| [1] | Huang R,Stoll H.The components of the bid-ask spread:a general approach[J].Review of Financial Study.1996,10:995-1024. |
| [2] | Bernake B,Kuttner K.What explains the stock market's reaction to Federal reserve policy?[J].2005,60:1221-1257. |
| [3] | Marshall D.Inflation and asset returns in a monetary economy[J].Journal of Finance,1992,47:1315-1342.. |
| [4] | Madhavan A,Richardson M,Roomans M.Why do security prices change？A transaction level analysis of NYSE stocks[J]. Review of Financial Study.1997,10:1035-1064. |
| [5] | Green T.Economic news and the impact of trading on bond prices[J].Journal of Finance,2004,66:1201-1233. |
| [6] | 房振明,王春峰,曹媛媛.上海证券市场流动性模型的研究[J].管理工程学报,2005,19:33-39. |
| [7] | Fleming M,Remolona E.Price formation and liquidity in the U.S.Treasury market:the response to public information[J].Journal of Finance,1999,54:1901-1951. |
| [8] | Kim O,Verrecchia R.Pre-announcement and event-period information[J].Journal of Finance,1997,24:395-419. |
| [9] | Krinsky I,Lee J.Earnings announcements and the components of the bid-ask spread[J].Journal of Finance,1996,51:1523- 1535. |
| [10] | Shleifer A.Inefficient market:an introduction of behavior finance[M].Oxford:Oxford Press,2000. |