| 參考文獻: | Ahn, Hee-Joon, Bae, Kee-Hong and Chan, Kalok, 2000, Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong, The Journal of Finance, Forthcoming 2000.
Al-Suhaibani, Mohammed and Kryzanowski, Lawrence 2000, An Exploratory Analysis of the Order Book, and Order Flow and Execution on the Saudi Stock Market, Journal of Banking and Finance 24, 1323-1357.
Biais, Bruno, Hillion, Pierre and Spatt, Chester, 1995, An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse, The Journal of Finance 50, Number 5, 1655-1689.
Brockman, Paul and Chung, Dennis Y. 1999, An Analysis of Depth Behavior in an Electronic Order-driven Environment, Journal of Banking and Finance 23, 1861-1886.
Brown, Philip, Walsh, David, and Yuen Andrea, 1997, The Interaction between Order Imbalance and Stock Price, Pacifi-Basin Finance Journal 5, 539-557.
Chan, Kolok, and Fong Wai-Ming, 2000, Trade Size, Order Imbalance and the Volatility-volume Relation, Journal of Financial Economics 57, 247-273.
Chou, Robin K, and Handa, Puneet, 2000, The Response of Security Markets to Order Imbalance: NYSE vs. Nasdaq, Working Paper.
Chung, Kee H., Van Ness, Bonnie F. and Van Ness, Robert A. 1999, Limit Orders and the Bid-ask Spread, Journal of Financial Economics 53, 255-287.
Easley, Kiefer, and O’Hara, 1997, One Day in the Life of a Very Common Stock, The Review of Financial Studies 10-3, 805-835.
Foucault, Thierry, 1999, Order Flow Composition and Trading Costs in a Dynamic Limit Order Market, Journal of Financial Markets 2, 99-134.
Hedvall, Kaj and Niemeyer, Jonas 1997, Order Flow Dynamics: Evidence form the Helsinky Stock Exchange, Working Paper.
Handa, Puneet, and Schwartz, Robert, 1996, How Best to Supply Liquidity to A Securities Market, The Journal of Portfolio Management, Winter, 44-51.
Hanada, Puneet, Schwartz, Robert A. and Tiwari, Ashish, 1998, The Ecology of an Order-driven Market, Journal of Portfolio Management 24, Issue 2, 47-55.
Niemeyer, Jonas and Sandas, Patrik, 1993, An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange, Journal of Multinational Financial Management 3, 63-101.
Seppi, Duane J., 1997, Liquidity Provision with Limit Orders and a Strategic Specialist, The Review of Financial Studies 10, Number 1, 103-150. |
