| Reference: | 英文部份
[1] Kan, K. (1999), “Time and the Process of Security Price Bid Ask Spread Adjustment and No-Trade Duration：The Information Content of Time,” Working Paper, Institute of Economics, Academia Sinica.
[2] Chung, K. H and Charoenwong, C. (1998), “Insider Trading and the Bid Ask Spread,” Financial Review, Vol 33, Iss 3, 1-20.
[3] Huang, R.D. and Stoll H.R. (1997), “The Components of Bid-Ask Spread：A General Approach,” Review of Financial Studies, Vol 10, No 4, 995-1034.
[4] Dufour, A. and Engle R. (1997), “Time and Price Impact of a Trade,” Working Paper, Department of Economics, UCSD.
[5] Easley, D. and O’Hara, M. (1992), “Time and the Process of Security Price Adjustment,” The Journal of Finance, Vol 52, No 2, 577-605.
[6] Glosten, L.R. and Harris, L. (1988), “Estimating the Components of the Bid-Ask Spread,” Journal of Financial Economics, 43, 1293-1308.
[7] Glosten, L.R. and Milgrom, P. (1985), “Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Trader,” Journal of Financial Economics, 21, 123-142.
[8] Copeland, T.C. and Galai, D. (1983), “Information Effects on the Bid-Ask Spread,” Journal of Finance, 38, 1457-1469.
[9] Hasbrouck, J. (1991), “Measuring the Information Content of Stock Trades,” Journal of Finance, 66, 179-207.
中文部份
[1] 吳欽杉(1980)，『股票價差的決定因子』，台灣股票價格之研究論文集，第四章，81-123。
[2] 吳欽杉．劉玉珍(1989)，『台灣地區上市公司股票最後進出喊價價差的決定因子之實証研究』，管理科學學報，第六卷第一期，1-16。 |
