
19-29
|
Malinova, Katya &
Park, Andreas, 2011. "Trading Volume in Dealer Markets," Journal of
Financial and Quantitative Analysis, vol. 45(06), pages 1447-1484. |
|
|
19-30
|
Manganelli, Simone,
2005. "Duration, volume and volatility impact of trades," Journal
of Financial Markets, vol. 8(4), pages 377-399. |
|
|
19-31
|
McInish, T.H., Wood,
R.A., 1992. An analysis of intraday patterns in bid/ask spreads for NYSE
stocks. The Journal of Finance 47, 753-764. |
|
|
19-32
|
Meitz, Mika &
Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional
Duration," Journal of Business & Economic Statistics, vol. 24, pages
104-124. |
|
|
19-33
|
Michael Yuanjie Zhang,
Jeffrey R. Russellb, Ruey S. Tsay, "A nonlinear autoregressive
conditional duration model with applications to financial transaction
data", Journal of Econometrics, vol. 104(1), pages 179-207. |
|
|
19-34
|
Pacurar, M., 2008.
"Autoregressive Conditional Duration (ACD) Models in Finance:A Survey of
the Theoretical and Empirical Literature", Journal of Economic Surveys,
vol. 22(4), pages 711-751 |
|
|
19-35
|
Taylor, Nicholas, 2004.
"Trading intensity, volatility, and arbitrage activity," Journal of
Banking & Finance, vol. 28(5), pages 1137-1162. |
|
|
19-36
|
Yang, J.W., Jerry
Parwada, 2012. "Predicting stock price movements: an ordered probit
analysis on the Australian Securities Exchange", Quantitative Finance,
vol. 12(5), pages 791-804. |
20.
Financial Crisis
|
|
20-1 |
Gerard Caprio Jr., Vincenzo
D’Apice, Giovanni Ferri, Giovanni Walter Puopolo,''Macro-financial
determinants of the great financial crisis: Implications for financial
regulation'',Journal of Banking & Finance,Volume 44,July 2014,p.Pages
114-129 |
|
|
20-2 |
Turan G. Bali, Lin Peng, Yannan
Shen, and Yi Tang,''Liquidity Shocks and Stock Market Reactions'',The Review
of Financial Studies,Volume 27,Issue 5,May 2014,p.1434-1485 |
|
|
20-3 |
Chelley-Steeley, Lambertides and
Savva,“Illiquidity shocks and the comovement between stocks: New evidence
using smooth transition” Journal of Empirical Finance Vol.23 2013 |
|
|
20-4 |
Hong and Sraer, “Quiet bubbles” Journal
of Financial Economics Vol.110 No.3, 2013 |
|
|
20-5 |
Zhiguo He and Wei Xiong,
“Rollover Risk and Credit Risk”, The Journal of Finance Volume 67, Issue 2,
pages 391–430, April 2012. |
|
|
20-6 |
Marcia Millon Cornett,
Jamie John McNutt, Philip E. Strahan, Hassan Tehranian, “Liquidity risk
management and credit supply in the financial crisis”, Journal of Financial
Economics 101 (2011) 297–312. |
|
|
20-7 |
Jens Dick-Nielsen, Peter
Feldhutter, David Lando, “Corporate bond liquidity before and after the onset
of the subprime crisis”, Journal of Financial Economics 103 (2012) 471–492. |
|
|
20-8 |
Nils Friewald, Rainer
Jankowitsch, Marti G. Subrahmanyam, “Illiquidity or credit deterioration: A
study of liquidity in the US corporate bond market during financial crises”,
Journal of Financial Economics 105 (2012) 18–36. |
|
|
20-9 |
Junmao Chiu, Huimin
Chung, Keng-Yu Ho, George H.K. Wang, “Funding liquidity and equity liquidity
in the subprime crisis period: Evidence from the ETF market”, Journal of
Banking & Finance 36 (2012) 2660–2671. |
|
|
20-10
|
Dave Bergera, Kuntara
Pukthuanthong, “Market fragility and international market crashes”, Journal
of Financial Economics 105 (2012) 565–580. |
|
|
20-11
|
Matthew Spiegel, ” The
Academic Analysis of the 2008 Financial Crisis: Round |
|
|
20-12
|
Roll, Richard, “ The
Possible Misdiagnosis of a Crisis” Journal of Finance Economics, Vol.67,
Iss.2, Mar-Apr 2011. |
|
|
20-13
|
Giele, Ben., “The
Possible Misdiagnosis of a Crisis: A Comment”, Journal of Finance Economics,
Vol.67, Iss.4, Jun-Jul. 2011. |
|
|
20-14
|
Moshirian, Fariborz,”
The global financial crisis and the evolution of markets, institutions and
regulation” Journal of Banking & Finance, Vol.35, Iss.3, Mar.2011. |
|
|
20-15
|
Coudert, Virginie ;
Couharde, Cécile ; Mignon, Valérie ,” Exchange rate volatility arcoss
financial crses” , Journal of Banking & Finance, Vol.35, Iss.11, Nov.
2011. |
21. Regulation
|
|
21-1. |
Giovanni Cespa and Thierry Foucault,''Illiquidity
Contagion and Liquidity Crashes'',The Review of Financial Studies,Volume
27,Issue 6,June 2014,p.1615-1660 |
|
|
21-2. |
David Easley, Maureen O'Hara, and
Liyan Yang,''Opaque Trading, Disclosure, and Asset Prices: Implications for
Hedge Fund Regulation'',The Review of Financial Studies,Volume 27,Issue
4,April 2014,p.1190-1237 |
|
|
21-3. |
David Easley and Maureen
O’Hara, “Ambiguity and Nonparticipation: The Role of Regulation”, The Review
of Financial Studies, Vol. 22, No.5, 2009, 1817-1843. |
|
|
21-4. |
Nuno Fernandes and
Miguel A. Ferreira, “Insider Trading Laws and Stock Price Informativeness”,
The Review of Financial Studies, Vol. 22, No.5, 2009, 1845-1887. |
|
|
21-5. |
Alan D. Morrison, Lucy
White, “Level Playing Fields in International Financial Regulation “, The Journal of Finance, Vol. 64,
Iss.3, August 2009, 1099-1142. |
|
|
21-6. |
Howell E. Jackson, Mark
J. Roe, “Public And Private Enforcement of
Securities Laws: Resource-Based Evidence”, Journal of Financial
Economics, Vol. 93, Iss. 2, August 2009, 207-238. |
|
|
21-7. |
Anno Stolper, “Regulation of credit rating
agencies”, Journal of Banking & Finance, Vol. 33,
Iss. 7, July 2009, 1266-1273. |
|
|
21-8. |
Sebastien Pouget,
“Adaptive Traders and the Design of Financial Markets”, The Journal of
Finance, Vol.62, Iss.6, 2007, 2835-2863. |
|
|
21-9. |
Lauren Cohen, Karl B.
Diether and Christopher J. Malloy, “Supply and Demand Shifts in the Shorting
Market”, The Journal of Finance, Vol. 62, Iss.5, 2007,2061-2096. |
|
|
21-10.
|
Beny, Laura N. “A
Comparative Empirical Investigation of Agency and Market Theories of Insider
Trading”, University of Michigan, February, 2004. |
|
|
21-11.
|
Bhattacharya, Utpal and
Hazem Daouk, “The World Price of Insider Trading,” The Journal of Finance,
Vol.57, No.1, 2002, 75. |
|
|
21-12.
|
Huddart, Steven, John S.
Hughes and Carolyn B. Levine, “Public Disclosure and Dissimulation of Insider
Trades,” Econometrica, Vol.69, No3, 2001, 665-81. |
|
|
21-13.
|
Black, Bernard S.,
"The Core Institutions that Support Strong Securities Markets",
Business Lawyer 55, 2000. |
22. Methodology
|
|
22-1
|
Kan,
Robotti and Shanken, “Pricing Model Performance and the Two-Pass
Cross-Sectional Regression Methodology” The Journal of Finance Vol.68 No.6
2013 |
|
|
22-2
|
Frijns, B.; Lehnert, T.; Zwinkels, R.C.J, “Modeling structural changes
in the volatility process”, Journal of Empirical Finance, Vol.18, Iss.3, Jun.
2011. |
|
|
22-3
|
Axioglou, C.; Skouras, S.”Markets change every day: Evidence from the
memory of trade direction”, Journal of Empirical Finance, Vol.18, Iss.3, Jun.
2011. |
|
|
22-4
|
Kilic, R.”Long memory and nonlinearity in conditional variances: A
smooth transition FIGARCH model”, Journal of Empirical Finance, Vol.18,
Iss.2, Mar. 2011. |
|
|
22-5
|
Boudt, K.; Croux, C.; Laurent, S.” Robust estimation of intraweek
periodicity in volatility and jump detection”, Journal of Empirical, Vol.18.,
Iss.2, Mar. 2011. |
|
|
22-6
|
Tse, C.K.; Liu, J.; Lau, F.C.M, “A network perspective of the stock
market”, Journal of Empirical Finance, Vol.17, Iss.4, Sep. 2010. |
|
|
22-7
|
Al-Anaswah, Nael ; Wilfling , Bernd,” Identification of Speculative
bubbles using state-space models with Markov-switching” Journal of Banking
& Finance, Vol.35, Iss.5, May 2011. |
|
|
22-8
|
Fleming, Jeff ; Kirby, Chris,” Long memory in volatility and trading
volume” Journal of Banking & Finance, Vol.35, Iss.7, Jul. 2011. |
|
|
22-9
|
Kim, Young Shin ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo ;
Mitov, Ivan ; Fabozzi, Frank J. ”Time series analysis for finance market
meltdowns” Journal of Banking & Finance, Vol.35, Iss.8, Aug. 2011. |
|
|
22-10
|
He, Hui ; Yang, Jiawen,” Regime-switching analysis of ADR home market
pass-through ”, Journal of Banking & Finance, Vol.35, Iss.1, Jan. 2011. |
|
|
22-11
|
Seung C. Ahn, M. Fabricio Perez, “GMM estimation of the number of
latent factors: With application to international stock markets “,
Journal of Empirical Finance, Volume 17, Issue 4, September 2010, pp.783-802. |
|
|
22-12
|
Ľubospastor, Stambaugh, “Predictive Systems: Living with Imperfect Predictors “, The Journal of Finance, Vol. 64,
Iss.4, August 2009, 1583-1628. |
|
|
22-13
|
Mascia Bedendo, Stewart
D. Hodges, “The dynamics of the volatility
skew: A Kalman filter approach”, Journal of Banking
& Finance, Vol. 33, Iss. 6, June 2009, 1156-1165. |
|
|
22-14
|
Eugene F. Fama, “The
Behavior of Interest Rates”, CapMakts, M&M, APS, Vol.10, No.6, 2007. |
|
|
22-15
|
Griffin, Jim E. and
Oomen, Roel C.A., “Sampling Returns for Realized Variance Calculations: Tick
Time or Transaction Time?”, Econometric Reviews, Volume 27, Issue 1 - 3 January 2008 , pages 230 - 253 |
|
|
22-16
|
Ait-Sahalia, Yacine,
Mykland, Per A. and Zhang Lan, “How Offen to Sample a Continuous-Time Process
in the Presence of Market Microstructure Noise”, Review of Financial Studies,
Vol. 18, No. 2, 2005. |
|
|
22-17
|
Hollifield, B., G. Koop
and K.Li, “A Bayesian analysis of a variance decomposition for stock returns”
Journal of Empirical Finance, Vol.10, No.5, 2003. |
|
|
22-18
|
Kee-Hong Bae, G. Andrew
Karolyi and Rene M. Stulz, “A New Approach to Measuring Financial Contagion”
The Review of Financial Studies Vol. 16, No. 3, 2003. |
23. Bubble
|
|
23-1 |
Vladimir Borgy, Laurent Clerc,
Jean-Paul Renne,''Measuring aggregate risk: Can we robustly identify
asset-price boom–bust cycles?'',Journal of Banking & Finance,Volume
46,September 2014,p.Pages 132-150 |
|
|
23-2 |
Gregor N.F. Weiß, Denefa
Bostandzic, Sascha Neumann,''What factors drive systemic risk during
international financial crises?'',Journal of Banking & Finance,Volume
41,April 2014,p.Pages 78-96 |
24. Other
Market Microstructure Issue
|
|
24-1
|
Bruce Mizrach, Yoichi Otsubo,''The
market microstructure of the European climate exchange'',Journal of Banking
& Finance,Volume 39,February 2014,p.Pages 107-116 |
|
|
24-2
|
Wayne Ferson and Jerchern Lin,''You
have full text access to this content Alpha and Performance Measurement: The
Effects of Investor Disagreement and Heterogeneity'',The Journal of
Finance,Volume 69, Issue 4,August 2014,p.1565–1596 |
|
|
24-3
|
Dong Lou,''Attracting Investor
Attention through Advertising'',The Review of Financial Studies,Volume
27,Issue 6,June 2014,p.1797-1829 |
|
|
24-4
|
Han N. Ozsoylev, Johan Walden, M.
Deniz Yavuz, and Recep Bildik,''Investor Networks in the Stock Market'',The
Review of Financial Studies,Volume 27,Issue 5,May 2014,p.1323-1366 |
|
|
24-5
|
Hailiang Chen, Prabuddha De, Yu
(Jeffrey) Hu, and Byoung-Hyoun Hwang,''Wisdom of Crowds: The Value of Stock
Opinions Transmitted Through Social Media'',The Review of Financial
Studies,Volume 27,Issue 5,May 2014,p.1367-1403 |
|
|
24-6
|
Thierry Post, Miloš
Kopa, “Aggregate investor preferences and beliefs: A comment”, Journal of
Empirical Finance, Volume 23, (September 2013) |
|
|
24-7
|
Ding Du,” Another look
at the cross-section and time-series of stock returns: 1951 to 2011” ,
Journal of Empirical Finance, Volume 20, (January 2013) |
|
|
24-8
|
Richard Heaney,
Sivagowry Sriananthakumar,” Time-varying correlation between stock market
returns and real estate returns”, Journal of Empirical Finance, Volume 19,
Issue 4, (September 2012) |
|
|
24-9
|
Manoj Kulchania, “Market
Microstructure Changes Around Accelerated Share Repurchase Announement”,
Journal of Financial Research,
Spring 2013, Volume 36, Issue 1, (pages 91–114) |
|
|
24-10
|
Harrison Hong, Jeffrey
D. Kubik, Tal Fishman, “Do arbitrageurs amplify economic shocks? ” , Journal
of Financial Economics 103 (2012) 454–470. |
|
|
24-11
|
Bruce D. Grundy, Bryan
Lim, Patrick Verwijmeren, “Do option markets undo restrictions on short
sales? Evidence from the 2008 short-sale ban”, Journal of Financial Economics
106 (2012) 331–348. |
|
|
24-12
|
Tim Bollerslev and
Viktor Todorov, “Tails Fears, and Risk Premia”, The Journal of Finance,
Vol.66, No.06, Dec. 2011, pp.2165. |
|
|
24-13
|
Antoine J. Bruguier,
Steven R. Quartz, and Peter Bossaerts, “ Exploring the Nature of “Trader
Intuition”, The Journal of Finance, Vol.65, No.05, Oct. 2010, pp.1703. |
|
|
24-14
|
Bruce I. Jacobs, Kenneth
N. Levy, and Harry M. Markowitz, “Simulating Security Markets in Dynamic and
Equilibrium Modes” Financial Analysts Journal, Vol. 66, No.5, September/October 2010. |
|
|
24-15
|
Chi K. Tse, Jing Liu,
Francis C.M. Lau, “A network perspective of the stock market”, Journal of Empirical Finance, Volume
17, Issue 4, September 2010, pp.659-667. |
|
|
24-16
|
Craig Doidge, G. Andrew
Karolyi, René M. Stulz, “Has New York become less
competitive than London in global markets? Evaluating foreign listing choices
over time”, Journal of Financial Economics, Vol. 91, Iss.
3 March 2009, 253-277. |
|
|
24-17
|
Hans Degryse, Mark Van
Achter, Gunther Wuyts, “Dynamic order submission strategies
with competition between a dealer market and a crossing network”, Journal of
Financial Economics, Vol. 91, Iss. 3, March 2009, 319-338. |
|
|
24-18
|
Nicolas P.B. Bollen,
William G. Christie, “Market microstructure of the Pink
Sheets”, Journal of Banking & Finance, Vol. 33, Iss. 7, July 2009,
1326-1339. |
|
|
24-19
|
Sumit Agarwal, Sheri Faircloth,
Chunlin Liu, S. Ghon Rhee, “Why Do Foreign Investors Underpreform Domestic
Investors In Trading Activites? Evidence From Indonesia”, Journal of Financial Markets, Vol. 12, Iss. 1, Feb2009,
pp. 32-53. |
|
|
24-20
|
Hamid Mehran, René M.
Stulz, “The Economics of Conflicts of Interest in Financial Insitutions”,
Journal of Financial Intermediation, Vol.85, Iss.2, 2007, 267-296. |
|
|
24-21
|
Patrick Bolton, Xavier
Freixas, Joel Shapiro, “Conflicts of Interest, Information Provision, and
Competion in the Financial Services Industry”, Journal of Financial
Intermediation, Vol.85, Iss.2, 2007, 297-330. |
|
|
24-22
|
Sebastien Pouget,
“Adaptive Traders and the Design of Financial Markets”, The Journal Finance,
Dec. 2007, Vol. 62, Iss, 6, pp.2835-2863. |
|
|
24-23
|
Portniaguina, Evgenia,
Bernhardt, Dan and Hughson, Eric, “Hybrid markets, tick size and investor
trading costs”, Journal of Financial Markets, Vol.9, 433-447. |
|
|
24-24
|
Li, Mingsheng and
Parker, Michael E., “Cross-sectional Analysis of Asymmetric Information after
Decimalization”, Journal of Business and Economic Perspectives, No.2, Spring
2005. |
|
|
24-25
|
Krishnan, C. N. V. and
Laux, Paul A., “Misreaction”, Journal of Financial and Quantitative Analysis,
Vol. 40, No. 2, 2005. |
|
|
24-26
|
Richards, Anthony, “Big
Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign
Investors in Asian Emerging Equity Markets”, Journal of Financial and
Quantitative Analysis, Vol.40, No.1, 2005. |
|
|
24-27
|
Cao, H. Henry, Wang, Tan
and Zhang Harold H., “Model Untertainty, Limited Market Participation, and
Asset Prices”, Review of Financial Studies, Vol. 18, No. 4, 2005. |
|
|
24-28
|
Chakraborty, Archishman
and Yilmaz, Bilge, “Manipulation in market order models”, Journal of
Financial Markets, Vol.7, No.2, Feb 2004, 187-206. |
|
|
24-29
|
Bourghelle, David, and
Declerck, Fany, “Why markets should not necessarily reduce the tick size”,
Journal of Banking and Finance 28, 2004, 373-398. |
|
|
24-30
|
Bessembinder, Hendrick,
“Trade execution costs and market quality after decimalization” Journal of
Financial and Quantitative Analysis, Vol.38, No.4, 2003. |
|
|
24-31
|
Oppenheimer, Henry R.
and Sabherwal, Sanjiv “The Competitive Effects of US Decimalization: Evidence
from the US-listed Canadian Stocks” Journal of Banking & Finance 27,
2003, 1883-1910. |
|
|
24-32
|
Gibson, Scott, Singh,
Rajdeep and Yerramilli, Vijay, “The Effect of Decimalization on the
Components of the Bid-ask Spread” Journal of Financial Intermediation 12,
2003, 121-148. |