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題名 流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究
作者 吳佩玟
Wu,Pei-wen
貢獻者 郭維裕
吳佩玟
Wu,Pei-wen
關鍵詞 流動性
價差因子分解
Liquidity
Bid ask spread
spread components
日期 2003
上傳時間 18-九月-2009 14:08:52 (UTC+8)
摘要 The purpose of this paper is to compare the liquidity and the components of the bid-ask spread for thinly traded firms switching from a dealer market (Emerging Stock Market (ESM)) to an order driven market (Taiwan Stock Exchanges (TSE) or GreTai Securities Market (GTSM)). Firstly, we follow Christie and Huang’s (1994) method to measure the liquidity performance. Our finding shows that thinly traded firms could improve their liquidity by switching from a dealer market to an order driven market. Secondly, we apply Huang and Stoll’s (1997) and Lin et al.’s (1995) model to estimate the bid-ask spread components. Our results show that the adverse selection cost is significantly smaller on ESM than TSE or GTSM using both Huang and Stoll’s (1997) and Lin et al.’s (1995) model. The inventory holding cost is lower on ESM than TSE or GTSM estimated by Huang and Stoll’s (1997) model. However, the estimates of order processing cost and the probability of trade reversal do not produce consistent results by applying Huang and Stoll’s (1997) and Lin et al.’s (1995) model.
參考文獻 Affleck-Graves J., S.P. Hedge, and R.E. Miller, (1994), “Trading Mechanisms and the Components of the Bid-Ask Spread”, Journal of Finance, 49, 1471-1488.
Amihud, Y., Mendelson, H. (1980), “Dealership market: Market-making with inventory”, Journal of Financial Economics 8, 31-53.
Amihud, T., T. S. Y. Ho, and R. A. Schwartz, (1985), Overview of the changing securities markets, in Y. Amihud. T. S. Y. Ho, and R. A. Schwartz, eds: Market Making and the Changing Structure of the Securities Industries (Lexington Books, Massachusetts), 1-15.
Bagehot, W. (1971), “The only game in town”, Financial Analysts Journal 27.
Barclay, M. (1997), “Bid-ask Spreads and the Avoidance of Odd-eighth Quoted on NASDAQ: An Examination of Exchange Listings”, Journal of Financial Economics 45, 1-34
Benveniste, L., Marcus, A., Wilhelm. (1992), “What’s special about the specialist”, Journal of Financial Economics 32, 61-86
Bessembinder H., and H.M. Kaufman, (1997), “A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks”, Journal of Financial and Quantitative Analysis, 32, 287-310.
Bessembinder H., (1998), “Trading costs and Return volatility: Evidence from exchange listing”, Working Paper, Emory University.
Biais, B., Hillion, P., Spatt, C. (1995),” An empirical analysis of the limit order book and the order flow in the Paris bourse”, Journal of Finance 50(5), 1655-1689.
Brockman, P., Chung, D., (1999), “Bid-ask spread components in an order-driven environment”, Journal of Financial Research 22, 227-246
Choi, J. Y., Salandro, D., Shastri, K. (1988), “On the estimation of bid-ask spread: Theory and evidence”, Journal of Financial and Quantative Analysis 23, 219-230.
Christie, William G., Roger D. Huang, (1994), “Market Structure and Liquidity: A Transaction Data Study of Exchange Listings”, Journal of Financial Intermediation 3, 300-326.
Chung, K., Van Ness, B., Van Ness, R., (1999), “Limit orders and the bid-ask spread”, Journal of Financial Economics 53, 255-287
Chung, K. H., Van Ness, R. A. (2001), “Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks”, Journal of Financial Markets
4, 143-161.
Clarke, J., Shastri, K. (2000), “On information asymmetry metrics”, Working Paper.
Copeland, T. E., Galai, D. (1983), “Information effects on the bid-ask spreads in the
over-the-counter market”, Journal of Finance 38, 1457-1469.
Demsetz, H. (1968), “The cost of transacting”, Quartely Journal of Economics 82, 33-
53.
De Winne, R., Platten, I. (2003), “An analysis of market makers’ behavior on Nasdaq European”, Catholic University of Mons. Department of Fianace.
Declerck, F. (2002), “Trading costs on a limit order book market: Evidence from the paris bourse”, Banque et Marche’ 57, 31-45.
Easley, D., Kiefer, N. M., O`Hara, M. & Paperman, J. B. (1996), “Liquidity, informa-
tion, and infrequently traded stocks”, Journal of Finance 51(4), 1405-1436.
Ellis, K., Michaely, R., O`Hara, M. (2000), “When the underwriter is the market maker: An examination of trading in the IPO aftermarket”, Journal of Finance
55(3), 1039-1074.
Gajewski, J.F., Gresse C., (2003), “Trading Cost Analysis: A comparison of Euronext Paris and London Stock Exchange”
George, T. J., Kaul, G., Nimalendran, M. (1991), “Estimation of the bid-ask spread and its components: A new approach”, Review of Financial Studies 4, 623-656.
Glosten, L. R., Harris, L. E. (1988), “Estimating the components of the bid-ask
Spread”, Journal of Financial Economics 21(1), 123-142.
Glosten, L. R., Milgrom, P. R. (1985), “Bid ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economics
14, 71-100.
Grossman, S., Miller, M., (1988), “Liquidity and Market structure”, Journal of Finance 43, 617-6327
Hamao, Y., Hasbrouck, J., (1995), Securities trading in the absence of dealers: trades and quotes on the Tokoy Stock Exchange”, Review of Financial Studies 8, 849-878
Hansch, O., Naik, N. Y., Viswanathan, S. (1998), “Do inventories matter in dealership markets? Evidence from the London Stock Exchange”, Journal of Finance 53(5), 1623-1656.
Hansen, L. P. (1982), “Large sample properties of generalized method of moments estimators”, Econometrica 50(4), 1029-1054.
Heidle, H., Huang, R.D., (1999), “Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings”, Journal of Financial and Quantitative Analysis, forthcoming.
Ho, T., H. R. Stoll, (1983), “The dynamics of dealer markets under competition”, Journal of Finance 38, 1053-74
Ho, T., R.G. Macris, (1985), “Dearer market structure and performance”, in Yakov Amihud, Thomas Do et Robert Schwartz eds, Market making and the changing structure of the securities industry, Lexington Books.
Huang, R. D., Stoll, H. R. (1996), “Dealers Versus Auction Markets: A paired comparison of execution costs on Nasdaq and the NYSE”, Journal of Financial Economics, 41, 313-357.
Huang, R. D., Stoll, H. R. (1997), “The components of the bid-ask spread: A general
Approach”, Review of Financial Studies 10(4), 995-1034.
Klock, M., McCormick, T. D. (1999), “The impact of market maker competition on
Nasdaq spreads”, The Financial Review 34, 55-74.
Krishnan, C., (2000), “Determinants of the Pricing Process: Re-examining the Huang and Stoll(1997) Model”, University of Wisconsin-Madison Working Paper
Lee, C., Ready, M. (1991), “Inferring trade direction from intraday data”, The Journal of Finance 46, 733-746
Lee, Charles M. C., (1993), “Market Integration and Price Execution for NYSE Listed Securities”, Journal of Finance 48, 1009-1038
Lesmond, D. A., Ogden, J. P. & Trzcinka, C. A. (1999), “A new estimate of transaction
Costs”, Review of Financial Studies 12(5), 1113-1141.
Levin, E., Wright, R. E. (1999), “Note explaining the intra-day variation in the bid-ask
spread in competitive dealership markets - a research note”, Journal of Financial
Markets 2, 179-191.
Lin, J.-C., Sanger, G. C., Booth, G. G. (1995), “Trade size and components of the
bid-ask spread”, Review of Financial Studies 8(4), 1153-1183.
Madhavan, A., Richardson, M., Roomans, M. (1997), “Why do prices change?a transaction-level analysis of NYSE stocks”, Review of Financial Studies10(4), 1035-1064.
Madhavan, A., G. Sofianos, (1998), “An emipirical Analysis of NYSE Specialist Trading”, Journal of Financial Economics, 48, 189-210
Madhavan, A., Smidt, S. (1993), “An analysis of daily changes in specialist inventories
and quotations”, Journal of Finance 48, 1595{1628.
Majois, C., De Winne, R., (2003), “A comparison of alternative spread decomposition models on Euronext Brussels”, Catholic University of Mons. Department of Fianace.
McInish, T. H. M., Wood, R. A. (1992), “An analysis of the intraday patterns in bid
ask spreads for NYSE stocks”, Journal of Finance 47(2), 753-764.
McInish, T. H. M., Wood, R. A. (1995), “Hidden limit orders on the NYSE”, Journal
of Portfolio Management 21, 19-26.
Menyah, K., Paudyal, K. (2000), “The components of bid-ask spreads on the London
Stock Exchange”, Journal of Banking and Finance 24, 1767-1785.
Neal, R., (1992), “A comparison of transaction costs between competitive market maker and specialist market structure”, Journal of Business 65, 317-34
Neal, R, Wheatley, S. M. (1998), “Adverse selection and bid-ask spreads: Evidence from close-end funds”, Journal of Financial Markets 1, 121-149.
Nimalendran, M., Petrella, G., (2002), “Do “thinly-traded” stocks benefit from specialist intervention”,
Poter, D., D. Weaver, (1996), “Estimating bid-ask spread components: Specialist versus multiple market maker systems”, Review of Quantitative Finance and Accounting 6, 167-80
Ritter (1991), “The long run performance of initial public offerings”, Journal of Finance
46(1), 3-27.
Roll, R. (1984), “A simple implicit measure of the effective bid-ask spread in efficient market”, Journal of Finance 39(4), 1127-1139.
Sapp, Travis R. A., Yan Xuemin (2000), “Should Small Nasdaq Firms switch to AMEX?”
Schultz, P. (2000), “The market for market making”.
Stoll, H. R. (1978), “The supply of dealer services in securities markets”, Journal of
Finance 33, 1133-1151.
Silva, A. C., Chavez, G. (2002), “Components of execution costs: Evidence of asymmetric information at the Mexican Stock Exchange”, Journal of International Financial Markets, Institutions and Money 12(3), 253-278.
Stoll, H. R. (1989), “Inferring the components of the bid-ask spread: Theory and empirical tests”, Journal of Finance 44(1), 115-134.
Tinic, S. (1972), “The economics of liquidity services”, Quartely Journal of Economics
86, 79-93.
Van Ness, B. F., Van Ness, R. A., Warr, R. A. (2001), “How well do adverse selection
components measure adverse selection”, Financial Management 30(3), 77{98.
Vijh, A., (1990), “Liquidity of the CBOE equity options”, Journal of Finance 45, 1157-1179
Wahal, S. (1997), “Entry, exit, market makers, and the bid-ask spread”, Review of
Financial Studies 10(3), 871-901.
Wang, J. (1999), “Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction”, Journal of International Financial Markets, Institutions and Money 9(2), 115-128.
描述 碩士
國立政治大學
國際經營與貿易研究所
91351034
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091351034
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (作者) 吳佩玟zh_TW
dc.contributor.author (作者) Wu,Pei-wenen_US
dc.creator (作者) 吳佩玟zh_TW
dc.creator (作者) Wu,Pei-wenen_US
dc.date (日期) 2003en_US
dc.date.accessioned 18-九月-2009 14:08:52 (UTC+8)-
dc.date.available 18-九月-2009 14:08:52 (UTC+8)-
dc.date.issued (上傳時間) 18-九月-2009 14:08:52 (UTC+8)-
dc.identifier (其他 識別碼) G0091351034en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35094-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 91351034zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) The purpose of this paper is to compare the liquidity and the components of the bid-ask spread for thinly traded firms switching from a dealer market (Emerging Stock Market (ESM)) to an order driven market (Taiwan Stock Exchanges (TSE) or GreTai Securities Market (GTSM)). Firstly, we follow Christie and Huang’s (1994) method to measure the liquidity performance. Our finding shows that thinly traded firms could improve their liquidity by switching from a dealer market to an order driven market. Secondly, we apply Huang and Stoll’s (1997) and Lin et al.’s (1995) model to estimate the bid-ask spread components. Our results show that the adverse selection cost is significantly smaller on ESM than TSE or GTSM using both Huang and Stoll’s (1997) and Lin et al.’s (1995) model. The inventory holding cost is lower on ESM than TSE or GTSM estimated by Huang and Stoll’s (1997) model. However, the estimates of order processing cost and the probability of trade reversal do not produce consistent results by applying Huang and Stoll’s (1997) and Lin et al.’s (1995) model.zh_TW
dc.description.tableofcontents Abstract…………………………………………………………………………………………i
Acknowledge………………………………………………………………………………..…ii
Contents……………………………………………………………………………………….iii
1 Introduction 1
2. Institutional framework and Literature Review 8
2.1 The Microstructure of Taiwan Stock Exchange (TSE), GreTai Securities Market (GTSM) and Emerging Stock Market (ESM) 8
2.2 Literature Review 10
2.2.1 Liquidity and Transaction Cost on different Trading Mechanisms 10
2.2.2 Estimates of Bid-Ask Spread Components 10
3. Data and Methodology 15
3.1 Sample Selection and Data Description 15
3.2 Methodology 21
4. Empirical Results 25
4.1 Liquidity Improvement 25
4.2 Estimation of bid-ask spread 29
4.2.1 Huang and Stoll’s (1997) model 30
4.2.2 Lin et al.’s (1995) model 33
5. Conclusions 37		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091351034en_US
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 價差因子分解zh_TW
dc.subject (關鍵詞) Liquidityen_US
dc.subject (關鍵詞) Bid ask spreaden_US
dc.subject (關鍵詞) spread componentsen_US
dc.title (題名) 流動性與買賣價差因子分解:興櫃轉上市櫃之實證研究zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Affleck-Graves J., S.P. Hedge, and R.E. Miller, (1994), “Trading Mechanisms and the Components of the Bid-Ask Spread”, Journal of Finance, 49, 1471-1488.zh_TW
dc.relation.reference (參考文獻) Amihud, Y., Mendelson, H. (1980), “Dealership market: Market-making with inventory”, Journal of Financial Economics 8, 31-53.zh_TW
dc.relation.reference (參考文獻) Amihud, T., T. S. Y. Ho, and R. A. Schwartz, (1985), Overview of the changing securities markets, in Y. Amihud. T. S. Y. Ho, and R. A. Schwartz, eds: Market Making and the Changing Structure of the Securities Industries (Lexington Books, Massachusetts), 1-15.zh_TW
dc.relation.reference (參考文獻) Bagehot, W. (1971), “The only game in town”, Financial Analysts Journal 27.zh_TW
dc.relation.reference (參考文獻) Barclay, M. (1997), “Bid-ask Spreads and the Avoidance of Odd-eighth Quoted on NASDAQ: An Examination of Exchange Listings”, Journal of Financial Economics 45, 1-34zh_TW
dc.relation.reference (參考文獻) Benveniste, L., Marcus, A., Wilhelm. (1992), “What’s special about the specialist”, Journal of Financial Economics 32, 61-86zh_TW
dc.relation.reference (參考文獻) Bessembinder H., and H.M. Kaufman, (1997), “A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks”, Journal of Financial and Quantitative Analysis, 32, 287-310.zh_TW
dc.relation.reference (參考文獻) Bessembinder H., (1998), “Trading costs and Return volatility: Evidence from exchange listing”, Working Paper, Emory University.zh_TW
dc.relation.reference (參考文獻) Biais, B., Hillion, P., Spatt, C. (1995),” An empirical analysis of the limit order book and the order flow in the Paris bourse”, Journal of Finance 50(5), 1655-1689.zh_TW
dc.relation.reference (參考文獻) Brockman, P., Chung, D., (1999), “Bid-ask spread components in an order-driven environment”, Journal of Financial Research 22, 227-246zh_TW
dc.relation.reference (參考文獻) Choi, J. Y., Salandro, D., Shastri, K. (1988), “On the estimation of bid-ask spread: Theory and evidence”, Journal of Financial and Quantative Analysis 23, 219-230.zh_TW
dc.relation.reference (參考文獻) Christie, William G., Roger D. Huang, (1994), “Market Structure and Liquidity: A Transaction Data Study of Exchange Listings”, Journal of Financial Intermediation 3, 300-326.zh_TW
dc.relation.reference (參考文獻) Chung, K., Van Ness, B., Van Ness, R., (1999), “Limit orders and the bid-ask spread”, Journal of Financial Economics 53, 255-287zh_TW
dc.relation.reference (參考文獻) Chung, K. H., Van Ness, R. A. (2001), “Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks”, Journal of Financial Marketszh_TW
dc.relation.reference (參考文獻) 4, 143-161.zh_TW
dc.relation.reference (參考文獻) Clarke, J., Shastri, K. (2000), “On information asymmetry metrics”, Working Paper.zh_TW
dc.relation.reference (參考文獻) Copeland, T. E., Galai, D. (1983), “Information effects on the bid-ask spreads in thezh_TW
dc.relation.reference (參考文獻) over-the-counter market”, Journal of Finance 38, 1457-1469.zh_TW
dc.relation.reference (參考文獻) Demsetz, H. (1968), “The cost of transacting”, Quartely Journal of Economics 82, 33-zh_TW
dc.relation.reference (參考文獻) 53.zh_TW
dc.relation.reference (參考文獻) De Winne, R., Platten, I. (2003), “An analysis of market makers’ behavior on Nasdaq European”, Catholic University of Mons. Department of Fianace.zh_TW
dc.relation.reference (參考文獻) Declerck, F. (2002), “Trading costs on a limit order book market: Evidence from the paris bourse”, Banque et Marche’ 57, 31-45.zh_TW
dc.relation.reference (參考文獻) Easley, D., Kiefer, N. M., O`Hara, M. & Paperman, J. B. (1996), “Liquidity, informa-zh_TW
dc.relation.reference (參考文獻) tion, and infrequently traded stocks”, Journal of Finance 51(4), 1405-1436.zh_TW
dc.relation.reference (參考文獻) Ellis, K., Michaely, R., O`Hara, M. (2000), “When the underwriter is the market maker: An examination of trading in the IPO aftermarket”, Journal of Financezh_TW
dc.relation.reference (參考文獻) 55(3), 1039-1074.zh_TW
dc.relation.reference (參考文獻) Gajewski, J.F., Gresse C., (2003), “Trading Cost Analysis: A comparison of Euronext Paris and London Stock Exchange”zh_TW
dc.relation.reference (參考文獻) George, T. J., Kaul, G., Nimalendran, M. (1991), “Estimation of the bid-ask spread and its components: A new approach”, Review of Financial Studies 4, 623-656.zh_TW
dc.relation.reference (參考文獻) Glosten, L. R., Harris, L. E. (1988), “Estimating the components of the bid-askzh_TW
dc.relation.reference (參考文獻) Spread”, Journal of Financial Economics 21(1), 123-142.zh_TW
dc.relation.reference (參考文獻) Glosten, L. R., Milgrom, P. R. (1985), “Bid ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economicszh_TW
dc.relation.reference (參考文獻) 14, 71-100.zh_TW
dc.relation.reference (參考文獻) Grossman, S., Miller, M., (1988), “Liquidity and Market structure”, Journal of Finance 43, 617-6327zh_TW
dc.relation.reference (參考文獻) Hamao, Y., Hasbrouck, J., (1995), Securities trading in the absence of dealers: trades and quotes on the Tokoy Stock Exchange”, Review of Financial Studies 8, 849-878zh_TW
dc.relation.reference (參考文獻) Hansch, O., Naik, N. Y., Viswanathan, S. (1998), “Do inventories matter in dealership markets? Evidence from the London Stock Exchange”, Journal of Finance 53(5), 1623-1656.zh_TW
dc.relation.reference (參考文獻) Hansen, L. P. (1982), “Large sample properties of generalized method of moments estimators”, Econometrica 50(4), 1029-1054.zh_TW
dc.relation.reference (參考文獻) Heidle, H., Huang, R.D., (1999), “Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings”, Journal of Financial and Quantitative Analysis, forthcoming.zh_TW
dc.relation.reference (參考文獻) Ho, T., H. R. Stoll, (1983), “The dynamics of dealer markets under competition”, Journal of Finance 38, 1053-74zh_TW
dc.relation.reference (參考文獻) Ho, T., R.G. Macris, (1985), “Dearer market structure and performance”, in Yakov Amihud, Thomas Do et Robert Schwartz eds, Market making and the changing structure of the securities industry, Lexington Books.zh_TW
dc.relation.reference (參考文獻) Huang, R. D., Stoll, H. R. (1996), “Dealers Versus Auction Markets: A paired comparison of execution costs on Nasdaq and the NYSE”, Journal of Financial Economics, 41, 313-357.zh_TW
dc.relation.reference (參考文獻) Huang, R. D., Stoll, H. R. (1997), “The components of the bid-ask spread: A generalzh_TW
dc.relation.reference (參考文獻) Approach”, Review of Financial Studies 10(4), 995-1034.zh_TW
dc.relation.reference (參考文獻) Klock, M., McCormick, T. D. (1999), “The impact of market maker competition onzh_TW
dc.relation.reference (參考文獻) Nasdaq spreads”, The Financial Review 34, 55-74.zh_TW
dc.relation.reference (參考文獻) Krishnan, C., (2000), “Determinants of the Pricing Process: Re-examining the Huang and Stoll(1997) Model”, University of Wisconsin-Madison Working Paperzh_TW
dc.relation.reference (參考文獻) Lee, C., Ready, M. (1991), “Inferring trade direction from intraday data”, The Journal of Finance 46, 733-746zh_TW
dc.relation.reference (參考文獻) Lee, Charles M. C., (1993), “Market Integration and Price Execution for NYSE Listed Securities”, Journal of Finance 48, 1009-1038zh_TW
dc.relation.reference (參考文獻) Lesmond, D. A., Ogden, J. P. & Trzcinka, C. A. (1999), “A new estimate of transactionzh_TW
dc.relation.reference (參考文獻) Costs”, Review of Financial Studies 12(5), 1113-1141.zh_TW
dc.relation.reference (參考文獻) Levin, E., Wright, R. E. (1999), “Note explaining the intra-day variation in the bid-askzh_TW
dc.relation.reference (參考文獻) spread in competitive dealership markets - a research note”, Journal of Financialzh_TW
dc.relation.reference (參考文獻) Markets 2, 179-191.zh_TW
dc.relation.reference (參考文獻) Lin, J.-C., Sanger, G. C., Booth, G. G. (1995), “Trade size and components of thezh_TW
dc.relation.reference (參考文獻) bid-ask spread”, Review of Financial Studies 8(4), 1153-1183.zh_TW
dc.relation.reference (參考文獻) Madhavan, A., Richardson, M., Roomans, M. (1997), “Why do prices change?a transaction-level analysis of NYSE stocks”, Review of Financial Studies10(4), 1035-1064.zh_TW
dc.relation.reference (參考文獻) Madhavan, A., G. Sofianos, (1998), “An emipirical Analysis of NYSE Specialist Trading”, Journal of Financial Economics, 48, 189-210zh_TW
dc.relation.reference (參考文獻) Madhavan, A., Smidt, S. (1993), “An analysis of daily changes in specialist inventorieszh_TW
dc.relation.reference (參考文獻) and quotations”, Journal of Finance 48, 1595{1628.zh_TW
dc.relation.reference (參考文獻) Majois, C., De Winne, R., (2003), “A comparison of alternative spread decomposition models on Euronext Brussels”, Catholic University of Mons. Department of Fianace.zh_TW
dc.relation.reference (參考文獻) McInish, T. H. M., Wood, R. A. (1992), “An analysis of the intraday patterns in bidzh_TW
dc.relation.reference (參考文獻) ask spreads for NYSE stocks”, Journal of Finance 47(2), 753-764.zh_TW
dc.relation.reference (參考文獻) McInish, T. H. M., Wood, R. A. (1995), “Hidden limit orders on the NYSE”, Journalzh_TW
dc.relation.reference (參考文獻) of Portfolio Management 21, 19-26.zh_TW
dc.relation.reference (參考文獻) Menyah, K., Paudyal, K. (2000), “The components of bid-ask spreads on the Londonzh_TW
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