股票流动性的度量方法

[1] Market depth and order size. Kempf A,Korn Q. The Journal of Finance . 1999

[2] Predicting VNET: a model of the dynamics of market depth. Engle R F,Lange J. The Journal of Finance . 2001

[3] The intraday patterns of the spread and depth in a market without market makers: the stock exchange of Hong Kong. Ahn H,Cheung Y. Pacific-Badin Finance Journal . 1999

[4] Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE. Goldstein M,Kavajecz K. The Journal of Finance . 2000

[5] Earnings announcements and market depth. Bushman R,Dutta S,Hughes J,Indjejikian R. Contemporary Accounting Research . 1997

[6] Long-lived information and intraday patterns. Back K,Pedersen H. The Journal of Finance . 1998

[7] Continuous auctions and insider trading. Kyle A. Econometrica . 1985

[8] Toward a fully automated stock exchange: Part I. Black F. Financial Analysts Journal . 1971

[1] Market depth and order size. Kempf A,Korn Q. The Journal of Finance . 1999

[2] Predicting VNET: a model of the dynamics of market depth. Engle R F,Lange J. The Journal of Finance . 2001

[3] The intraday patterns of the spread and depth in a market without market makers: the stock exchange of Hong Kong. Ahn H,Cheung Y. Pacific-Badin Finance Journal . 1999

[4] Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE. Goldstein M,Kavajecz K. The Journal of Finance . 2000

[5] Earnings announcements and market depth. Bushman R,Dutta S,Hughes J,Indjejikian R. Contemporary Accounting Research . 1997

[6] Long-lived information and intraday patterns. Back K,Pedersen H. The Journal of Finance . 1998

[7] Continuous auctions and insider trading. Kyle A. Econometrica . 1985

[8] Toward a fully automated stock exchange: Part I. Black F. Financial Analysts Journal . 1971