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    題名: 臺灣股市流動性提供者之研究
    作者: 左昭信
    Tso, Ivan
    貢獻者: 周行一
    陳威光

    左昭信
    Ivan Tso
    關鍵詞: 股市
    流動性
    流動性提供者
    stock market
    liquidity
    liquidity provider
    日期: 2000
    上傳時間: 2016-03-31 16:36:10 (UTC+8)
    摘要: 本研究係探討台灣股市流動性的提供者,研究樣本係台灣證券交易所四支流動性大小不同的標的個股,而樣本期間橫跨民國八十五一至五月及民國八十六年全年,分別代表證券市場的盤整期間,大多頭及大多頭。
    參考文獻: 中文部份
    1.馬黛,各國證券交易資訊系統之比較與交易資訊透明化之探討,證交資料,第409期,民國85年5月日,第1~9頁。
    2.陳春山,我國證券市場之現況、特徵及發展趨勢─證券市場發展對券商業務之影響(上),證券櫃檯,第十八期,民國86年12月,第1~21頁。
    3.陳春山,我國證券市場之現況、特徵及發展趨勢─證券市場發展對券商業務之影響(下),證券櫃檯,第十九期,民國87年1月,第1~17頁。
    4.曾耀輝,世界主要證券交易所交易撮合制度之比較與一探討(一),證交資料,第397期,民國84年5月,第13~28頁。
    5.曾耀輝,世界主要證券交易所交易撮合制度之比較與一探討(二),證交資料,第398期,民國84年6月日,第17~35頁。
    6.蔡世賢,美國證券業之經營與管理(上),產業金融,第八十一期,民國82年12月,第53~56頁。
    7.蔡世賢,美國證券業之經營與管理(中),產業金融,第八十二期,民國83年3月,第56~62頁。
    8.蔡世賢,美國證券業之經營與管理(下),產業金融,第八十三期,民國83年6月,第53~58頁。
    9.劉玉珍,台灣股票市場交易制度,證券市場,華泰書局?民國88年,第90~101頁。
    英文部份
    1.Amihud, Y., H. Mendelson and B. Lauterbach, 1997, Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of financial Economics 45, 365-390.
    2.Benston, G.J. and R.L. Hagerman, 1978, Risk, Volume and Spread. Financial Analysts Journal Jan-Feb, 46-49.
    3.Berkman, H. and V.R. Eleswarapu, 1998, Short-term traders and liquidity: a test using Bombay Stock Exchange data. Journal of financial Economics 47, 339-355.
    4.Bernstein, P.L., 1987, Liquidity, Stock Markets, and Market Makers. Financial Management Summer, 54-62.
    5.Cason, T.N. and D. Friedman, 1997, Price Formation in Single Call Markets. Economertrica Vol 65 No 2, 311-345.
    6.Chui, C.W. and K.C. Wei, 1997, Liquidity Premium and the Catching-up Effect in a Market without Market Makers: Evidence from the Japanese Stock Market. Working Paper.
    7.Cohen, L.M., Kalman, S. Maier, R.A. Schwartz and D. Whitcomb, 1981, Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread. Journal of Political Economy April, 287-305.
    8.Cooper, K., J.C. Groth and W.E. Avera, 1985, Liquidity, Exchange Listing, and common Stock Performance. Journal of Economics and Business Feberury, 19-33.
    9.Demesetz, H., 1968, The Costs of Transacting. Quarterly Journal of Economics Vol 82, 33-53.
    10.Domowitz, I., 1992, Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications. Journal of Financial Services Research, 305-326.
    11.Economides, N. and R.A. Schwartz, 1995, Electronic Call Market Trading. The Journal of Portfolio Management Spring, 11-18.
    12.Elyasiani, E., H. Hauser, B. Lauterbach, , 2000, Market Response to Liquidity Improvements:Evidence from Exchange Listings. The financial Review 41, 1-14.
    13.Epstein, G., 1996, A New ‘Exchange’ in Arizona Brings an Old Twist to Stock Trading. BARRON’S December, 26.
    14.Friedman, D., 1993, Privileged Traders and Asset Market Efficiency:A Laboratory Study. Journal of financial and Quantitative Analysis Vol 28 No 4, 515-534.
    15.Groth, J.C. and D.A. Dubofsky, 1984, Exchange Listing and Stock Liquidity. Journal of financial Research, 291-302.
    16.Handa, P. and R.A. Schwartz, 1996, How Best to Supply Liquidity to a Securities Market. The Journal of Portfolio Management Winter, 44-51.
    17.Handa, P. and R.A. Schwartz, 1996, Limit Order Trading. The Journal of Finance December, 1835-1861.
    18.Handa, P., R.A. Schwartz and A. Tiwari, 1998, The Ecology of an Order-Driven Market. The Journal of Portfolio Management Winter, 47-55.
    19.Harris, L. and J. Hasbrouch, June 1996, Market vs. Limit Orders: The SuperDot Evidence on Order Submission Strategy. Journal of Financial and Quantitative analysis Vol 31 No 2, 213-231.
    20.Hasbrouck, J., 1999, The Dynamics of Discrete Bid and Ask Quotes. The Journal of finance Vol LIV No 6, 2109-2142.
    21.ISSA (International Securities Services Association)1999 HandBook.
    22.Lehmann B.N. and D.M. Modest, 1994, Trading and Liquidity on the Tokyo Stock Exchange: A Bird’s Eye View. The Journal of Finance Vol XLIX No 3, pp951-984.
    23.Madhavan, A., 1992,Trading Mechanisms in Securities Markets. The Journal of Finance Vol XLVII No 2, 607-641.
    24.Massimb, M.N. and B.D. Phelps, 1994, Electronic Trading, Market Structure and Liquidity. Financial Analysts Journal January-February, 39-50.
    25.Marsh, T. and K. Rock, 1986, Exchange Listing and Liquidity: A Comparison of the American Stock Exchange with the NASDAQ National Market System.: American Stock Exchange Transactions Data Research Project Report #2.
    26.Martin, P., 1975, Analysis of the Impact of Competitive Rates on the Liquidity of NYSE Stocks. Economic Staff Paper, Securities and Exchange Commission.
    27.Schwartz, R.A. and L.M. Cohen, 1993, Reshaping The Equity Markets: A Guide for the 1990s, Business One Irwin, 126-128.
    28.Tinic, S.M. and R.R. West, 1972, Competition and the Pricing of Dealer Service in the OTC Stock Markets. Journal of Financial and Quantitative Analysis June, 1707-1727.
    描述: 碩士
    國立政治大學
    金融研究所
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002002078
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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