[1] Hasbrouck Joel. Measuring the information content of stock trades[J]. Journal of Finance, 1991,46(1)：179-207.
[2] Madhavan A，Richardson M Roomans M. Why do security prices change?a transaction-level analysis of NYSE stocks[J].Review of Financial Studies, 1997, 10(4)：1035-1064.
[3] Dufour A，Engle R F. Time and price impact of a trade[J]. Journal of Finance, 2000, 55(6)：2 467-2 498.
[4] Bruno B，Hillion P. Insider and liquidity trading in stock and options markets[J]. Review of Financial Studies, 1994, 7(4)：743-780.
[5] Easley D，O’Hara M，Srinivas P S. Option volume and stock prices: evidence on where informed traders trade[J]. The Journal of Finance,1998, 53(2)：431-465.
[6] Chan K，Chung Y P，Fong W. The informational role of stock and option volume [J]. The Review of Financial Studies, 2002, 15(4)：1949-1975.
[7] Chordia T，Roll R，Subrahmanyam A. Commonality in liquidity[J]. Journal of Financial Economics, 2000, 56(1)：3-28.
[8] Hasbrouck J，Seppi D J. Common factors in prices, order flows and liquidity [J]. Journal of Financial Economics, 2001, 59(3)：383-411.
[9] Tookes H. Information, trading and product market interactions: cross-sectional implications of informed trading [J]. Journal of Finance, 2008, 63(1)：379-412.
[10] 肖辉，鲍建平，吴冲锋.股指与股指期货价格发现过程研究[J].系统工程学报，2006 (21)：438-441.
[11] 谭利勇.权证对投资者投资偏好影响的实证研究[J].证券市场导报，2006(10)：58-62.
[12] 郭雪梅，李平，曾勇.A股与B 股市场价格发现的实证研究[J].系统工程理论与实践，2008(8)：45-54.
[13] 刘建华.基于高频数据的中国股市量价日内特征分析[J].经济师，2007(10)：106-107.
[14] 陈梦根，毛小元.中国证券市场价格联动效应的实证研究[J].财贸经济，2007(5)：439-441.
[15] 陈佳.中国证券市场内幕与非内幕交易市场反应的比较研究[J].财会研究，2008(16)：61-65.
Baidu
map