[1] |
KYLE A S. Continuous auctions and insider trading[J]. Econometrica,1985,53(6):1315-1335. |
[2] |
ROLL R. A simple implicit measure of the effective bid-ask spread in an efficient market[J]. Journal of Finance,1984,39(4):1127-1139. |
[3] |
HASBROUCK J. Liquidity in the futures pits:inferring market dynamics from incomplete data[J]. Journal of Financial and Quantitative Analysis,2004,39(2):305-326. |
[4] |
HASBROUCK J. Trading costs and returns for US equities:estimating effective costs from daily data[J]. Journal of Finance,2009,64(3):1445-1477. |
[5] |
HOLDEN C. New low-frequency liquidity measures[J]. Journal of Financial Markets,2009,12:778-813. |
[6] |
CORWIN S,SCHULTZ P. A simple way to estimate bid-ask spreads from daily high and low prices[J]. Journal of Finance,2012,67(2):719-760. |
[7] |
高扬,王明进. 两种买卖价差估计渐进性质比较[J]. 金融学季刊,2014,8(1):34-56. |
[8] |
高扬,王明进. 有效价差的极大似然估计[J]. 数量经济技术经济研究,2014(5):133-150. |
[9] |
FONG K Y L,HOLDEN C W,TRZCINKA C. What are the best liquidity proxies for global research?[R]. Sydney:University of New South Wales,2014. |
[10] |
CHUNG K H,ZHANG H. A simple approximation of intraday spreads using daily data[J]. Journal of Financial Markets,2014,17:94-120. |
[11] |
AMIHUD Y.Illiquidity and stock returns:cross-section and time-series effects[J]. Journal of Financial Markets,2002,5:31-56. |
[12] |
KHAN W A,BAKER H K. Unlisted trading privileges,liquidity,and stock returns[J]. Journal of Financial Research,1993,16(3):221-236. |
[13] |
GOYENKO R Y,HOLDEN C W,TRZCINKA C A. Do liquidity measures measure liquidity?[J]. Journal of Financial Economics,2009,92:153-181. |
[14] |
MARSHALL B R,NGUYEN N H,VISALTANACHOTI N. Commodity liquidity measurement and transaction costs[J]. Review of Financial Studies,2012,25(2):599-638. |
[15] |
KARNAUKH N,RANALDO A,SÖDERLIND P.Understanding FX liquidity[J]. Review of Financial Studies,2015,28(11):3073-3108. |
[16] |
BAO J,PAN J,WANG J. The illiquidity of corporate bonds[J]. The Journal of Finance,2011,66(3):911-946. |
[17] |
FRIEWALD N,JANKOWITSCH R,SUBRAHMANYAM M G. Illiquidity or credit deterioration:a study of liquidity in the US corporate bond market during financial crises[J]. Journal of Financial Economics,2012,105(1):18-36. |
[18] |
FRIEWALD N,JANKOWITSCH R,SUBRAHMANYAM M G.Transparency and liquidity in the structured product market[R]. Bergen,Norway:Norwegian School of Economics,2014. |
[19] |
SCHESTAG R,SCHUSTER P,UHRIG-HOMBURG M. Measuring liquidity in bond markets[J]. Review of Financial Studies,2016,29(5):1170-1219. |
[20] |
AHN H J,CAI J,YANG C W. Which liquidity proxy measures liquidity best in emerging markets?[C]. KFA & TFA Joint Conference in Finance.Seoul,Korea,2012. |
[21] |
张峥,李怡宗,张玉龙,刘翔. 中国股市流动性间接指标的检验-基于买卖价差的实证分析[J]. 经济学季刊,2013,13(1):235-262. |
[22] |
巴曙松,姚飞. 中国债券市场流动性水平测度[J]. 统计研究,2013,30(12):95-99. |
[23] |
闵晓平,桂荷发,严武. 基于主成分分析的公司债券市场流动性衡量研究[J]. 证券市场导报,2011(7):70-77. |
[24] |
HAN S,ZHOU H. Nondefault bond spread and market trading liquidity[R]. Technical report,Washington DC:Federal Reserve Board,2007. |
[25] |
PU X. Liquidity commonality across the bond and CDS markets[J]. The Journal of Fixed Income,2009,19(1):26-39. |
[26] |
HONG G,WARGA A. An empirical study of bond market transactions[J]. Financial Analysts Journal,2000,56(2):32-46. |
[27] |
CHAKRAVARTY S,SARKAR A. Trading costs in three US bond markets[J]. The Journal of Fixed Income,2003,13(1):39-48. |
[28] |
DICK-NIELSEN J,FELDHüTTER P,LANDO D. Corporate bond liquidity before and after the onset of the subprime crisis[J]. Journal of Financial Economics,2012,103(3):471-492. |
[29] |
SCHULTZ P. Corporate bond trading costs:a peek behind the curtain[J]. The Journal of Finance,2001,56(2):677-698. |
[30] |
LESMOND D A,OGDEN J P,TRZCINKA C A. A new estimate of transaction costs[J]. Review of Financial Studies,1999,12(5):1113-1141. |