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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/85352
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85352


    Title: A Bird`s-eye View of Order Flow Dependence: Evidences in Taiwan Stock Exchange
    Authors: 陳思蓉
    Tan, Su-Iong
    Contributors: 劉玉珍
    李怡宗

    Liu, Yu-Jane
    Lee, Yi-Tsung

    陳思蓉
    Tan, Su-Iong
    Keywords: order flow
    market microstructure
    Taiwan Stock Exchange
    Date: 2001
    Issue Date: 2016-04-18 16:26:14 (UTC+8)
    Abstract: 本論文研究目標為:1. 描述台灣股票市場中訂單簿(order book)的若干特徵。2. 分析訂單流 (order flow) 與訂單簿間交互作用的均衡關係。 3. 探討流動性消耗者與流動性提供者如何進出市場而維持市場機能。
    Reference: 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.
    Description: 碩士
    國立政治大學
    財務管理研究所
    88357004
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001562
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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