可转换债券市场微观结构及其效率研究
|
摘要
可转债市场微观结构是指对可转债市场价格发现与信息传导机制有直接影响的相关要素的总和及其相互关系,主要包括交易主体、交易规则和交易机制等要素,其中交易机制和交易主体及其影响机理是本文研究的核心内容。
我国自1991年8月琼能源发行总额3000万元的第一支可转债,到2009年底已有62只普通可转债在沪深两市上市,累计融资规模达到715.88亿元。2010年中国银行400亿可转债融资计划的推出,使得可转债市场迎来了前所未有的发展机遇。然而,当前我国可转债市场却存在着规模严重不足、交投极不活跃、信息传导不畅、定价能力不足等诸多问题。
正是在这种背景下,本文从可转债市场微观结构入手,通过定性分析与定量研究相结合的方式,探究可转债市场价格发现效率偏低、信息传导机制不畅的原因,进而有针对性地提出改善可转债市场效率的对策建议。
通过实证分析发现可转债市场流动性不足是导致以成交量为核心的价格发现机制失效的主要原因,进而提出通过引入融资融券制度、“债转股”实施T+0交收制度以及完善大宗交易制度等方式改善市场流动性的对策,以期推动可转债市场稳步快速发展;通过研究标的股与可转债之间的信息传导机制,检验了我国股票市场与可转债市场之间的信息传导效率,进而提出通过完善市场交易规则加强两个市场之间的套利机会,提高可转债市场的信息发现效率,充分发挥可转债市场平抑股票市场行情波动的稳定器功能;通过研究交易间隔、买卖价差、市场深度、期望价格波动率及交易方向之间的关系,发现我国可转债市场存在机构投资者占比过高、流动性投资者不足的特征;通过对可转债市场买卖价差成分分解,指出对知情交易者信息成本补偿不足、流动性交易者面临的指令执行风险过高是导致可转债市场投资者结构失衡,进而价格和信息发现效率偏低的主要原因。在此基础上,本文建议在可转债市场实施以电子自动撮合的竞价制度为主、以竞争性多元做市商制度为辅、投资者的报价与做市商的双边报价共同参与竞价的混合交易制度。
Opportunities and challenges are survived together, advantages and difficulties are coexisted. That is the description of China’s convertible bonds market development situation.
In response to“sub-prime crisis”on the adverse impact of China’s economy, the State Council issued a 4 trillion of investment-led program at the end of 2008. To implement the“to maintain growth, benefit the people’s livelihood and promote transformation”of the macro-economic objectives, the total credit of financial institutions reached a record of 9.59 trillion in 2009. In early 2010, China’s economy began to reveal inflationary pressures. In order to meet the new situation, to ensure a smooth transition of the economy, loose monetary policy and fiscal policy began to steady out. The banking is facing strong re-financing needs after assessed the commercial banks’deposit-loan ratio and capital adequacy by regulators. The Bank of China in 2010 with 40 billion convertible bond financing disclosure of convertible bonds market ushered in unprecedented opportunities for development. However, there is a serious shortage of the scale of trading in very active, poor signal transduction, lack of pricing capacity and many other issues on the current convertible bonds market in China.
It is against this background, the paper from the convertible bonds market microstructure start, through qualitative analysis and quantitative research methods combined to explore the convertible bonds market, the low efficiency of price discovery, information transmission mechanism of the reasons for poor, thus there are countermeasures and proposals to improve efficiency of convertible bonds market.
Through demonstration study on Investors structure, convertible bonds trading strategy selection and the relationship between the efficiency of market information (Chapter 6), the institutional investors accounted for excessive and liquidity investors accounted for inadequate were found in China’s convertible bonds market. And institutional investors to invest in long-term investment strategy based convertible bonds market has led to apathy, a serious shortage of market liquidity. Because of poor market liquidity, investors cannot use“that is to buy or sell”short-term way of knocking on transactions, leading to T + 0 market of China’s convertible bonds trading mechanisms do not work. The interest of volume as the core of the price discovery mechanism is very difficult to play a role when the liquidity support in convertible bonds market is adequate. This matches up to the conclusions of“Convertible bonds market turnover rate of return volatility effect of asymmetric shocks”(Chapter 4). The demonstration conclusion of“The role of underlying share price in information transmission mechanism of convertible bond market”reveals that convertible bonds market has strong pricing power of independent (Chapter 5). This illustrates that the price discovery mechanism which is based on institutional investors’capacity of value analysis has played a leading role. This also ensures the dominant position of institutional investors in convertible bonds market. Because institutional investors generally have a strong information-gathering, analysis, pricing power, and the pricing method used in pricing model is quite similar to institutional investors accounted for the main body of convertible bonds market in response to new information appears, does not require a great volume on the price of convertible bonds can be adjusted to a reasonable level, thus the performance of the core in the volume of the price discovery mechanism fails, while convertible bond market still has a strong independent pricing power. Through the convertible market, bid-ask spread component analysis (Chapter 7), found that in our convertible bonds market, trading instruction execution risk spreads the proportion accounted for up to 80%, while the informed trader’s information cost compensation (adverse selection costs) accounted for the proportion of price difference of about 6%. As the instruction execution risks are too high, a substantial increase in transaction costs of short-term speculative operations, the result must be the lack of short-term speculative traders in convertible bonds market; while information on the cost of informed traders due to insufficient compensation and force control private information trading chooses in other markets (stock market) to earn higher trading profits, nature information in other markets were first released, resulting in convertible bonds market information efficiency relatively low.
This paper give some countermeasures and proposals from the perfect market, trading mechanism, actively make innovations, improve the soft environment for the market and abundant types of investors, set to improve the efficiency of China’s convertible bonds market.
Ⅰ. Improve the trading mechanism to increase the market liquidity of convertible bonds market
ⅰ. Introduce the Market-Maker System. Consideration of our convertible bonds market, the lack of short-term speculators, large trading mechanism to be improved, the serious shortage of market liquidity, it is proposed convertible bonds market in China’s implementation of“e-bidding system for automatic matching mainly by competitive multi-making system, supplemented by business, investors and market makers quote bid to participate in the bilateral mixed auction trading system”. This is purely market-maker system can effectively overcome the high transaction costs, market makers act difficult to monitor defects, while with the pure auction trading system can be compared to a substantial increase in market liquidity of convertible bonds, more efficiently to meet the institutional investors’need for large transactions, reduce transaction costs.
ⅱ. Pilot margin purchase and short sale; increase the profits of investment in convertible bonds. Convertible bonds as a financial derivative products, the design of its provisions, especially the transfer price downward revisions to the terms and provisions of redemption has a strong ability to stop such“protection under the end of the non-capping”can be characterized as a better guarantee that the credit trading mechanism to play a liquidity effect at the same time, to a large extent to avoid the speculative effects.“Beneficial for both parties the right to draw upon similar weight, relative to the lesser of two disadvantages”. Consideration of our convertible bonds market, low proportion of speculative traders, lack of market liquidity resulting in T + 0 rotation trading system failure the fact that the paper should be introduced margin purchase and short sale system in the convertible bonds market. Through the leverage effect of margin to improve utilization of funds from investors to increase the elasticity of supply and demand for convertible bonds, convertible bonds market to achieve a substantial increase in trading volume targets. At the same time, it will be the issuance of convertible bonds into shares in the company of the scope of the experiment margin, allowing investors take advantage of convertible bonds implicit in the call option, through the“short selling the underlying shares, buying convertible bonds,”the arbitrage trading strategies, access to stable return.
ⅲ.“Debt-to-Equity Swap”implementation of the T + 0 settlement system to increase the arbitrage opportunities between convertible bonds market and the stock market, in an active market, trading convertible bonds, while the operation of China’s stock market to provide a“stable mechanism”.
ⅳ. Improve the block trading system; reduce transaction costs of investors. The first is to relax the time limit of large transactions in convertible bonds market; two is to adopt an electronic trading system on block trading.
Ⅱ. Actively carry out the main issue, the conditions of issue and distribution, distribution venues innovation, seize the opportunity to rapidly expand the market size of convertible bonds
ⅰ. Reduce the threshold of convertible bonds issues, enriching the main issue of convertible bonds.
In the current“financing gate”events frequently occurred. The stock market is sluggish. Through the issuance of ways to meet the needs of companies’large sums of money are more difficult, and low-cost additional to the old shareholders will be eroded, while the amount of allotment forms of financing also extremely limited at this time if appropriate to reduce the threshold of convertible bonds issues, these problems can be resolved. For this reason, this paper suggests regulatory authorities to reduce the threshold issue of convertible bonds, not only listed companies can issue, as long as the non-listed companies have good prospects for development should also be actively encouraged to issue; not only the state-owned enterprises can be made, private enterprises should enjoy the same treatment as in particular, some high-tech venture industry, private enterprise, convertible bonds market, should actively support their financing needs.
ⅱ. Relax the convertible financing conditions; rich convertible bonds type of product.
Firstly, reduce the credit rating requirements, release the restriction of convertible bonds interest rates; secondly, abolition of collateral requirements in full, lower issuance cost of convertible bonds; thirdly, simplify the approval procedures of convertible bonds issued, improve distribution’s efficiency; fourthly, regulate the issuance of convertible bonds trading detachable, to meet the needs of investors with different risk preferences.
ⅲ. Means the introduction of private placement and encourage enterprises to attract strategic investors by way of directed the issuance of convertible bonds and achieve the enterprises’merger, at the same time provide a new idea for the reduction of state-owned shares.
ⅳ. Encourage SMEs to issue convertible bonds in the GEM and support the development of high-tech industry.
Ⅲ. Improve the soft environment and enrich the main type of convertible bonds market’s investment
Firstly, nurture the issuing agency and emphasis on the role of credit rating; secondly, establish and improve the convertible bonds market in the interests of investors protection mechanisms; thirdly, strengthen the market’s supervision and protect the interests of investors; fourthly, strengthen information disclosure of the bonds of the main and improve the information efficiency of convertible bonds market.
我国自1991年8月琼能源发行总额3000万元的第一支可转债,到2009年底已有62只普通可转债在沪深两市上市,累计融资规模达到715.88亿元。2010年中国银行400亿可转债融资计划的推出,使得可转债市场迎来了前所未有的发展机遇。然而,当前我国可转债市场却存在着规模严重不足、交投极不活跃、信息传导不畅、定价能力不足等诸多问题。
正是在这种背景下,本文从可转债市场微观结构入手,通过定性分析与定量研究相结合的方式,探究可转债市场价格发现效率偏低、信息传导机制不畅的原因,进而有针对性地提出改善可转债市场效率的对策建议。
通过实证分析发现可转债市场流动性不足是导致以成交量为核心的价格发现机制失效的主要原因,进而提出通过引入融资融券制度、“债转股”实施T+0交收制度以及完善大宗交易制度等方式改善市场流动性的对策,以期推动可转债市场稳步快速发展;通过研究标的股与可转债之间的信息传导机制,检验了我国股票市场与可转债市场之间的信息传导效率,进而提出通过完善市场交易规则加强两个市场之间的套利机会,提高可转债市场的信息发现效率,充分发挥可转债市场平抑股票市场行情波动的稳定器功能;通过研究交易间隔、买卖价差、市场深度、期望价格波动率及交易方向之间的关系,发现我国可转债市场存在机构投资者占比过高、流动性投资者不足的特征;通过对可转债市场买卖价差成分分解,指出对知情交易者信息成本补偿不足、流动性交易者面临的指令执行风险过高是导致可转债市场投资者结构失衡,进而价格和信息发现效率偏低的主要原因。在此基础上,本文建议在可转债市场实施以电子自动撮合的竞价制度为主、以竞争性多元做市商制度为辅、投资者的报价与做市商的双边报价共同参与竞价的混合交易制度。
Opportunities and challenges are survived together, advantages and difficulties are coexisted. That is the description of China’s convertible bonds market development situation.
In response to“sub-prime crisis”on the adverse impact of China’s economy, the State Council issued a 4 trillion of investment-led program at the end of 2008. To implement the“to maintain growth, benefit the people’s livelihood and promote transformation”of the macro-economic objectives, the total credit of financial institutions reached a record of 9.59 trillion in 2009. In early 2010, China’s economy began to reveal inflationary pressures. In order to meet the new situation, to ensure a smooth transition of the economy, loose monetary policy and fiscal policy began to steady out. The banking is facing strong re-financing needs after assessed the commercial banks’deposit-loan ratio and capital adequacy by regulators. The Bank of China in 2010 with 40 billion convertible bond financing disclosure of convertible bonds market ushered in unprecedented opportunities for development. However, there is a serious shortage of the scale of trading in very active, poor signal transduction, lack of pricing capacity and many other issues on the current convertible bonds market in China.
It is against this background, the paper from the convertible bonds market microstructure start, through qualitative analysis and quantitative research methods combined to explore the convertible bonds market, the low efficiency of price discovery, information transmission mechanism of the reasons for poor, thus there are countermeasures and proposals to improve efficiency of convertible bonds market.
Through demonstration study on Investors structure, convertible bonds trading strategy selection and the relationship between the efficiency of market information (Chapter 6), the institutional investors accounted for excessive and liquidity investors accounted for inadequate were found in China’s convertible bonds market. And institutional investors to invest in long-term investment strategy based convertible bonds market has led to apathy, a serious shortage of market liquidity. Because of poor market liquidity, investors cannot use“that is to buy or sell”short-term way of knocking on transactions, leading to T + 0 market of China’s convertible bonds trading mechanisms do not work. The interest of volume as the core of the price discovery mechanism is very difficult to play a role when the liquidity support in convertible bonds market is adequate. This matches up to the conclusions of“Convertible bonds market turnover rate of return volatility effect of asymmetric shocks”(Chapter 4). The demonstration conclusion of“The role of underlying share price in information transmission mechanism of convertible bond market”reveals that convertible bonds market has strong pricing power of independent (Chapter 5). This illustrates that the price discovery mechanism which is based on institutional investors’capacity of value analysis has played a leading role. This also ensures the dominant position of institutional investors in convertible bonds market. Because institutional investors generally have a strong information-gathering, analysis, pricing power, and the pricing method used in pricing model is quite similar to institutional investors accounted for the main body of convertible bonds market in response to new information appears, does not require a great volume on the price of convertible bonds can be adjusted to a reasonable level, thus the performance of the core in the volume of the price discovery mechanism fails, while convertible bond market still has a strong independent pricing power. Through the convertible market, bid-ask spread component analysis (Chapter 7), found that in our convertible bonds market, trading instruction execution risk spreads the proportion accounted for up to 80%, while the informed trader’s information cost compensation (adverse selection costs) accounted for the proportion of price difference of about 6%. As the instruction execution risks are too high, a substantial increase in transaction costs of short-term speculative operations, the result must be the lack of short-term speculative traders in convertible bonds market; while information on the cost of informed traders due to insufficient compensation and force control private information trading chooses in other markets (stock market) to earn higher trading profits, nature information in other markets were first released, resulting in convertible bonds market information efficiency relatively low.
This paper give some countermeasures and proposals from the perfect market, trading mechanism, actively make innovations, improve the soft environment for the market and abundant types of investors, set to improve the efficiency of China’s convertible bonds market.
Ⅰ. Improve the trading mechanism to increase the market liquidity of convertible bonds market
ⅰ. Introduce the Market-Maker System. Consideration of our convertible bonds market, the lack of short-term speculators, large trading mechanism to be improved, the serious shortage of market liquidity, it is proposed convertible bonds market in China’s implementation of“e-bidding system for automatic matching mainly by competitive multi-making system, supplemented by business, investors and market makers quote bid to participate in the bilateral mixed auction trading system”. This is purely market-maker system can effectively overcome the high transaction costs, market makers act difficult to monitor defects, while with the pure auction trading system can be compared to a substantial increase in market liquidity of convertible bonds, more efficiently to meet the institutional investors’need for large transactions, reduce transaction costs.
ⅱ. Pilot margin purchase and short sale; increase the profits of investment in convertible bonds. Convertible bonds as a financial derivative products, the design of its provisions, especially the transfer price downward revisions to the terms and provisions of redemption has a strong ability to stop such“protection under the end of the non-capping”can be characterized as a better guarantee that the credit trading mechanism to play a liquidity effect at the same time, to a large extent to avoid the speculative effects.“Beneficial for both parties the right to draw upon similar weight, relative to the lesser of two disadvantages”. Consideration of our convertible bonds market, low proportion of speculative traders, lack of market liquidity resulting in T + 0 rotation trading system failure the fact that the paper should be introduced margin purchase and short sale system in the convertible bonds market. Through the leverage effect of margin to improve utilization of funds from investors to increase the elasticity of supply and demand for convertible bonds, convertible bonds market to achieve a substantial increase in trading volume targets. At the same time, it will be the issuance of convertible bonds into shares in the company of the scope of the experiment margin, allowing investors take advantage of convertible bonds implicit in the call option, through the“short selling the underlying shares, buying convertible bonds,”the arbitrage trading strategies, access to stable return.
ⅲ.“Debt-to-Equity Swap”implementation of the T + 0 settlement system to increase the arbitrage opportunities between convertible bonds market and the stock market, in an active market, trading convertible bonds, while the operation of China’s stock market to provide a“stable mechanism”.
ⅳ. Improve the block trading system; reduce transaction costs of investors. The first is to relax the time limit of large transactions in convertible bonds market; two is to adopt an electronic trading system on block trading.
Ⅱ. Actively carry out the main issue, the conditions of issue and distribution, distribution venues innovation, seize the opportunity to rapidly expand the market size of convertible bonds
ⅰ. Reduce the threshold of convertible bonds issues, enriching the main issue of convertible bonds.
In the current“financing gate”events frequently occurred. The stock market is sluggish. Through the issuance of ways to meet the needs of companies’large sums of money are more difficult, and low-cost additional to the old shareholders will be eroded, while the amount of allotment forms of financing also extremely limited at this time if appropriate to reduce the threshold of convertible bonds issues, these problems can be resolved. For this reason, this paper suggests regulatory authorities to reduce the threshold issue of convertible bonds, not only listed companies can issue, as long as the non-listed companies have good prospects for development should also be actively encouraged to issue; not only the state-owned enterprises can be made, private enterprises should enjoy the same treatment as in particular, some high-tech venture industry, private enterprise, convertible bonds market, should actively support their financing needs.
ⅱ. Relax the convertible financing conditions; rich convertible bonds type of product.
Firstly, reduce the credit rating requirements, release the restriction of convertible bonds interest rates; secondly, abolition of collateral requirements in full, lower issuance cost of convertible bonds; thirdly, simplify the approval procedures of convertible bonds issued, improve distribution’s efficiency; fourthly, regulate the issuance of convertible bonds trading detachable, to meet the needs of investors with different risk preferences.
ⅲ. Means the introduction of private placement and encourage enterprises to attract strategic investors by way of directed the issuance of convertible bonds and achieve the enterprises’merger, at the same time provide a new idea for the reduction of state-owned shares.
ⅳ. Encourage SMEs to issue convertible bonds in the GEM and support the development of high-tech industry.
Ⅲ. Improve the soft environment and enrich the main type of convertible bonds market’s investment
Firstly, nurture the issuing agency and emphasis on the role of credit rating; secondly, establish and improve the convertible bonds market in the interests of investors protection mechanisms; thirdly, strengthen the market’s supervision and protect the interests of investors; fourthly, strengthen information disclosure of the bonds of the main and improve the information efficiency of convertible bonds market.
引文
2中国新闻网. 09年人民币新增贷款9.59万亿,同比多增4.69万亿[EB/OL]. http://www.chinanews.com.cn/cj/cj-gncj/news/2010/01-15/2075138.shtml,2010-1-15.
1 E.Fama, 1970,“Efficient capital market: A review of theory and empirical work”, Journal of Finance,Vol.5:145-176.
1 T.Roberts, 1977,“A test of option market efficiency using a random-walk valuation model”, Journal of Economics and Business,Vol.12:39-46.
2 E.Fama, 1970,“Efficient capital market: A review of theory and empirical work”, Journal of Finance,Vol.5:145-176.
3张维迎.博弈论与信息经济学[M].上海:上海人民出版社,2004年11月:192-222.
1饶育蕾,张轮.行为金融学[M].上海:复旦大学出版社,2005年7月:41-77.
1周隆斌,余颖.市场微观结构、行为金融与股票价格调整:一个理论框架[J].武汉大学学报,2005(2):261-267.
2江曙霞,郭曄,曾志钊,陈雨.市场微观结构:理论、实践与监管应用[M].北京:中国财政经济出版社,2006:12-13.
1江曙霞,郭曄,曾志钊,陈雨.市场微观结构:理论、实践与监管应用[M].北京:中国财政经济出版社,2006:14-15.
1 Kyle, Albert S., 1985,“Continuous auctions and insider trading”, Econometrica, Vol.53: 1315-1335.
2 Brennan, M., Chordia, T., Subrahmanyam, A., 1996,“A market microstructure and asset pricing: on the compensation for illiquidity in stock returns”, Journal of Financial Economics, Vol. 41:441-464.
3 Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol .47:607-641.
4邵晓阳,苏敬勤,于圣睿.竞价制度下股票价格形成机制研究[J].管理科学,2005(4):52-57.
5王春峰,卢涛,房振明.收盘价格形成机制对中国股票市场质量影响的实证研究[J].当代财经,2007(2):49-55.
1 Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol.47:607-641.
2 Pagano, M., and Ailsa Roell, 1996,“Transparency and liquidity: A comparison of auction anddealer markets with informed trading”, Journal of Finance, Vol. 51: 579-611.
3赵骅,张宗益,杨武.做市商制度下证券价格的形成机制分析[J].管理科学学报,2007(2):90-94.
4 Demsetz, Harold, 1968,“The Cost of Transacting”, Quarterly Journal of Economics,Vol.82:33-53.
5 Stoll, Hans R., 1978,“The Supply of Dealer Services in Securities Markets”, Journal of Finance,Vol.33:1133-1151.
6 Amihud, Yakov, and Haim Mendelson, 1980,“Dealership Market: Market Making withInventory”, Journal of Financial Economics, Vol.8:31-53.
7 O’Hara, M. and G. Oldfield, 1986,“The Microeconomics of Market Making”, Journal ofFinancial and Quantitative Analysis,Vol.21:361-376.
1 Copeland, Thomas C., and Daniel Galai, 1983,“Information Effects of the Bid-Ask Spread",Journal of Finance, Vol.38: 1457-1469.
2 Glosten, Lawrence, and Paul Milgrom, 1985,“Bid, Ask and Transaction Prices in a SpecialistMarket with Heterogeneously Informed Traders”, Journal of Financial Economics, Vol.14:71-100.
3 Easley, David and Maureen O'Hara, 1987,“Price, Trade Size, and Information in SecuritiesMarkets”, Journal of Financial Economics, Vol.19: 69-90.
4 Stoll, Hans R., and Robert E. Whaley, 1990,“Stock Market Structure and Volatility”, Review ofFinancial Studies, Vol.3:37-71.
5 Hedge, and Robert E. Miller, 1994,“Trading Mechanisms and the Components of the Bid-AskSpread”, Journal of Finance, Vol.49(4):1471-1488.
6 Cohen, K., J. Hawawini, G.A.Maier, and R.A.Schwartz, and D.K. Whitcomb, 1983,“EstimatingComponents: A New Approach”, Review of Financial Studies Vol.4:623-656.
7孙培源,施东晖.微观结构、流动性与买卖价差[J].世界经济,2002(4):69-72.
8韩冬,王春峰,岳慧煜.中国股市买卖价差成分分析——基于指令驱动市场的实证研究[J].北京理工大学学报,2006(2):82-85.
9雷觉铭,曾勇.上海股市买卖价差成分分析[J].系统工程,2006(6):74-80.
10 Mcinish,T. and Wood, R. ,1990,”A Transaction Data Analysis of The Variability of CommonStock During 1980-1984”J. Bankis, Vol.14:P99-112.
11 Brockman, P., Chung, D.Y., 1999,“Bid-ask spread components in an order-drivenenvironment”, Journal of Financial Research, Vol22(2):227-246.
12屈文洲,吴世农.中国股市微观结构的特征分析——买卖报价价差模式及影响因素的实证研究[J].经济研究,2002(1):56-63.
1孙培源,施东晖.微观结构、流动性与买卖价差[J].世界经济,2002(4):69-72.
2雷觉铭,曾勇.上海股市买卖价差成分分析[J].系统工程,2006(6):74-80.
3穆启国,吴冲锋.深圳证券交易所买卖价差的构成分析[J].系统工程理论方法应用,2004(3):239-243.
4 Lin, J. Sanger, G. Booth, G., 1995,“Trade size and components of the Bid-ask spread”, Review of Financial Studies, Vol.8:99-134.
5 Madhavan, A. and M. Cheng, 1997,“In search of Liquidity: An Analysis of Upstairs and Downstairs trades”, Review of Financial Studies, Vol.10:175-204.
6 Huang, Y.S.,1999,“The estimation of equilibrium prices under price limits and the examination of the overreaction hypothesis”, Journal of Financial Studies, Vol.7:27-59.
7 Garman, Mark, 1976,“Market Microstructure”, Journal of Financial Economics, Vol.3:257-275.
8 Glosten, L., 1994,“Equilibrium in an electronic open limit order book”, Journal of Finance, Vol.49: 1127-1161.
9 Black,F., 1995,“Equilibrium exchange”, Financial Analysts Journal, Vol.5:67-79.
10 Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread:theory and empirical tests”, Journal of Finance, Vol.44:115-134.
1 Seppi, D., 1997,“Liquidity provision with limit orders and a strategic specialist”, Review of Financial Studies, Vol.10: 103-174.
2 Parlour, C., and D. Seppi, 2003,“Liquidity-Based competition for order flow”, Review of Financial Studies, Vol.16:301-343.
3 Viswanathan, S. and J. Wang, 2002,“Market architecture: limit order books versus dealership marktes”, Journal of Financial Markets, Vol.5:127-168.
4 Nicolas Audet, Toni Gravelle and Jing Yang, 2002,“Alternative trading systems: Does one shoe fit all?,”Working Papers (Bank of Canada), 02-33.
5杜军,胡跃红,刘建江.期货市场交易结构、价格形成机制及其效率研究[J].金融理论与实践,2006(3):3-6.
6彭志文.我国创业板市场交易制度设计[J].经济管理,2009(3):1-6.
1 Hardouvelis, G., 1988,“Margin requirements and stock market volatility,”Federal Reserve Bank of New York Quarterly Review, 80-89. Hardouvelis, G. A., 1990,“Margin requirements, volatility and the transitory component of stock price,”The American Economic Review,Vol. 80:736-762.
2曹桓.证券信用交易与证券交易制度[J].世界经济情况,2008(5):77-80.
3 Lee, S. and Yoo, T., 1993,“Margin regulation and stock market volatility: Further evidence from Japan, Korea and Taiwan,”Pacific-Basin Finance Journal, Vol.1:155-174.
4于华.各国股市交易制度的比较研究[J].深圳证券交易所综合研究所研究报告,1998(0003).
1 Harris,L., 2002,“Trading and exchanges: Market microstructure for practitioners”, Oxford Univesity Press.
2 Grossman, Sanford J, 1992.“The informational role of upstairs and downstairs trading,”Journal of Business, University of Chicago Press, Vol. 65(4): 509-28.
3 Seppi, D., 1990,“Equilibrium block trading and asymmetric information”, Journal of Finance, Vol.45: 73-94.
1沈悦,王书伟.大宗交易制度:机构投资者的特殊安排[J].当代经济科学.2002(5):46-49.
2 Aitken, Michael, Alex Frino and Stuart Sayers, 1994,“The intra-day Impact of block trades on the australian stock exchange”, Asia Pacific Journal of Management, 11(2) (Oct):237-253.
3 Holthausen, R., Leftwich, R., Mayers, D., 1987,“The effect of large block transactions on security prices: A cross-sectional analysis”, Journal of Financial Economics, Vol.19: 237-267.
4 Aitken, Michael, Alex Frino and Stuart Sayers, 1994,“The intra-day Impact of block trades on the australian stock exchange”, Asia Pacific Journal of Management, 11(2) (Oct):237-253.
5 Keim, Donald and Ananth Madhavan, 1996,“The upstairs market for large-block transactions: Analysis and measurement of price effects”, Review of Financial Studies, Vol.9:1-36.
1 Madhavan, A. and M. Cheng, 1997,“In search of Liquidity: An analysis of upstairs and downstairs trades”, Review of Financial Studies, Vol.10: 175-204.
2 Booth, G., Lin, J., Martikainen, T. and Tse, Y., 2001,“Trading and pricing in upstairs and downstairs stock markets”, Review of Financial Studies, Vol.15:1111-1135.
3 Bessembinder, Hendrik and Kumar Venkataraman, 2002,“Does an electronic stock exchange need an upstairs market?”, SSRN, FEN CapMkts-Micro WPS Vol.5:146-167.
1 Flood, Mark D, Ronald Huisman, Kees G. Koedijk, and Ronald J. Mahieu, 1999,“Quote disclosure and price discovery in multiple-dealer financial markets”, Review of Financial Studies, Vol.12:37-59.
2 Madhavan, Ananth, 1996,“Security prices and market transparency”, Journal of Financial Intermediation, Vol.5: 255-283.
3 Pagano, M., and Ailsa Roell, 1996,“Transparency and liquidity: A comparison of auction and dealer markets with informed trading”, Journal of Finance, Vol. 51: 579-611.
4 Madhavan, Ananth, 1995,“Consolidation, fragmentation and the disclosure of trading information”, Review of Financial Studies, Vol8:579-603.
5 Flood, M.D., R.Huisman, K.G.Koedijk and R.J. Mahieu, 1997,”Post–trade transparency in multiple dealer financial markets”, LIFE Working Paper.
1 Lyons, Richard, 1995,“Test of microstructure hypotheses in the foreign exchange market”, Journal of Financial Economics, Vol.39:321-351.
2 Gemmill, G., 1994,“Transparency and liquidity: A study of block trades on the London Stock Exchange under different publication rules”, Journal of Finance, Vol.51:1765-1790.
3 O’Hara, M., 1995,“Market Microstructure Theory”, Basil Blackwell, Cambridge Mass, pages:651-673.
4 Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol. 47:607-641.
5 Flood, Mark D, Ronald Huisman, Kees G. Koedijk, and Ronald J. Mahieu, 1999,“Quote disclosure and price discovery in multiple-dealer financial markets”, Review of Financial Studies, Vol.12:37-59.
1 Bloom field, R. and M. O'Hara, 2000,“Can transparent market survive?”, Journal of Financial Economics, Vol.55:425-459.
2张程睿.公司信息披露质量对投资者交易行为的影响[J].南方经济,2008(4):53-64.
3 Black,F.. 1976,“Studies of stock market volatility changes”. Proceedings of the American Statistical Association Business and Economic Statistics Section, 177-181.
4 Clark, P.K..1973,“A subordinated stochastic process model with finite variance for speculative prices”. Econometrica, 41:135-155.
5 Andersen,T.G. 1996,“Return volatility and trading volume: An information flow interpretation of stochastic volatility”. The Journal of Finance, 51:169-204.
6 Craig,A.D. 2001,“Good news, bad news and GARCH effects in stock return data”. Journal of Applied Economics, 4(2):313-327.
1徐小华,何佳,吴冲锋.我国债券市场价格非对称性波动研究[J].金融研究,2006(12):14-22.
2施红俊,陈伟忠.波动率持续性基于信息到达过程的成交量解释[J].同济大学学报,2004(5):690-695.
3周林,施红俊,陈伟忠.波动率的持续性:基于GARCH模型的成交量解释[J].统计与信息论坛,2005(3):55-62.
4 Benjamin Graham, 1942,“The Intelligent Investor”, HarperCollins Publishers.
5 Steeley, J.M., and F. Ahmad, 2002,“The Effects of Safe-haven status on the Gilt-edged market”, Journal of Bond Trading and Management, Vol.1:120-148.
6 Fair, Ray C., 2001,“Shock effects on stocks, bonds, and exchange rates”, Journal of International Money and Finance, Elsevier, Vol.22(3):307-341.
7 Ling Fengli, 2002,“The correlation of stock and bond returns—Theory and empirical evidence”, Yale Working Paper, No.14, October.
1王璐.股市与债市波动溢出效应的机理研究——基于金融资源配置效率视角[J].广东金融学院学报,2008(9):65-71.
2何诚颖,卢宗辉,何兴强,柴俊.中国股票市场逆向选择成本研究[J].经济研究,2009(2):68-80.
3姚宁.中国股市完全信息交易成本的实证分析[J].北京航空航天大学学报,2008(6):1-4.
4李广川,刘善存,邱菀华.中国证券市场成交指令积极性及成交持续期的影响因素研究[J].系统工程理论与实践,2007(10):11-21.
5 Debreu, G., 1959,“Theory of Value”, John Wiley.
6 Lintner, J.,1965,“Security prices, risk and maximal gain from diversification”, Journal ofFinance, Vol.20:587-615.
7 Fama, E. F., 1970,“Efficient Capital Markets: A Review of theory and empirical work”, Journalof Finance,Vol. 25:383-417.
8 Grossman, S., 1976,“On the efficiency of competitive stock markets where traders have diverseinformation”, Journal of Finance, Vol.31:573-585.
1 Grossman, S., and J. Stiglitz, 1980,“On the impossibility of informationally efficient markets”, Vol.70:393-408.
2 Kyle, Albert S., 1985,“Continuous auctions and insider trading”, Econometrica, Vol.53:1315-1335.
3 Glosten, Lawrence, and Paul Milgrom, 1985,“Bid, ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economics, Vol.14:71-100.
4 Bagehot, Walter, 1971,“The only game in town”, Financial Analysts, Vol.27: 31-53.
5 Kyle, Albert S., 1985,“Continuous auctions and insider trading”, Econometrica, Vol.53:1315-1335.
6 Holden, C.W. and A. Subrahmanyam, 1992,“Long-lived private information and imperfect competition”, Journal of Finance, Vol.47:247-270.
1 Admati, AnatR., and Pfleiderer, Paul., 1988,“A theory of intraday patterns: Volume and price variability”, Review of Financial Studies, Vol.1:3-40. Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and conquer: A theory of intraday and Day-of-the-week mean effects”, Review of Financial Studies, Vol.2:189-224.
2 Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and conquer: A theory of intraday and Day-of-the-week mean effects”, Review of Financial Studies, Vol.2:189-224.
1 D Easley, M O’Hara,1992,”Time and process of security price adjustment”,Journal of Finance, Vol.47:577-606.
2 O’Hara, 1995,“Market microstructure theory”, Cambridge, MA: Blackwell Publishers.
3 Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
4 Engle, R.F., 2000,“The econometrics of ultra-high frequency data”, Econometrica, Vol.68(1):1-22.
5 A Dufour, Engle, R.F., 2000,“Time and the price impact of a trade”, The Journal of Finance, 55:2467-2498.
6 A Cellier., 2003,“Duration-Volume-Volatility: A VAR GARCH model”, Working paper of JEREM.
7 S Manganelli., 2005,“Duration, volume and volatility impact on trades”, Journal of Financial markets, Vol.5: 377-399.
1苏冬蔚.噪声交易与市场质量[J].经济研究,2008(9):82-95.
2宋冬林,毕子男,沈正阳.机构投资者与市场波动性关系的研究[J].经济科学,2007(3):97-103.
3祁斌,黄明,陈卓思.机构投资者与股市波动性[J].金融研究,2006(9):54-64.
4李婷,王嘉承.投资者构成对市场流动性的影响研究[J].经济论坛,2009(14):76-78.
5许香存,李平,曾勇.交易前透明度、市场深度和交易者构成[J].系统管理学报,2008(6):273-277.
1陈守红.可转换债券投融资——理论与实务[M].上海财经大学出版社,2005年10月:7-15.
1 Garman, Mark, 1976,“Market Microstructure”, Journal of Financial Economics, Vol.3: 257-275.
2 O’Hara, M., 1995, Market Microstructure Theory, Basil Blackwell, Cambridge Mass.
3戴国强,吴林祥.金融市场微观结构理论[M].上海:上海财经大学出版社,1999.
4杨之曙.应用市场微观结构理论构建中国证券市场实时监管系统[J].金融科学,2000(3):37-45.
5郭晔.“有限理性”框架下证券交易监管研究[D].厦门大学,2002:21-30.
1史永东,何海江,沈德华.中国股市有效性动态变化的实证研究[J].系统工程理论与实践,2002(12):88-92.
1中信建投.可转债市场月报[EB/OL]. http://research.csc.com.cn/,2009-10-20.
2中信建投.可转债市场月报[EB/OL]. http://research.csc.com.cn/,2009-10-20.
3万点资讯.可转债市场发展瓶颈还是机遇[EB/OL]. http://www.windin.com/,2010-1-10.
1中国资金管理网.企业发行可转债的风险分析[EB/OL].http://www.treasurer.org.cn/.
1温家宝总理十一届全国人大三次会议政府工作报告.完善多层次资本市场体系[EB/OL]. http://www.p5w.net/stock/news/zonghe/201003/t2854568.htm,2010-3-6.
2全景网.完善多层次资本市场体系[EB/OL]. http://www.p5w.net/stock/news/zonghe/201003/t2854568.htm,2010-3-6.
1深圳证券交易所综合研究所.美国证券市场相关制度[R].2008年4月.
1深圳证券交易所综合研究所.美国证券市场相关制度[R].2008年4月.
1深圳证券交易所综合研究所.香港证券市场相关制度[R].2008年4月.
1杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
2张峥,唐国力,刘力.投资者群体差异与可转债折价[J].金融研究,2006(11):1-16.
1 Johansen, Juselius, 1988, Statistical analysis of co-integration vectors. Journal of Economic Dynamics and Control 12, 231-254.
1 Kasa, 1992, Common stochastic trends in international stock markets, Journal of Monetary Economics, 29:95-124.
2 Cheung, Lai, 1993, Finite-sample sizes of Johansen’s likelihood ratio tests for co-integration, Oxford Bulletin of Economics and Statistics 55(3), 313-328.
3 Pesaran, Shin, 2002, Long-run structural modeling, Econometric Reviews, 21(1):49-87.
1杜莉,王宏来.可转债市场成交量对收益率波动的非对称冲击效应研究[J].管理世界,2009(8):169-170.
2杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
1 Bollerslev Tim,Robert F.Engle and Daniel B.Nelson.. 1994.“ARCH models in chapter 49 of handbook of econometrics”,Vol.4,North-Holland.
1 Audet N. Gravelle T. Yang J., 2002,“Alternative trading systems: Does one shoe fit all”, Working paper of Bank of Canda.
1 A R Admati, P Pfleiderer., 1988,“A theory of intraday patterns: Volume and price variability”, Review of Financial Studies, Vol.1(1): 3-40.
3 Kyle, Albert S., 1985,“Continuous Auctions and Insider Trading”, Econometrica, Vol.53:1315-1335.
1 Holden, C.W. and A. Subrahmanyam, 1992,“Long-Lived Private Information and Imperfect Competition”, Journal of Finance, Vol.47:247-270.
2 Admati, AnatR.,and Pfleiderer, Paul., 1988,“A Theory of Intraday Patterns: Volume and Price Variability”, Review of Financial Studies, Vol.1:3-40. Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects”, Review of Financial Studies, Vol.2:189-224.
1 Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
1 L. Bauwens, and P. Giot., 2000,“The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks”, Annales Economie Statistique, Vol.60:117-149.
2 L. Bauwens, and P. Giot., 2000,“The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks”, Annales Economie Statistique, Vol.60:117-149.
1 Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
1杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
1 A. Dufour, R.F.Engle., 2000,“Time and the price impact of a trade”,The Journal of Finance, Vol.55:2467-2498.
1 Nicolas Audet, Toni Gravelle and Jing Yang, 2002,“Alternative Trading Systems: Does One Shoe Fit All?,”Working Papers (Bank of Canada), 02-33.
1 Glosten, Lawrence, and Paul Milgrom, 1985,“Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics, Vol.14:71-100.
1 Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread: theory and empirical tests”, Journal of Finance, Vol.44:115-134.
1 Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread: theory and empirical tests”, Journal of Finance, Vol.44:115-134.
1 George, T.J., G.Kaul, and M. Nimalendran, 1991,“Estamation of the bid-ask spread and its components: a new approach”, Review of Financial Studies, Vol.4:623-656.
1 Lin, J. Sanger, G. Booth, G., 1995,“Trade size and components of the Bid-ask spread”, Review of Financial Studies, Vol.8:99-134.
1 Madhavan, A., M. Richardson, and M. Roomans, 1997,“Why do security prices change? A transaction-level analysis of NYSE stocks”, Review of Financial Studies, Vol.10:1035-1064.
1 Huang, R. and H. Stoll, 1997,“The components of the bid-ask spread: A general approach”, Review of Financial Studies, Vol.10:995-1034.
1黄德龙,裴建锁,杨晓光.我国债券市场微观结构的现状、问题和对策[R].CFEF研究报告,2005年4月.
1杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
[1] A Cellier., 2003,“Duration-Volume-Volatility:A VAR GARCH model”, Working paper of JEREM.
[2] A Dufour, Engle, R.F., 2000,“Time and the price impact of a trade”, The Journal of Finance, 55:2467-2498.
[3] A. Dufour, R.F.Engle., 2000,“Time and the price impact of a trade”,The Journal of Finance, Vol.55:2467-2498.
[4] Admati, A.R., and Pfleiderer, Paul., 1988,“A theory of intraday patterns:Volume and price variability”, Review of Financial Studies, Vol.1:3-40.
[5] Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and conquer:A theory of intraday and Day-of-the-week mean effects”, Review of Financial Studies, Vol.2:189-224.
[6] Aitken, Michael, Alex Frino and Stuart Sayers, 1994,“The intra-day Impact of block trades on the australian stock exchange”, Asia Pacific Journal of Management, 11(2) (Oct):237-253.
[7] Amihud, Yakov, and Haim Mendelson, 1980,“Dealership Market:Market Making with Inventory”, Journal of Financial Economics, Vol.8:31-53.
[8] Amihud, Yakov, and Haim Mendelson, 1987,“Trading Mechanisms and Stock Returns:An Empirical Investigation”, Journal of Finance Vol.46:533-553.
[9] Amihud, Yakov, and Haim Mendelson, 1991,“Volatility Efficiency and Trading:Evidence from the Japanese Stock Market”, Journal of Finance Vol.46:1765-1790.
[10] Amihud, Yakov, Haim Mendelson and B.Lauterbach, 1997,“Market Microstructure and Securities Values:Evidence from the Tel Aviv Stock Exchange”, Journal of Financial Economics Vol.45:365-390.
[11] Andersen,T.G. 1996,“Return volatility and trading volume:An information flow interpretation of stochastic volatility”. The Journal of Finance, 51:169-204.
[12] Audet N. Gravelle T. Yang J., 2002,“Alternative trading systems:Does one shoe fit all”, Working paper of Bank of Canda.
[13] Bagehot, Walter, 1971,“The only game in town”, Financial Analysts,Vol.27:31-53.
[14] Barclay, M.J. and C.G. Holderness, 1992, The Law and Large-Block Trades, Journal of Law and Economics Vol.35:265-294.
[15] Barclay, M.J. and J.B. Warner, 1993,“Stealth Trading and Volatility:Which Trades Move Prices?”Journal of Financial Economics Vol.34:281-306.
[16] Benjamin Graham, 1942,“The Intelligent Investor”, HarperCollins Publishers.
[17] Bessembinder, Hendrik and Kumar Venkataraman, 2002,“Does an electronic stock exchange need an upstairs market?”, SSRN, FEN CapMkts-Micro WPS Vol.5:146-167.
[18] Biais, B., P. Hillion and C. Spatt, 1995,“An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse”, Journal of Finance Vol.50:1655-1689.
[19] Biais, Bruno, Larry Glosten and Chester Spatt, 2005,“Market Microstructure:A Survey of Microstructures, Empirical Results, and Policy Implications”, Journal of Financial Markets Vol.8:217-264.
[20] Black,F., 1995,“Equilibrium exchange”, Financial Analysts Journal, Vol.5:67-79.
[21] Black,F.. 1976,“Studies of stock market volatility changes”. Proceedings of the American Statistical Association Business and Economic Statistics Section, 177-181.
[22] Bloom field, R. and M. O'Hara, 2000,“Can transparent market survive?”, Journal of Financial Economics, Vol.55:425-459.
[23] Bollerslev Tim,Robert F.Engle and Daniel B.Nelson.. 1994.“ARCH models in chapter 49 of handbook of econometrics”,Vol.4,North-Holland.
[24] Booth, G., Lin, J., Martikainen, T. and Tse, Y., 2001,“Trading and pricing in upstairs and downstairs stock markets”, Review of Financial Studies, Vol.15:1111-1135.
[25] Brennan, M., Chordia, T., Subrahmanyam, A., 1996,“A market microstructure and asset pricing:on the compensation for illiquidity in stock returns”, Journal of Financial Economics, Vol. 41:441-464.
[26] Brockman, P., Chung, D.Y., 1999,“Bid-ask spread components in an order-driven environment”, Journal of Financial Research, Vol22(2):227-246.
[27] Calcagno, R.,and S. Lovo, 1988,“Bid-Ask Price Competition with AsymmetricInformation between Market Makers”, Review of Financial Studies Vo l.15:11 11-1135.
[28] Chan, K.,P. Chung, and H. Johnson, 1993, Why Options Prices Lag Stock Prices:A Trading-Based Explanation”, Journal of Finance Vol.48:1957-1968.
[29] Chan, Louis and Josef Lakonishok, 1993,“Institutional Trades and Intraday Stock Price Behavior”, Journal of Financial Economics Vol.33:173-199.
[30] Chan, Louis and Josef Lakonishok, l995,“The Behavior of Stock Prices around Institutional Trades”, Journal of Finance Vol.50:1147-1174.
[31] Chen, H.C. and J. Rfitter, 2000,“The Seven Percent Solution”, Journal of Finance Vol.55:1105-1131.
[32] Cheung, Lai, 1993, Finite-sample sizes of Johansen’s likelihood ratio tests for co-integration, Oxford Bulletin of Economics and Statistics 55(3), 313-328.
[33] Christie, W., J. Harris and P. Schultz, 1994,“Why did NASDAQ Market Makers Stop Avoiding odd-Eighth Quotes?”, Journal of Finance Vol.49:1841-1860.
[34] Clark, P.K..1973,“A subordinated stochastic process model with finite variance for speculative prices”. Econometrica, 41:135-155.
[35] Cohen, K., J. Hawawini, G.A.Maier, and R.A.Schwartz, and D.K. Whitcomb, 1983,“Estimating Components:A New Approach”, Review of Financial Studies Vol.4:623-656.
[36] Copeland, Thomas C., and Daniel Galai, 1983,“Information Effects of the Bid-Ask Spread”, Journal of Finance, Vol.38:1457-1469.
[37] Cornell, B. and E. Sirri, 1992,“The Reaction of Investors and Stock Prices to Insider Trading”, Journal of Finance Vol.47:1031-1060.
[38] Coughenour, J. and K. Shastri, 1999,“Symposium on Market Microstructure:A Review of the Empirical Evidence”, Financial Review Vol.34:1-28.
[39] Craig,A.D. 2001,“Good news, bad news and GARCH effects in stock return data”. Journal of Applied Economics, 4(2):313-327.
[40] D Easley, M O’Hara,1992,”Time and process of security price adjustmen t”,Journal of Finance, Vol.47:577-606.
[41] Debreu, G., 1959,“Theory of Value”, John Wiley.
[42] Demsetz, Harold, 1968,“The Cost of Transacting”, Quarterly Journal of Economics, Vol.82:33-53.
[43] Dufour, A., Engle, R., 2000,“Time and the Price Impact of a Trade”, Journal ofFinance Vol.55:2467-2498.
[44] Dutta, P. and A. Madhavan, 1997,“Competition and Collusion in Dealer Markets”, Journal of Finance Vol.52:245-276.
[45] E.Fama, 1970,“Efficient capital market:A review of theory and empirical work”, Journal of Finance,Vol.5:145-176.
[46] Easley, David and Maureen O'Hara, 1987,“Price, Trade Size, and Information in Securities Markets”, Journal of Financial Economics, Vol.19:69-90.
[47] Easley, David and Maureen O'Hara, 1992,“Time and the Process of Security Price Adjustment”, Journal of Finance Vol.47:577-606.
[48] Engle, R.F., 2000,“The econometrics of ultra-high frequency data”, Econometrica, Vol.68(1):1-22.
[49] Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration:A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
[50] Fair, Ray C., 2001,“Shock effects on stocks, bonds, and exchange rates”, Journal of International Money and Finance, Elsevier, Vol.22(3):307-341.
[51] Fama, E. F., 1970,“Efficient Capital Markets:A Review of theory and empirical work”, Journal of Finance,Vol. 25:383-417.
[52] Flood, M.D., R.Huisman, K.G.Koedijk and R.J. Mahieu, 1997,”Post–trade transparency in multiple dealer financial markets”, LIFE Working Paper.
[53] Flood, Mark D, Ronald Huisman, Kees G. Koedijk, and Ronald J. Mahieu, 1999,“Quote disclosure and price discovery in multiple-dealer financial markets”, Review of Financial Studies, Vol.12:37-59.
[54] Forster, Margaret and Thomas George, 1996,“Pricing Effects and the NYSE Open and Close:Evidence from Internationally Cross-Listed Stocks”, Journal of Financial Intermediation Vol.5:99-126.
[55] French, K. and R. Roll, 1986,“Stock Return Variances:the Arrival of Informati on and the Reaction of Traders”, Journal of Financial Economics Vol.17:5-26.
[56] Garman, Mark, 1976,“Market Microstructure”, Journal of Financial Economics, Vol.3:257-275.
[57] Gemmill, G., 1994,“Transparency and liquidity:A study of block trades on the London Stock Exchange under different publication rules”, Journal of Finance, Vol.51:1765-1790.
[58] George, T.J., G.Kaul, and M. Nimalendran, 1991,“Estamation of the bid-ask spread and its components:a new approach”, Review of Financial Studies, Vol.4:623-656.
[59] Glosten, L. and L. Harris, 1988,“Estimating the Components of the Bid-Ask Spread”, Journal of Financial Economics Vol.21:123-142.
[60] Glosten, L., 1994,“Equilibrium in an electronic open limit order book”, Journal of Finance, Vol.49:1127-1161.
[61] Glosten, L., and P. Milgrom, 1985,“Bid, ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economics, Vol.14:71-100.
[62] Grossman, S., 1976,“On the efficiency of competitive stock markets where traders have diverse information”, Journal of Finance, Vol.31:573-585.
[63] Grossman, S., 1992,“The Information role of Upstairs and Downstairs Markets”, Journal of Business Vol.65:509-529.
[64] Grossman, S., and J. Stiglitz, 1980,“On the impossibility of informationally efficient markets”, Vol.70:393-408.
[65] Grossman, Sanford J, 1992.“The informational role of upstairs and downstairs trading,”Journal of Business, University of Chicago Press, Vol. 65(4):509-28.
[66] Hansch, Oliver, Narayan Y. Naik, and S. Viswanathan, 1998,“Do Inventories Matter in Dealership Markets:Evidence from the London Stock Exchange”, Journal of Finance Vol.53:1623-1656.
[67] Hardouvelis, G. A., 1990,“Margin requirements, volatility and the transitory component of stock price,”The American Economic Review,Vol. 80:736-762.
[68] Hardouvelis, G., 1988,“Margin requirements and stock market volatility,”Federal Reserve Bank of New York Quarterly Review, 80-89.
[69] Harris, L., 1986,“A Transactions Data Study of Weekly and Intradaily Patters in Stock Prices”, Journal of Financial Economics Vol.16:99-117.
[70] Harris, L., 1999, Trading and Exchanges, Mimes, University of Southern California.
[71] Harris,L., 2002,“Trading and exchanges:Market microstructure for practitio ners”, Oxford Univesity Press.
[72] Hasbrouck J., 2007,“Empirical Market Microstructure:The institutions,econ omics and econometrices of securities trading”, Oxford University Press.
[73] Hasbrouck, J., 1988,“Trades, Quotes, Inventories, and Information”, Journal of Financial Economics Vol.22:229-252.
[74] Hasbrouck, J., Sofianos, G., 1993,“The Trades of Market Makers:An Empirical Analysis of NYSE Specialists”, Journal of Finance Vol.48:1565-1593.
[75] Hedge, and Robert E. Miller, 1994,“Trading Mechanisms and the Components of the Bid-Ask Spread”, Journal of Finance, Vol.49(4):1471-1488.
[76] Ho, T., Macris, R., 1984,“Dealer Bid-Ask Quotes and Transaction Prices:An Empirical Study of some AMEX Options”, Journal of Finance Vol.39:23-45.
[77] Ho, Thomas and Hans R. Stoll, 1981,“Optimal Dealer Pricing under Transactions and Return Uncertainty”, Journal of Financial Economics Vol.9:47-73.
[78] Ho, Thomas and Hans R. Stoll, 1983,“The Dynamics of Dealer Markets under Competition”, Journal of Finance Vol.38:1053-1074.
[79] Ho, Thomas, S.Y Schwartz, A. Robert and K. Whitcomb, 1985,“The Trading Decision and Market Clearing under Transaction Price Uncertainty”, Journal of Finance Vol.40:21-42.
[80] Holden, C.W. and A. Subrahmanyam, 1992,“Long-lived private information and imperfect competition”, Journal of Finance, Vol.47:247-270.
[81] Holthausen, R., Leftwich, R., Mayers, D., 1987,“The effect of large block transactions on security prices:A cross-sectional analysis”, Journal of Financial Economics, Vol.19:237-267.
[82] Hong, Gwangheon and Arthur Warga, 2000,“An Empirical Study of Bond Market Transactions”, Financial Analysts Journal Vol.56:32-46.
[83] Huang, R. and H. Stoll, 1997,“The components of the bid-ask spread:A general approach”, Review of Financial Studies, Vol.10:995-1034.
[84] Huang, Roger D. and Hans R. Stoll, 1996,“Dealer Versus Auction Markets:A Paired Comparison of Execution Costs on NASDAQ and the NYSE”, Journal of Financial Economics Vol.41:313-357.
[85] Huang, Y.S.,1999,“The estimation of equilibrium prices under price limits and the examination of the overreaction hypothesis”, Journal of Financial Studies, Vol.7:27-59.
[86] Jain, P., Joh, G., 1988.“The Dependence Between Hourly Prices and Trading Volume”, Journal of Financial and Quantitative Analysis Vol.23:269-283.
[87] Johansen, Juselius, 1988, Statistical analysis of co-integration vectors. Journal of Economic Dynamics and Control 12, 231-254.
[88] Kandel, E., and L. Marx, 1999,“NASDAQ Market Structure and Spread Patterns”, Journal of Financial Economics Vol.51:85-102.
[89] Kasa, 1992, Common stochastic trends in international stock markets, Journal of Monetary Economics, 29:95-124.
[90] Keim, Donald and Ananth Madhavan, 1996,“The upstairs market for large-block transactions:Analysis and measurement of price effects”, Review of Financial Studies, Vol.9:1-36.
[91] Keim, Donald and Ananth Madhavan, 1997,“Transaction Costs and Investment Performance:An Inter-exchange Analysis of Institutional Equity Trades”, Journal of Financial Economics Vol.46:265-292.
[92] Keim, Donald and Ananth Madhavan, 1998,“The Costs of Institutional Equity Trades:An Overview”, Financial Analysts Journal Vol.54:50-69.
[93] Kraus, A., Stoll, H., 1972,“Price impacts of block trading on the New York stock exchange”, Journal of Finance Vol.27:569-588.
[94] Kyle, Albert S., 1984,“Market Structure, Information, Futures Markets and Price Formation”, in International Agricultural Trade:Advanced Reading in Price Formation, Market Structure and Price Instability, ed. By G. Story, A. Schmitz and A. Sarris, Westview Press, Boulder and London.
[95] Kyle, Albert S., 1985,“Continuous Auctions and Insider Trading”, Econometrica, Vol.53:1315-1335.
[96] Kyle, Albert S., 1989,“Informed Speculation with Imperfect Competition”, Review of Economic Studies Vol.56:317-355.
[97] L. Bauwens, and P. Giot., 2000,“The logarithmic ACD model:An application to the bid-ask quote process of three NYSE stocks”, Annales Economie Statistique, Vol.60:117-149.
[98] Lee, S. and Yoo, T., 1993,“Margin regulation and stock market volatility:Fu rther evidence from Japan, Korea and Taiwan,”Pacific-Basin Finance Journal, Vol.1:155-174.
[99] Lewis, C., Rogalski, R., Seward, J.. 1998,“Agency problems, information asymmetries and convertible debt security design”, Journal of Financial Intermediation Vol.7:32-59.
[100] Lewis, C., Rogalski, R.,Seward, J.. 2003,“Industry conditions, Growth opportunities and market reactions to convertible debt financing decisions”, Journal of Banking and Finance Vol.27:153-181.
[101] Lin, J. Sanger, G. Booth, G., 1995,“Trade size and components of the Bid-ask spread”, Review of Financial Studies, Vol.8:99-134.
[102] Ling Fengli, 2002,“The correlation of stock and bond returns—Theory and empirical evidence”, Yale Working Paper, No.14, October.
[103] Lintner, J.,1965,“Security prices, risk and maximal gain from diversification”, Journal of Finance, Vol.20:587-615.
[104] Loeb, T.F., 1983,“Trading Cost:the Critical Link between Investment Information and Results”, Financial Analysts Journal Vol.39:39-43.
[105] Lyons, Richard, 1995,“Test of microstructure hypotheses in the foreign exchan gemarket”, Journal of Financial Economics, Vol.39:321-351.
[106] Madhavan , A. and S. Smidt, 1991,“A Bayesian Model of Intraday Specialist Pricing”, Journal of Financial Economics Vol.30:99-134.
[107] Madhavan, A. and M. Cheng, 1997,“In search of Liquidity:An Analysis of Upstairs and Downstairs trades”, Review of Financial Studies, Vol.10:175-204.
[108] Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol. 47:607-641.
[109] Madhavan, A., M. Richardson, and M. Roomans, 1997,“Why do security prices change? A transaction-level analysis of NYSE stocks”, Review of Financial Studies, Vol.10:1035-1064.
[110] Madhavan, Ananth, 1995,“Consolidation, fragmentation and the disclosure of trading information”, Review of Financial Studies, Vol8:579-603.
[111] Madhavan, Ananth, 1996,“Security prices and market transparency”, Journal of Financial Intermediation, Vol.5:255-283.
[112] Madhavan, Ananth, 2000,“Market Microstructure:A survey”, Journal of Financial Markets Vol.3:205-258.
[113] Manaster, Steven and Steve C. Mann, 1996,“Life in the Pits:Competitive Market Making and Inventory Control”, Review of Financial Studies Vol.9:953-975.
[114] Mayers, D..1998,“Why firms issue convertible bonds:the matching of financial and real investment options”, Journal of Financial Economics Vol.47:83-102.
[115] Mcinish,T. and Wood, R. ,1990,”A Transaction Data Analysis of The Variability of Common Stock During 1980-1984”J. Bankis, Vol.14:P99-112.
[116] Mendelson, H., 1982,“Market Behavior in a Clearing House”, Econometrica Vol.50:1505-1524.
[117] Meulbroek, L.K., 1992,“An Empirical Analysis of Insider Trading and the Stock Market”, Journal of Finance Vol.47:1661-1669.
[118] Nicolas Audet, Toni Gravelle and Jing Yang, 2002,“Alternative Trading Systems:Does One Shoe Fit All?,”Working Papers (Bank of Canada), 02-33.
[119] O’Hara, M. and G. Oldfield, 1986,“The Microeconomics of Market Making”, Journal of Financial and Quantitative Analysis,Vol.21:361-376.
[120] O’Hara, M., 1995,“Market Microstructure Theory”, Basil Blackwell, Cam brid ge Mass, pages:651-673.
[121] Pagano, M., and Ailsa Roell, 1996,“Transparency and liquidity:A comparison of auction and dealer markets with informed trading”, Journal of Finance, Vol. 51:579-611.
[122] Parlour, C., and D. Seppi, 2003,“Liquidity-Based competition for order flow”, Review of Financial Studies, Vol.16:301-343.
[123] Pesaran, Shin, 2002, Long-run structural modeling, Econometric Reviews, 21(1):49-87.
[124] Porter, D. and D. Veaver, 1998,“Transparency and Liquidity:Should U.S. Markets be more Transparent?”, Working Paper, Marquette University.
[125] Reiss, P.C. and I.M. Werner, 1998,“Does Risk Sharing Motivate Inter-dealer Trading?”, Journal of Finance Vol.53:1657-1703.
[126] Roll, R., 1984,“A Simple Implicit Measure of the Effective Bid-Ask Spread”, Journal of Finance Vol.39:1127-1139.
[127] S Manganelli., 2005,“Duration, volume and volatility impact on trades”, Journ al of Financial markets, Vol.5:377-399.
[128] Seppi, D., 1990,“Equilibrium block trading and asymmetric information”, Journal of Finance, Vol.45:73-94.
[129] Seppi, D., 1997,“Liquidity provision with limit orders and a strategic specialist”, Review of Financial Studies, Vol.10:103-174.
[130] Smidt, S., 1971,“Which Road to an Efficient Stock Market:Free Competition or Regulated Monopoly?”, Financial Analysts Journal Vol.27:64-69.
[131] Smidt, S., 1979,“Continuous vs. Intermittent Trading on Auction Markets”, Journal of Financial and Quantitative Analysis Vol.14:837-886.
[132] Steeley, J.M., and F. Ahmad, 2002,“The Effects of Safe-haven status on the Gilt-edged market”, Journal of Bond Trading and Management, Vol.1:120-148.
[133] Stein, J.C., 1992,“Convertible bonds as backdoor equity financing”, Journal of Financial Economics Vol.32:3-21.
[134] Stoll, Hans R., 1978,“The Supply of Dealer Services in Securities Markets”, Journal of Finance, Vol.33:1133-1151.
[135] Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread:theory and empirical tests”, Journal of Finance, Vol.44:115-134.
[136] Stoll, Hans R., and Robert E. Whaley, 1990,“Stock Market Structure and Volatility”, Review of Financial Studies, Vol.3:37-71.
[137] T.Roberts, 1977,“A test of option market efficiency using a random-walk valuation model”, Journal of Economics and Business,Vol.12:39-46.
[138] Vijh, Anand, 1990,“Liquidity of the CBOE Equity Options”, Journal of Finance Vol.45:1157-1179.
[139] Viswanathan, S. and J. Wang, 2002,“Market architecture:limit order books versus dealership marktes”, Journal of Financial Markets, Vol.5:127-168.
[140] Wood, R., T. McInish and K. Ord, 1985,“An Investigation of Transactions Data for NYSE Stocks”, Journal of Finance Vol.40:723-741.
[1]白娜,章翼丹.中美可转债市场的比较及对中国的启示[J].浙江金融,2007(7):41-42.
[2]包郭平,应益荣.金融市场中高频数据的分析方法[J].五邑大学学报,2007(4):71-75.
[3]曹桓.证券信用交易与证券交易制度[J].世界经济情况,2008(5):77-80.
[4]陈保华.交易机制对股价行为的影响--对中国股票市场的实证检验[J].经济研究,2001(5):69-73.
[5]陈斌,李信民,杜要忠.中国股市个人投资者状况调查[J].深圳证券交易所综合研究所研究报告,2002(0055).
[6]陈敏,王国明,吴国富,蒋学雷.中国证券市场的ACD-GARCH模型及其应用[J].统计研究,2003(11):60-62.
[7]陈守红.可转债投融资--理论与实务[M].上海:上海财经大学出版社,2005.
[8]陈述云,蒋永穆.加大金融创新力度,发展可转债市场[J].理论与改革,2003(3):64-67.
[9]戴国强,吴林祥.金融市场微观结构理论[M].上海:上海财经大学出版社,1999.
[10]杜金岷,黄勇民.我国可转债转股条款设计的实证研究[J].统计研究,2007(4):69-74.
[11]杜军,胡跃红,刘建江.期货市场交易结构、价格形成机制及其效率研究[J].金融理论与实践,2006(3):3-6.
[12]杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
[13]杜莉,王宏来.可转债市场成交量对收益率波动的非对称冲击效应研究[J].管理世界,2009(8):169-170.
[14]段西军.上海股票市场买卖价差研究[J].南方金融,2006(10):52-54.
[15]耿克红,张世英.SCD模型与ACD模型比较研究[J].管理学报,2008(1):44-48.
[16]耿克红,张世英.中国股市超高频持续期序列长记忆性研究[J].中国管理科学,2008(2):7-13.
[17]顾娟,刘建洲.信息不对称与股票价格变动--我国证券市场信息传导机制的经济学分析[J].经济研究,2004(2):106-114.
[18]郭宝生,任若恩.ACD模型的发展以及在金融中的应用[J].系统工程,2007(10):1-10.
[19]郭名媛,张世英.基于高频数据的沪深股票市场的相关性研究[J].系统工程学报,2009(3):293-298.
[20]郭听炜.可转债市场发展研究-海外经验与中国可转债市场体系的构建[EB/OL].国研网(http://www.drcnet.com.cn/),2002-5-24.
[21]郭晔.“有限理性”框架下证券交易监管研究[D].厦门大学,2002.
[22]韩德宗,林承松.期货收益率极端波动离散间隔的实证研究[J].浙江工商大学学报,2009(5):63-69.
[23]韩冬,王春峰,岳慧煜.中国股市买卖价差成分分析--基于指令驱动市场的实证研究[J].北京理工大学学报,2006(2):82-85.
[24]韩铁,张世英.超高频数据的变结构分整增广ACD模型[J].系统工程学报,2008(1):52-59.
[25]何诚颖,卢宗辉,何兴强,柴俊.中国股票市场逆向选择成本研究[J].经济研究,2009(2):68-80.
[26]何佳,夏晖.有控制权利益的企业融资工具选择--可转债的理论思考[J].经济研究,2005(4):66-76.
[27]胡继之,于华.各国股市交易制度的比较研究[J].深圳证券交易所综合研究所研究报告,1998(0003).
[28]胡援成,周珺.财务危机成本、赎回失败与可转债最优赎回决策[J].系统工程理论与实践,2009(11):100-111.
[29]黄德龙,裴建锁,杨晓光.我国债券市场微观结构的现状、问题和对策[R].CFEF研究报告,2005年4月.
[30]江曙霞,郭曄,曾志钊,陈雨.市场微观结构:理论、实践与监管应用[M].北京:中国财政经济出版社,2006.
[31]蒋冠,田存志.基于高频数据的上海股票市场隐性交易成本的实证[J].财经论坛,2008(6):137-139.
[32]金爱华.关于可转债发行条款适应性问题的研究--来自民生银行可转债的案例分析[J].经济论坛,2008(20):72-76.
[33]康国彬,刘龙庭.中国可转债市场研究[J].金融理论与实践,2003(9):61-64.
[34]雷觉铭,曾勇.上海股市买卖价差成分分析[J].系统工程,2006(6):74-80.
[35]李广川,刘善存,邱菀华.中国证券市场成交指令积极性及成交持续期的影响因素研究[J].系统工程理论与实践,2007(10):11-21.
[36]李广析,杨辉耀.用VAR测量可转债的市场风险[J].商业研究,2003(22):31-33.
[37]李华,陈鹏.基于ARCH模型的股票和可转债市场收益率波动特征比较[J].数学的实践与认识,2008(13):48-52.
[38]李康,杨兴君,杨雄.配股和增发的相关者利益分析和政策研究[J].经济研究,2003(3):79-92.
[39]李岚.中行拟发行可转债补充资本[J].金融时报,2010(1).
[40]李梦玄.基于高频数据的我国股市信息传导研究[J].金融发展研究,2008(12):52-59.
[41]李朋,刘善存.信息性交易概率分解与买卖价差研究[J].南方经济,2006(2):13-22.
[42]李婷,王嘉承.投资者构成对市场流动性的影响研究[J].经济论坛,2009(14):76-78.
[43]厉斌.新股上市首日交易的微观结构--流动性、深度与买卖价差[J].内蒙古农业大学学报,2006(1):203-206.
[44]刘成彦,王其文.中国上市公司可转债发行的公告效应研究[J].经济科学,2005(4):50-55.
[45]刘娥平.中国上市公司可转债发行公告财富效应的实证研究[J].金融研究,2005(7):45-56.
[46]刘衡郁.中国股市日内流动性效应分析--基于高频数据的流动性度量、特征及其影响因素[J].财会通讯,2008(5):11-15.
[47]刘逖.证券市场微观结构理论与实践[M].上海:复旦大学出版社,2002.
[48]刘晓星,邱桂华.基于买卖价差的我国股票市场流动性调整的风险价值研究[J].当代经济管理,2008(8):83-87.
[49]刘星海.可转债转股对标的股票价格影响的实证研究[J].海南金融,2009(6):32-36.
[50]刘洋,陈思思,庄新田.沪市认购权证与标的股票的高频数据协整分析[J].东北大学学报,2007(11):1660-1664.
[51]马超群,张明良.中国证券市场的LOG-ACD模型及其应用[J].统计观察,2006(2):92-95.
[52]马丹,向蓉美.非对称信息与高频价格变动[J].统计与信息论坛,2007(6):27-34.
[53]马丹,尹优平.交易间隔、波动性和微观市场结构--对中国证券市场交易间隔信息传导的实证分析[J].金融研究,2007(7):165-174.
[54]马丹.限价订单信息含量分布:理论模型及中国市场实证研究[J].统计与信息论坛,2008(11):59-64.
[55]牟晖,韩立岩,刘韧陶.论中国可转债市场的发展[J].生产力研究,2006(10):68-70.
[56]牟晖,韩立岩,谢朵,陈之安.中国资本市场融资顺序新证:可转债发行公告效应研究[J].管理世界,2006(4):19-40.
[57]穆启国,吴冲锋,刘海龙.深圳证券交易所买卖价差的构成分析[J].系统工程理论方法应用,2004(3):239-243.
[58]彭志文.我国创业板市场交易制度设计[J].经济管理,2009(3):1-6.
[59]祁斌,黄明,陈卓思.机构投资者与股市波动性[J].金融研究,2006(9):54-64.
[60]屈文洲,吴世农.中国股市微观结构的特征分析——买卖报价价差模式及影响因素的实证研究[J].经济研究,2002(1):56-63.
[61]屈文洲.行情公告牌信息对交易者行为的影响--基于自回归交易持续期模型(ACD)的分析[J].管理世界,2006(11):19-26.
[62]饶育蕾,张轮.行为金融学[M].上海:复旦大学出版社,2005年7月.
[63]邵晓阳,苏敬勤,于圣睿.竞价制度下股票价格形成机制研究[J].管理科学,2005(4):52-57.
[64]深交所投资者教育中心.创业板公司如何发可转债[N].上海证券报,2009(8).
[65]深圳证券交易所综合研究所.美国证券市场相关制度[R].2008年4月.
[66]深圳证券交易所综合研究所.香港证券市场相关制度[R].2008年4月.
[67]沈悦,王书伟.大宗交易制度:机构投资者的特殊安排[J].当代经济科学,2002(5):46-49.
[68]施东晖,孙培源.市场微观结构--理论与中国经验[M].上海:上海三联书店,2005.
[69]施红俊,陈伟忠.波动率持续性基于信息到达过程的成交量解释[J].同济大学学报,2004(5):690-695.
[70]史美景.高频数据及市场微观结构模型[J].知识丛林,2004(10):155-156.
[71]史永东,何海江,沈德华.中国股市有效性动态变化的实证研究[J].系统工程理论与实践,2002(12):88-92.
[72]宋冬林,毕子男,沈正阳.机构投资者与市场波动性关系的研究[J].经济科学,2007(3):97-103.
[73]苏冬蔚.噪声交易与市场质量[J].经济研究,2008(9):82-95.
[74]孙培源,施东晖.微观结构、流动性与买卖价差[J].世界经济,2002(4):69-72.
[75]孙云辉.订单驱动机制下买卖价差构成分析[J].商业研究,2006(19):141-143.
[76]谭地军,田益祥,黄文光.持续期间、交易量、波动率与知情交易[J].统计研究,2008(2):71-77.
[77]唐文彬,吴海燕.新形势下我国可转债市场进一步发展研究[J].吉首大学学报,2008(4):63-65.
[78]唐勇,张世英.高频数据的加权已实现极差波动及其实证分析[J].系统工程,2006(8):52-57.
[79]唐元春.投资可转债要债性股性兼顾[J].中国证券报,2008(5).
[80]唐振鹏.金融高频数据和超高频数据的研究现状及展望[J].福州大学学报,2008(4):14-20.
[81]田存志,段万春,杨洪涛.基于微观数据的股票市场交易成本研究[J].思想战线,2008(6):71-75.
[82]田昆儒,王冬年.可转债双重属性的分析[J].审计与经济研究,2009(9):83-86.
[83]王春峰,卢涛,房振明.基于价格离散选择模型的中国股市价格行为特征研究[J].管理工程学报,2008(1):140-144.
[84]王春峰,卢涛,房振明.收盘价格形成机制对中国股票市场质量影响的实证研究[J].当代财经,2007(2):49-55.
[85]王春峰,张龙斌,房振明.交易信号对交易过程的动态影响模型研究[J].预测,2008(4):66-70.
[86]王春峰,庄泓刚,房振明,卢涛.长记忆随机波动模型的估计与波动率预测--基于中国股市高频数据的研究[J].系统工程,2008(7):29-34.
[87]王冬年,韩丹,李宝新.中国上市公司可转债融资特征:债券性还是期权性[J].河北经贸大学学报,2008(5):44-51.
[88]王璐.股市与债市波动溢出效应的机理研究--基于金融资源配置效率的视角[J].广东金融学院学报,2008(9):65-71.
[89]王蔚祺.次贷风暴成就可转债市场[J].第一财经日报,2008(1).
[90]王雁茜.交易制度、交易成本与市场质量--中国证券市场的理论与实证研究[M].杭州:浙江大学出版社,2004.
[91]王志强,陈培昆.买卖价差构成理论研究综述[J].证券市场导报,2006(6).
[92]王志强,陈培昆.深市买卖价差逆向选择成分的估算与分析[J].证券市场导报,2006(3).
[93]危慧惠.中国可转债定价机制研究[M].北京:中国财政经济出版社,2007.
[94]魏莉娅,马永开.基于高频数据的深圳基金市场日内周期性研究[J].当代经济管理,2007(1):101-105.
[95]吴文锋,朱云,吴冲锋,芮萌.B股向境内居民开放对市场信息不对称的影响[J].管理科学学报,2007(6):57-64.
[96]肖文,周明海,蔡尔津.保险资金投资可转债市场的策略分析[J].浙江金融,2008(01):48-49.
[97]熊德华,张圣平.市场微观结构:理论发展与实证分析综述[J].管理世界,2006(8):158-167.
[98]熊瑛,吴淑专,池红梅.中国可转债市场投资分析[J].才智,2008(15):155.
[99]徐国祥,金登贵.金融高频数据分析--扩展ACD模型实证研究[J].财经研究,2006(6):15-23.
[100]徐小华,何佳,吴冲锋.我国债券市场价格非对称性波动研究[J].金融研究,2006(12):14-22.
[101]许香存,李平,曾勇.交易前透明度、市场深度和交易者构成[J].系统管理学报,2008(6):273-277.
[102]杨如彦,魏刚,刘孝红,孟辉.可转债及其绩效评价[M].北京:中国人民大学出版社,2002.
[103]杨之曙,姚松瑶.沪市买卖价差和信息性交易实证研究[J].金融研究,2004(4):45-56.
[104]杨之曙.应用市场微观结构理论构建中国证券市场实时监管系统[J].金融科学,2000(3):76-79.
[105]姚宁.中国股市完全信息交易成本的实证分析[J].北京航空航天大学学报,2008(6):1-4.
[106]叶建芳,陈雪梅.可转债利弊分析[J].财政监督,2008(24):56-57.
[107]易艳春,吴雄韬.有交易费和买卖价差的无套利市场模型[J].衡阳师范学院学报,2007(6):17-18.
[108]于华.各国股市交易制度的比较研究[J].深圳证券交易所综合研究所研究报告,1998(0003).
[109]曾巧蓉.我国分离式可转债对标的股票影响的实证分析[J].时代金融,2008(12):38-40.
[110]曾勇,李平,刘波,王志刚.证券市场微观结构研究[M].北京:科学出版社,2008.
[111]张波,钟玉洁,田金方.基于高频数据的沪指波动长记忆性驱动因素分析[J].统计与信息论坛,2009(6):21-26.
[112]张程睿.公司信息披露质量对投资者交易行为的影响[J].南方经济,2008(4):53-64.
[113]张高擎,廉鹏.可转债融资与机构投资者侵占行为--基于华菱管线可转债案例研究[J].管理世界,2009(增刊):110-120.
[114]张维迎.博弈论与信息经济学[M].上海:上海人民出版社,2004年11月:192-222.
[115]张瀛.做市商、流动性与买卖价差--基于银行间债券市场的流动性分析[J].世界经济,2007(10):86-95.
[116]张峥,唐国正,刘力.投资者群体差异与可转债折价--中国市场的实证分析[J].金融研究,2006(11):1-16.
[117]张中旭.上海证券交易所买卖价差的实证研究[J].现代商贸工业,2009(2):153-155.
[118]章卫东.中国上市公司可转债市场绩效的实证研究[J].江西社会科学,2006(12):109-114.
[119]赵宏宝.基于高频数据的股市收益波动的非对称性研究[J].铜陵学院学报,2008(2):38-40.
[120]赵骅,张宗益,杨武.做市商制度下证券价格的形成机制分析[J].管理科学学报,2007(2):90-94.
[121]周开国.香港股票市场的微观结构研究[M].北京:北京大学出版社,2009.
[122]周林,施红俊,陈伟忠.波动率的持续性:基于GARCH模型的成交量解释[J].统计与信息论坛,2005(3):55-62.
[123]周隆斌,余颖.市场微观结构、行为金融与股票价格调整:一个理论框架[J].武汉大学学报,2005(2):261-267.
[124]周雪梅.从发展企业债的视角看转债市场的进一步发展[J].内蒙古科技与经济,2007(14):3-5.
[1]国务院发展研究中心信息网(http://www.drcnet.com.cn/)
[2]巨潮资讯网(http://www.cninfo.com.cn/)
[3]纳斯达克证券交易所(http://www.nasdaq.com/)
[4]纽约证券交易所(http://www.nyse.com/)
[5]锐思数据(http://www.resset.cn/cn/)
[6]上海证券交易所(http://www.sse.com.cn/)
[7]深圳证券交易所(http://www.szse.cn/)
[8]万点资讯(http://www.windin.com/)
[9]香港交易所(http://www.hkex.com.hk/)
[10]中国新闻网(http://www.chinanews.com.cn/)
[11]中国证券监督管理委员会(http://www.csrc.gov.cn/)
[12]中国证券业协会(http://www.sac.net.cn/)
[13]中国资金管理网(http://www.treasurer.org.cn/)
[14]中信建投(http://research.csc.com.cn/)
[15]全景网(http://www.p5w.net/)
1 E.Fama, 1970,“Efficient capital market: A review of theory and empirical work”, Journal of Finance,Vol.5:145-176.
1 T.Roberts, 1977,“A test of option market efficiency using a random-walk valuation model”, Journal of Economics and Business,Vol.12:39-46.
2 E.Fama, 1970,“Efficient capital market: A review of theory and empirical work”, Journal of Finance,Vol.5:145-176.
3张维迎.博弈论与信息经济学[M].上海:上海人民出版社,2004年11月:192-222.
1饶育蕾,张轮.行为金融学[M].上海:复旦大学出版社,2005年7月:41-77.
1周隆斌,余颖.市场微观结构、行为金融与股票价格调整:一个理论框架[J].武汉大学学报,2005(2):261-267.
2江曙霞,郭曄,曾志钊,陈雨.市场微观结构:理论、实践与监管应用[M].北京:中国财政经济出版社,2006:12-13.
1江曙霞,郭曄,曾志钊,陈雨.市场微观结构:理论、实践与监管应用[M].北京:中国财政经济出版社,2006:14-15.
1 Kyle, Albert S., 1985,“Continuous auctions and insider trading”, Econometrica, Vol.53: 1315-1335.
2 Brennan, M., Chordia, T., Subrahmanyam, A., 1996,“A market microstructure and asset pricing: on the compensation for illiquidity in stock returns”, Journal of Financial Economics, Vol. 41:441-464.
3 Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol .47:607-641.
4邵晓阳,苏敬勤,于圣睿.竞价制度下股票价格形成机制研究[J].管理科学,2005(4):52-57.
5王春峰,卢涛,房振明.收盘价格形成机制对中国股票市场质量影响的实证研究[J].当代财经,2007(2):49-55.
1 Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol.47:607-641.
2 Pagano, M., and Ailsa Roell, 1996,“Transparency and liquidity: A comparison of auction anddealer markets with informed trading”, Journal of Finance, Vol. 51: 579-611.
3赵骅,张宗益,杨武.做市商制度下证券价格的形成机制分析[J].管理科学学报,2007(2):90-94.
4 Demsetz, Harold, 1968,“The Cost of Transacting”, Quarterly Journal of Economics,Vol.82:33-53.
5 Stoll, Hans R., 1978,“The Supply of Dealer Services in Securities Markets”, Journal of Finance,Vol.33:1133-1151.
6 Amihud, Yakov, and Haim Mendelson, 1980,“Dealership Market: Market Making withInventory”, Journal of Financial Economics, Vol.8:31-53.
7 O’Hara, M. and G. Oldfield, 1986,“The Microeconomics of Market Making”, Journal ofFinancial and Quantitative Analysis,Vol.21:361-376.
1 Copeland, Thomas C., and Daniel Galai, 1983,“Information Effects of the Bid-Ask Spread",Journal of Finance, Vol.38: 1457-1469.
2 Glosten, Lawrence, and Paul Milgrom, 1985,“Bid, Ask and Transaction Prices in a SpecialistMarket with Heterogeneously Informed Traders”, Journal of Financial Economics, Vol.14:71-100.
3 Easley, David and Maureen O'Hara, 1987,“Price, Trade Size, and Information in SecuritiesMarkets”, Journal of Financial Economics, Vol.19: 69-90.
4 Stoll, Hans R., and Robert E. Whaley, 1990,“Stock Market Structure and Volatility”, Review ofFinancial Studies, Vol.3:37-71.
5 Hedge, and Robert E. Miller, 1994,“Trading Mechanisms and the Components of the Bid-AskSpread”, Journal of Finance, Vol.49(4):1471-1488.
6 Cohen, K., J. Hawawini, G.A.Maier, and R.A.Schwartz, and D.K. Whitcomb, 1983,“EstimatingComponents: A New Approach”, Review of Financial Studies Vol.4:623-656.
7孙培源,施东晖.微观结构、流动性与买卖价差[J].世界经济,2002(4):69-72.
8韩冬,王春峰,岳慧煜.中国股市买卖价差成分分析——基于指令驱动市场的实证研究[J].北京理工大学学报,2006(2):82-85.
9雷觉铭,曾勇.上海股市买卖价差成分分析[J].系统工程,2006(6):74-80.
10 Mcinish,T. and Wood, R. ,1990,”A Transaction Data Analysis of The Variability of CommonStock During 1980-1984”J. Bankis, Vol.14:P99-112.
11 Brockman, P., Chung, D.Y., 1999,“Bid-ask spread components in an order-drivenenvironment”, Journal of Financial Research, Vol22(2):227-246.
12屈文洲,吴世农.中国股市微观结构的特征分析——买卖报价价差模式及影响因素的实证研究[J].经济研究,2002(1):56-63.
1孙培源,施东晖.微观结构、流动性与买卖价差[J].世界经济,2002(4):69-72.
2雷觉铭,曾勇.上海股市买卖价差成分分析[J].系统工程,2006(6):74-80.
3穆启国,吴冲锋.深圳证券交易所买卖价差的构成分析[J].系统工程理论方法应用,2004(3):239-243.
4 Lin, J. Sanger, G. Booth, G., 1995,“Trade size and components of the Bid-ask spread”, Review of Financial Studies, Vol.8:99-134.
5 Madhavan, A. and M. Cheng, 1997,“In search of Liquidity: An Analysis of Upstairs and Downstairs trades”, Review of Financial Studies, Vol.10:175-204.
6 Huang, Y.S.,1999,“The estimation of equilibrium prices under price limits and the examination of the overreaction hypothesis”, Journal of Financial Studies, Vol.7:27-59.
7 Garman, Mark, 1976,“Market Microstructure”, Journal of Financial Economics, Vol.3:257-275.
8 Glosten, L., 1994,“Equilibrium in an electronic open limit order book”, Journal of Finance, Vol.49: 1127-1161.
9 Black,F., 1995,“Equilibrium exchange”, Financial Analysts Journal, Vol.5:67-79.
10 Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread:theory and empirical tests”, Journal of Finance, Vol.44:115-134.
1 Seppi, D., 1997,“Liquidity provision with limit orders and a strategic specialist”, Review of Financial Studies, Vol.10: 103-174.
2 Parlour, C., and D. Seppi, 2003,“Liquidity-Based competition for order flow”, Review of Financial Studies, Vol.16:301-343.
3 Viswanathan, S. and J. Wang, 2002,“Market architecture: limit order books versus dealership marktes”, Journal of Financial Markets, Vol.5:127-168.
4 Nicolas Audet, Toni Gravelle and Jing Yang, 2002,“Alternative trading systems: Does one shoe fit all?,”Working Papers (Bank of Canada), 02-33.
5杜军,胡跃红,刘建江.期货市场交易结构、价格形成机制及其效率研究[J].金融理论与实践,2006(3):3-6.
6彭志文.我国创业板市场交易制度设计[J].经济管理,2009(3):1-6.
1 Hardouvelis, G., 1988,“Margin requirements and stock market volatility,”Federal Reserve Bank of New York Quarterly Review, 80-89. Hardouvelis, G. A., 1990,“Margin requirements, volatility and the transitory component of stock price,”The American Economic Review,Vol. 80:736-762.
2曹桓.证券信用交易与证券交易制度[J].世界经济情况,2008(5):77-80.
3 Lee, S. and Yoo, T., 1993,“Margin regulation and stock market volatility: Further evidence from Japan, Korea and Taiwan,”Pacific-Basin Finance Journal, Vol.1:155-174.
4于华.各国股市交易制度的比较研究[J].深圳证券交易所综合研究所研究报告,1998(0003).
1 Harris,L., 2002,“Trading and exchanges: Market microstructure for practitioners”, Oxford Univesity Press.
2 Grossman, Sanford J, 1992.“The informational role of upstairs and downstairs trading,”Journal of Business, University of Chicago Press, Vol. 65(4): 509-28.
3 Seppi, D., 1990,“Equilibrium block trading and asymmetric information”, Journal of Finance, Vol.45: 73-94.
1沈悦,王书伟.大宗交易制度:机构投资者的特殊安排[J].当代经济科学.2002(5):46-49.
2 Aitken, Michael, Alex Frino and Stuart Sayers, 1994,“The intra-day Impact of block trades on the australian stock exchange”, Asia Pacific Journal of Management, 11(2) (Oct):237-253.
3 Holthausen, R., Leftwich, R., Mayers, D., 1987,“The effect of large block transactions on security prices: A cross-sectional analysis”, Journal of Financial Economics, Vol.19: 237-267.
4 Aitken, Michael, Alex Frino and Stuart Sayers, 1994,“The intra-day Impact of block trades on the australian stock exchange”, Asia Pacific Journal of Management, 11(2) (Oct):237-253.
5 Keim, Donald and Ananth Madhavan, 1996,“The upstairs market for large-block transactions: Analysis and measurement of price effects”, Review of Financial Studies, Vol.9:1-36.
1 Madhavan, A. and M. Cheng, 1997,“In search of Liquidity: An analysis of upstairs and downstairs trades”, Review of Financial Studies, Vol.10: 175-204.
2 Booth, G., Lin, J., Martikainen, T. and Tse, Y., 2001,“Trading and pricing in upstairs and downstairs stock markets”, Review of Financial Studies, Vol.15:1111-1135.
3 Bessembinder, Hendrik and Kumar Venkataraman, 2002,“Does an electronic stock exchange need an upstairs market?”, SSRN, FEN CapMkts-Micro WPS Vol.5:146-167.
1 Flood, Mark D, Ronald Huisman, Kees G. Koedijk, and Ronald J. Mahieu, 1999,“Quote disclosure and price discovery in multiple-dealer financial markets”, Review of Financial Studies, Vol.12:37-59.
2 Madhavan, Ananth, 1996,“Security prices and market transparency”, Journal of Financial Intermediation, Vol.5: 255-283.
3 Pagano, M., and Ailsa Roell, 1996,“Transparency and liquidity: A comparison of auction and dealer markets with informed trading”, Journal of Finance, Vol. 51: 579-611.
4 Madhavan, Ananth, 1995,“Consolidation, fragmentation and the disclosure of trading information”, Review of Financial Studies, Vol8:579-603.
5 Flood, M.D., R.Huisman, K.G.Koedijk and R.J. Mahieu, 1997,”Post–trade transparency in multiple dealer financial markets”, LIFE Working Paper.
1 Lyons, Richard, 1995,“Test of microstructure hypotheses in the foreign exchange market”, Journal of Financial Economics, Vol.39:321-351.
2 Gemmill, G., 1994,“Transparency and liquidity: A study of block trades on the London Stock Exchange under different publication rules”, Journal of Finance, Vol.51:1765-1790.
3 O’Hara, M., 1995,“Market Microstructure Theory”, Basil Blackwell, Cambridge Mass, pages:651-673.
4 Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol. 47:607-641.
5 Flood, Mark D, Ronald Huisman, Kees G. Koedijk, and Ronald J. Mahieu, 1999,“Quote disclosure and price discovery in multiple-dealer financial markets”, Review of Financial Studies, Vol.12:37-59.
1 Bloom field, R. and M. O'Hara, 2000,“Can transparent market survive?”, Journal of Financial Economics, Vol.55:425-459.
2张程睿.公司信息披露质量对投资者交易行为的影响[J].南方经济,2008(4):53-64.
3 Black,F.. 1976,“Studies of stock market volatility changes”. Proceedings of the American Statistical Association Business and Economic Statistics Section, 177-181.
4 Clark, P.K..1973,“A subordinated stochastic process model with finite variance for speculative prices”. Econometrica, 41:135-155.
5 Andersen,T.G. 1996,“Return volatility and trading volume: An information flow interpretation of stochastic volatility”. The Journal of Finance, 51:169-204.
6 Craig,A.D. 2001,“Good news, bad news and GARCH effects in stock return data”. Journal of Applied Economics, 4(2):313-327.
1徐小华,何佳,吴冲锋.我国债券市场价格非对称性波动研究[J].金融研究,2006(12):14-22.
2施红俊,陈伟忠.波动率持续性基于信息到达过程的成交量解释[J].同济大学学报,2004(5):690-695.
3周林,施红俊,陈伟忠.波动率的持续性:基于GARCH模型的成交量解释[J].统计与信息论坛,2005(3):55-62.
4 Benjamin Graham, 1942,“The Intelligent Investor”, HarperCollins Publishers.
5 Steeley, J.M., and F. Ahmad, 2002,“The Effects of Safe-haven status on the Gilt-edged market”, Journal of Bond Trading and Management, Vol.1:120-148.
6 Fair, Ray C., 2001,“Shock effects on stocks, bonds, and exchange rates”, Journal of International Money and Finance, Elsevier, Vol.22(3):307-341.
7 Ling Fengli, 2002,“The correlation of stock and bond returns—Theory and empirical evidence”, Yale Working Paper, No.14, October.
1王璐.股市与债市波动溢出效应的机理研究——基于金融资源配置效率视角[J].广东金融学院学报,2008(9):65-71.
2何诚颖,卢宗辉,何兴强,柴俊.中国股票市场逆向选择成本研究[J].经济研究,2009(2):68-80.
3姚宁.中国股市完全信息交易成本的实证分析[J].北京航空航天大学学报,2008(6):1-4.
4李广川,刘善存,邱菀华.中国证券市场成交指令积极性及成交持续期的影响因素研究[J].系统工程理论与实践,2007(10):11-21.
5 Debreu, G., 1959,“Theory of Value”, John Wiley.
6 Lintner, J.,1965,“Security prices, risk and maximal gain from diversification”, Journal ofFinance, Vol.20:587-615.
7 Fama, E. F., 1970,“Efficient Capital Markets: A Review of theory and empirical work”, Journalof Finance,Vol. 25:383-417.
8 Grossman, S., 1976,“On the efficiency of competitive stock markets where traders have diverseinformation”, Journal of Finance, Vol.31:573-585.
1 Grossman, S., and J. Stiglitz, 1980,“On the impossibility of informationally efficient markets”, Vol.70:393-408.
2 Kyle, Albert S., 1985,“Continuous auctions and insider trading”, Econometrica, Vol.53:1315-1335.
3 Glosten, Lawrence, and Paul Milgrom, 1985,“Bid, ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economics, Vol.14:71-100.
4 Bagehot, Walter, 1971,“The only game in town”, Financial Analysts, Vol.27: 31-53.
5 Kyle, Albert S., 1985,“Continuous auctions and insider trading”, Econometrica, Vol.53:1315-1335.
6 Holden, C.W. and A. Subrahmanyam, 1992,“Long-lived private information and imperfect competition”, Journal of Finance, Vol.47:247-270.
1 Admati, AnatR., and Pfleiderer, Paul., 1988,“A theory of intraday patterns: Volume and price variability”, Review of Financial Studies, Vol.1:3-40. Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and conquer: A theory of intraday and Day-of-the-week mean effects”, Review of Financial Studies, Vol.2:189-224.
2 Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and conquer: A theory of intraday and Day-of-the-week mean effects”, Review of Financial Studies, Vol.2:189-224.
1 D Easley, M O’Hara,1992,”Time and process of security price adjustment”,Journal of Finance, Vol.47:577-606.
2 O’Hara, 1995,“Market microstructure theory”, Cambridge, MA: Blackwell Publishers.
3 Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
4 Engle, R.F., 2000,“The econometrics of ultra-high frequency data”, Econometrica, Vol.68(1):1-22.
5 A Dufour, Engle, R.F., 2000,“Time and the price impact of a trade”, The Journal of Finance, 55:2467-2498.
6 A Cellier., 2003,“Duration-Volume-Volatility: A VAR GARCH model”, Working paper of JEREM.
7 S Manganelli., 2005,“Duration, volume and volatility impact on trades”, Journal of Financial markets, Vol.5: 377-399.
1苏冬蔚.噪声交易与市场质量[J].经济研究,2008(9):82-95.
2宋冬林,毕子男,沈正阳.机构投资者与市场波动性关系的研究[J].经济科学,2007(3):97-103.
3祁斌,黄明,陈卓思.机构投资者与股市波动性[J].金融研究,2006(9):54-64.
4李婷,王嘉承.投资者构成对市场流动性的影响研究[J].经济论坛,2009(14):76-78.
5许香存,李平,曾勇.交易前透明度、市场深度和交易者构成[J].系统管理学报,2008(6):273-277.
1陈守红.可转换债券投融资——理论与实务[M].上海财经大学出版社,2005年10月:7-15.
1 Garman, Mark, 1976,“Market Microstructure”, Journal of Financial Economics, Vol.3: 257-275.
2 O’Hara, M., 1995, Market Microstructure Theory, Basil Blackwell, Cambridge Mass.
3戴国强,吴林祥.金融市场微观结构理论[M].上海:上海财经大学出版社,1999.
4杨之曙.应用市场微观结构理论构建中国证券市场实时监管系统[J].金融科学,2000(3):37-45.
5郭晔.“有限理性”框架下证券交易监管研究[D].厦门大学,2002:21-30.
1史永东,何海江,沈德华.中国股市有效性动态变化的实证研究[J].系统工程理论与实践,2002(12):88-92.
1中信建投.可转债市场月报[EB/OL]. http://research.csc.com.cn/,2009-10-20.
2中信建投.可转债市场月报[EB/OL]. http://research.csc.com.cn/,2009-10-20.
3万点资讯.可转债市场发展瓶颈还是机遇[EB/OL]. http://www.windin.com/,2010-1-10.
1中国资金管理网.企业发行可转债的风险分析[EB/OL].http://www.treasurer.org.cn/.
1温家宝总理十一届全国人大三次会议政府工作报告.完善多层次资本市场体系[EB/OL]. http://www.p5w.net/stock/news/zonghe/201003/t2854568.htm,2010-3-6.
2全景网.完善多层次资本市场体系[EB/OL]. http://www.p5w.net/stock/news/zonghe/201003/t2854568.htm,2010-3-6.
1深圳证券交易所综合研究所.美国证券市场相关制度[R].2008年4月.
1深圳证券交易所综合研究所.美国证券市场相关制度[R].2008年4月.
1深圳证券交易所综合研究所.香港证券市场相关制度[R].2008年4月.
1杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
2张峥,唐国力,刘力.投资者群体差异与可转债折价[J].金融研究,2006(11):1-16.
1 Johansen, Juselius, 1988, Statistical analysis of co-integration vectors. Journal of Economic Dynamics and Control 12, 231-254.
1 Kasa, 1992, Common stochastic trends in international stock markets, Journal of Monetary Economics, 29:95-124.
2 Cheung, Lai, 1993, Finite-sample sizes of Johansen’s likelihood ratio tests for co-integration, Oxford Bulletin of Economics and Statistics 55(3), 313-328.
3 Pesaran, Shin, 2002, Long-run structural modeling, Econometric Reviews, 21(1):49-87.
1杜莉,王宏来.可转债市场成交量对收益率波动的非对称冲击效应研究[J].管理世界,2009(8):169-170.
2杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
1 Bollerslev Tim,Robert F.Engle and Daniel B.Nelson.. 1994.“ARCH models in chapter 49 of handbook of econometrics”,Vol.4,North-Holland.
1 Audet N. Gravelle T. Yang J., 2002,“Alternative trading systems: Does one shoe fit all”, Working paper of Bank of Canda.
1 A R Admati, P Pfleiderer., 1988,“A theory of intraday patterns: Volume and price variability”, Review of Financial Studies, Vol.1(1): 3-40.
3 Kyle, Albert S., 1985,“Continuous Auctions and Insider Trading”, Econometrica, Vol.53:1315-1335.
1 Holden, C.W. and A. Subrahmanyam, 1992,“Long-Lived Private Information and Imperfect Competition”, Journal of Finance, Vol.47:247-270.
2 Admati, AnatR.,and Pfleiderer, Paul., 1988,“A Theory of Intraday Patterns: Volume and Price Variability”, Review of Financial Studies, Vol.1:3-40. Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects”, Review of Financial Studies, Vol.2:189-224.
1 Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
1 L. Bauwens, and P. Giot., 2000,“The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks”, Annales Economie Statistique, Vol.60:117-149.
2 L. Bauwens, and P. Giot., 2000,“The logarithmic ACD model: An application to the bid-ask quote process of three NYSE stocks”, Annales Economie Statistique, Vol.60:117-149.
1 Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
1杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
1 A. Dufour, R.F.Engle., 2000,“Time and the price impact of a trade”,The Journal of Finance, Vol.55:2467-2498.
1 Nicolas Audet, Toni Gravelle and Jing Yang, 2002,“Alternative Trading Systems: Does One Shoe Fit All?,”Working Papers (Bank of Canada), 02-33.
1 Glosten, Lawrence, and Paul Milgrom, 1985,“Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics, Vol.14:71-100.
1 Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread: theory and empirical tests”, Journal of Finance, Vol.44:115-134.
1 Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread: theory and empirical tests”, Journal of Finance, Vol.44:115-134.
1 George, T.J., G.Kaul, and M. Nimalendran, 1991,“Estamation of the bid-ask spread and its components: a new approach”, Review of Financial Studies, Vol.4:623-656.
1 Lin, J. Sanger, G. Booth, G., 1995,“Trade size and components of the Bid-ask spread”, Review of Financial Studies, Vol.8:99-134.
1 Madhavan, A., M. Richardson, and M. Roomans, 1997,“Why do security prices change? A transaction-level analysis of NYSE stocks”, Review of Financial Studies, Vol.10:1035-1064.
1 Huang, R. and H. Stoll, 1997,“The components of the bid-ask spread: A general approach”, Review of Financial Studies, Vol.10:995-1034.
1黄德龙,裴建锁,杨晓光.我国债券市场微观结构的现状、问题和对策[R].CFEF研究报告,2005年4月.
1杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
[1] A Cellier., 2003,“Duration-Volume-Volatility:A VAR GARCH model”, Working paper of JEREM.
[2] A Dufour, Engle, R.F., 2000,“Time and the price impact of a trade”, The Journal of Finance, 55:2467-2498.
[3] A. Dufour, R.F.Engle., 2000,“Time and the price impact of a trade”,The Journal of Finance, Vol.55:2467-2498.
[4] Admati, A.R., and Pfleiderer, Paul., 1988,“A theory of intraday patterns:Volume and price variability”, Review of Financial Studies, Vol.1:3-40.
[5] Admati, AnatR.,and Pfleiderer, Paul., 1989,“Divide and conquer:A theory of intraday and Day-of-the-week mean effects”, Review of Financial Studies, Vol.2:189-224.
[6] Aitken, Michael, Alex Frino and Stuart Sayers, 1994,“The intra-day Impact of block trades on the australian stock exchange”, Asia Pacific Journal of Management, 11(2) (Oct):237-253.
[7] Amihud, Yakov, and Haim Mendelson, 1980,“Dealership Market:Market Making with Inventory”, Journal of Financial Economics, Vol.8:31-53.
[8] Amihud, Yakov, and Haim Mendelson, 1987,“Trading Mechanisms and Stock Returns:An Empirical Investigation”, Journal of Finance Vol.46:533-553.
[9] Amihud, Yakov, and Haim Mendelson, 1991,“Volatility Efficiency and Trading:Evidence from the Japanese Stock Market”, Journal of Finance Vol.46:1765-1790.
[10] Amihud, Yakov, Haim Mendelson and B.Lauterbach, 1997,“Market Microstructure and Securities Values:Evidence from the Tel Aviv Stock Exchange”, Journal of Financial Economics Vol.45:365-390.
[11] Andersen,T.G. 1996,“Return volatility and trading volume:An information flow interpretation of stochastic volatility”. The Journal of Finance, 51:169-204.
[12] Audet N. Gravelle T. Yang J., 2002,“Alternative trading systems:Does one shoe fit all”, Working paper of Bank of Canda.
[13] Bagehot, Walter, 1971,“The only game in town”, Financial Analysts,Vol.27:31-53.
[14] Barclay, M.J. and C.G. Holderness, 1992, The Law and Large-Block Trades, Journal of Law and Economics Vol.35:265-294.
[15] Barclay, M.J. and J.B. Warner, 1993,“Stealth Trading and Volatility:Which Trades Move Prices?”Journal of Financial Economics Vol.34:281-306.
[16] Benjamin Graham, 1942,“The Intelligent Investor”, HarperCollins Publishers.
[17] Bessembinder, Hendrik and Kumar Venkataraman, 2002,“Does an electronic stock exchange need an upstairs market?”, SSRN, FEN CapMkts-Micro WPS Vol.5:146-167.
[18] Biais, B., P. Hillion and C. Spatt, 1995,“An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse”, Journal of Finance Vol.50:1655-1689.
[19] Biais, Bruno, Larry Glosten and Chester Spatt, 2005,“Market Microstructure:A Survey of Microstructures, Empirical Results, and Policy Implications”, Journal of Financial Markets Vol.8:217-264.
[20] Black,F., 1995,“Equilibrium exchange”, Financial Analysts Journal, Vol.5:67-79.
[21] Black,F.. 1976,“Studies of stock market volatility changes”. Proceedings of the American Statistical Association Business and Economic Statistics Section, 177-181.
[22] Bloom field, R. and M. O'Hara, 2000,“Can transparent market survive?”, Journal of Financial Economics, Vol.55:425-459.
[23] Bollerslev Tim,Robert F.Engle and Daniel B.Nelson.. 1994.“ARCH models in chapter 49 of handbook of econometrics”,Vol.4,North-Holland.
[24] Booth, G., Lin, J., Martikainen, T. and Tse, Y., 2001,“Trading and pricing in upstairs and downstairs stock markets”, Review of Financial Studies, Vol.15:1111-1135.
[25] Brennan, M., Chordia, T., Subrahmanyam, A., 1996,“A market microstructure and asset pricing:on the compensation for illiquidity in stock returns”, Journal of Financial Economics, Vol. 41:441-464.
[26] Brockman, P., Chung, D.Y., 1999,“Bid-ask spread components in an order-driven environment”, Journal of Financial Research, Vol22(2):227-246.
[27] Calcagno, R.,and S. Lovo, 1988,“Bid-Ask Price Competition with AsymmetricInformation between Market Makers”, Review of Financial Studies Vo l.15:11 11-1135.
[28] Chan, K.,P. Chung, and H. Johnson, 1993, Why Options Prices Lag Stock Prices:A Trading-Based Explanation”, Journal of Finance Vol.48:1957-1968.
[29] Chan, Louis and Josef Lakonishok, 1993,“Institutional Trades and Intraday Stock Price Behavior”, Journal of Financial Economics Vol.33:173-199.
[30] Chan, Louis and Josef Lakonishok, l995,“The Behavior of Stock Prices around Institutional Trades”, Journal of Finance Vol.50:1147-1174.
[31] Chen, H.C. and J. Rfitter, 2000,“The Seven Percent Solution”, Journal of Finance Vol.55:1105-1131.
[32] Cheung, Lai, 1993, Finite-sample sizes of Johansen’s likelihood ratio tests for co-integration, Oxford Bulletin of Economics and Statistics 55(3), 313-328.
[33] Christie, W., J. Harris and P. Schultz, 1994,“Why did NASDAQ Market Makers Stop Avoiding odd-Eighth Quotes?”, Journal of Finance Vol.49:1841-1860.
[34] Clark, P.K..1973,“A subordinated stochastic process model with finite variance for speculative prices”. Econometrica, 41:135-155.
[35] Cohen, K., J. Hawawini, G.A.Maier, and R.A.Schwartz, and D.K. Whitcomb, 1983,“Estimating Components:A New Approach”, Review of Financial Studies Vol.4:623-656.
[36] Copeland, Thomas C., and Daniel Galai, 1983,“Information Effects of the Bid-Ask Spread”, Journal of Finance, Vol.38:1457-1469.
[37] Cornell, B. and E. Sirri, 1992,“The Reaction of Investors and Stock Prices to Insider Trading”, Journal of Finance Vol.47:1031-1060.
[38] Coughenour, J. and K. Shastri, 1999,“Symposium on Market Microstructure:A Review of the Empirical Evidence”, Financial Review Vol.34:1-28.
[39] Craig,A.D. 2001,“Good news, bad news and GARCH effects in stock return data”. Journal of Applied Economics, 4(2):313-327.
[40] D Easley, M O’Hara,1992,”Time and process of security price adjustmen t”,Journal of Finance, Vol.47:577-606.
[41] Debreu, G., 1959,“Theory of Value”, John Wiley.
[42] Demsetz, Harold, 1968,“The Cost of Transacting”, Quarterly Journal of Economics, Vol.82:33-53.
[43] Dufour, A., Engle, R., 2000,“Time and the Price Impact of a Trade”, Journal ofFinance Vol.55:2467-2498.
[44] Dutta, P. and A. Madhavan, 1997,“Competition and Collusion in Dealer Markets”, Journal of Finance Vol.52:245-276.
[45] E.Fama, 1970,“Efficient capital market:A review of theory and empirical work”, Journal of Finance,Vol.5:145-176.
[46] Easley, David and Maureen O'Hara, 1987,“Price, Trade Size, and Information in Securities Markets”, Journal of Financial Economics, Vol.19:69-90.
[47] Easley, David and Maureen O'Hara, 1992,“Time and the Process of Security Price Adjustment”, Journal of Finance Vol.47:577-606.
[48] Engle, R.F., 2000,“The econometrics of ultra-high frequency data”, Econometrica, Vol.68(1):1-22.
[49] Engle, R.F., Russell, J.R., 1998,“Autoregressive Conditional Duration:A New Model for Irregularly Spaced Transaction Data”, Econometrica, Vol.66:1127-1162.
[50] Fair, Ray C., 2001,“Shock effects on stocks, bonds, and exchange rates”, Journal of International Money and Finance, Elsevier, Vol.22(3):307-341.
[51] Fama, E. F., 1970,“Efficient Capital Markets:A Review of theory and empirical work”, Journal of Finance,Vol. 25:383-417.
[52] Flood, M.D., R.Huisman, K.G.Koedijk and R.J. Mahieu, 1997,”Post–trade transparency in multiple dealer financial markets”, LIFE Working Paper.
[53] Flood, Mark D, Ronald Huisman, Kees G. Koedijk, and Ronald J. Mahieu, 1999,“Quote disclosure and price discovery in multiple-dealer financial markets”, Review of Financial Studies, Vol.12:37-59.
[54] Forster, Margaret and Thomas George, 1996,“Pricing Effects and the NYSE Open and Close:Evidence from Internationally Cross-Listed Stocks”, Journal of Financial Intermediation Vol.5:99-126.
[55] French, K. and R. Roll, 1986,“Stock Return Variances:the Arrival of Informati on and the Reaction of Traders”, Journal of Financial Economics Vol.17:5-26.
[56] Garman, Mark, 1976,“Market Microstructure”, Journal of Financial Economics, Vol.3:257-275.
[57] Gemmill, G., 1994,“Transparency and liquidity:A study of block trades on the London Stock Exchange under different publication rules”, Journal of Finance, Vol.51:1765-1790.
[58] George, T.J., G.Kaul, and M. Nimalendran, 1991,“Estamation of the bid-ask spread and its components:a new approach”, Review of Financial Studies, Vol.4:623-656.
[59] Glosten, L. and L. Harris, 1988,“Estimating the Components of the Bid-Ask Spread”, Journal of Financial Economics Vol.21:123-142.
[60] Glosten, L., 1994,“Equilibrium in an electronic open limit order book”, Journal of Finance, Vol.49:1127-1161.
[61] Glosten, L., and P. Milgrom, 1985,“Bid, ask and transaction prices in a specialist market with heterogeneously informed traders”, Journal of Financial Economics, Vol.14:71-100.
[62] Grossman, S., 1976,“On the efficiency of competitive stock markets where traders have diverse information”, Journal of Finance, Vol.31:573-585.
[63] Grossman, S., 1992,“The Information role of Upstairs and Downstairs Markets”, Journal of Business Vol.65:509-529.
[64] Grossman, S., and J. Stiglitz, 1980,“On the impossibility of informationally efficient markets”, Vol.70:393-408.
[65] Grossman, Sanford J, 1992.“The informational role of upstairs and downstairs trading,”Journal of Business, University of Chicago Press, Vol. 65(4):509-28.
[66] Hansch, Oliver, Narayan Y. Naik, and S. Viswanathan, 1998,“Do Inventories Matter in Dealership Markets:Evidence from the London Stock Exchange”, Journal of Finance Vol.53:1623-1656.
[67] Hardouvelis, G. A., 1990,“Margin requirements, volatility and the transitory component of stock price,”The American Economic Review,Vol. 80:736-762.
[68] Hardouvelis, G., 1988,“Margin requirements and stock market volatility,”Federal Reserve Bank of New York Quarterly Review, 80-89.
[69] Harris, L., 1986,“A Transactions Data Study of Weekly and Intradaily Patters in Stock Prices”, Journal of Financial Economics Vol.16:99-117.
[70] Harris, L., 1999, Trading and Exchanges, Mimes, University of Southern California.
[71] Harris,L., 2002,“Trading and exchanges:Market microstructure for practitio ners”, Oxford Univesity Press.
[72] Hasbrouck J., 2007,“Empirical Market Microstructure:The institutions,econ omics and econometrices of securities trading”, Oxford University Press.
[73] Hasbrouck, J., 1988,“Trades, Quotes, Inventories, and Information”, Journal of Financial Economics Vol.22:229-252.
[74] Hasbrouck, J., Sofianos, G., 1993,“The Trades of Market Makers:An Empirical Analysis of NYSE Specialists”, Journal of Finance Vol.48:1565-1593.
[75] Hedge, and Robert E. Miller, 1994,“Trading Mechanisms and the Components of the Bid-Ask Spread”, Journal of Finance, Vol.49(4):1471-1488.
[76] Ho, T., Macris, R., 1984,“Dealer Bid-Ask Quotes and Transaction Prices:An Empirical Study of some AMEX Options”, Journal of Finance Vol.39:23-45.
[77] Ho, Thomas and Hans R. Stoll, 1981,“Optimal Dealer Pricing under Transactions and Return Uncertainty”, Journal of Financial Economics Vol.9:47-73.
[78] Ho, Thomas and Hans R. Stoll, 1983,“The Dynamics of Dealer Markets under Competition”, Journal of Finance Vol.38:1053-1074.
[79] Ho, Thomas, S.Y Schwartz, A. Robert and K. Whitcomb, 1985,“The Trading Decision and Market Clearing under Transaction Price Uncertainty”, Journal of Finance Vol.40:21-42.
[80] Holden, C.W. and A. Subrahmanyam, 1992,“Long-lived private information and imperfect competition”, Journal of Finance, Vol.47:247-270.
[81] Holthausen, R., Leftwich, R., Mayers, D., 1987,“The effect of large block transactions on security prices:A cross-sectional analysis”, Journal of Financial Economics, Vol.19:237-267.
[82] Hong, Gwangheon and Arthur Warga, 2000,“An Empirical Study of Bond Market Transactions”, Financial Analysts Journal Vol.56:32-46.
[83] Huang, R. and H. Stoll, 1997,“The components of the bid-ask spread:A general approach”, Review of Financial Studies, Vol.10:995-1034.
[84] Huang, Roger D. and Hans R. Stoll, 1996,“Dealer Versus Auction Markets:A Paired Comparison of Execution Costs on NASDAQ and the NYSE”, Journal of Financial Economics Vol.41:313-357.
[85] Huang, Y.S.,1999,“The estimation of equilibrium prices under price limits and the examination of the overreaction hypothesis”, Journal of Financial Studies, Vol.7:27-59.
[86] Jain, P., Joh, G., 1988.“The Dependence Between Hourly Prices and Trading Volume”, Journal of Financial and Quantitative Analysis Vol.23:269-283.
[87] Johansen, Juselius, 1988, Statistical analysis of co-integration vectors. Journal of Economic Dynamics and Control 12, 231-254.
[88] Kandel, E., and L. Marx, 1999,“NASDAQ Market Structure and Spread Patterns”, Journal of Financial Economics Vol.51:85-102.
[89] Kasa, 1992, Common stochastic trends in international stock markets, Journal of Monetary Economics, 29:95-124.
[90] Keim, Donald and Ananth Madhavan, 1996,“The upstairs market for large-block transactions:Analysis and measurement of price effects”, Review of Financial Studies, Vol.9:1-36.
[91] Keim, Donald and Ananth Madhavan, 1997,“Transaction Costs and Investment Performance:An Inter-exchange Analysis of Institutional Equity Trades”, Journal of Financial Economics Vol.46:265-292.
[92] Keim, Donald and Ananth Madhavan, 1998,“The Costs of Institutional Equity Trades:An Overview”, Financial Analysts Journal Vol.54:50-69.
[93] Kraus, A., Stoll, H., 1972,“Price impacts of block trading on the New York stock exchange”, Journal of Finance Vol.27:569-588.
[94] Kyle, Albert S., 1984,“Market Structure, Information, Futures Markets and Price Formation”, in International Agricultural Trade:Advanced Reading in Price Formation, Market Structure and Price Instability, ed. By G. Story, A. Schmitz and A. Sarris, Westview Press, Boulder and London.
[95] Kyle, Albert S., 1985,“Continuous Auctions and Insider Trading”, Econometrica, Vol.53:1315-1335.
[96] Kyle, Albert S., 1989,“Informed Speculation with Imperfect Competition”, Review of Economic Studies Vol.56:317-355.
[97] L. Bauwens, and P. Giot., 2000,“The logarithmic ACD model:An application to the bid-ask quote process of three NYSE stocks”, Annales Economie Statistique, Vol.60:117-149.
[98] Lee, S. and Yoo, T., 1993,“Margin regulation and stock market volatility:Fu rther evidence from Japan, Korea and Taiwan,”Pacific-Basin Finance Journal, Vol.1:155-174.
[99] Lewis, C., Rogalski, R., Seward, J.. 1998,“Agency problems, information asymmetries and convertible debt security design”, Journal of Financial Intermediation Vol.7:32-59.
[100] Lewis, C., Rogalski, R.,Seward, J.. 2003,“Industry conditions, Growth opportunities and market reactions to convertible debt financing decisions”, Journal of Banking and Finance Vol.27:153-181.
[101] Lin, J. Sanger, G. Booth, G., 1995,“Trade size and components of the Bid-ask spread”, Review of Financial Studies, Vol.8:99-134.
[102] Ling Fengli, 2002,“The correlation of stock and bond returns—Theory and empirical evidence”, Yale Working Paper, No.14, October.
[103] Lintner, J.,1965,“Security prices, risk and maximal gain from diversification”, Journal of Finance, Vol.20:587-615.
[104] Loeb, T.F., 1983,“Trading Cost:the Critical Link between Investment Information and Results”, Financial Analysts Journal Vol.39:39-43.
[105] Lyons, Richard, 1995,“Test of microstructure hypotheses in the foreign exchan gemarket”, Journal of Financial Economics, Vol.39:321-351.
[106] Madhavan , A. and S. Smidt, 1991,“A Bayesian Model of Intraday Specialist Pricing”, Journal of Financial Economics Vol.30:99-134.
[107] Madhavan, A. and M. Cheng, 1997,“In search of Liquidity:An Analysis of Upstairs and Downstairs trades”, Review of Financial Studies, Vol.10:175-204.
[108] Madhavan, A., 1992,“Trading mechanisms in securities markets”, Journal of Finance, Vol. 47:607-641.
[109] Madhavan, A., M. Richardson, and M. Roomans, 1997,“Why do security prices change? A transaction-level analysis of NYSE stocks”, Review of Financial Studies, Vol.10:1035-1064.
[110] Madhavan, Ananth, 1995,“Consolidation, fragmentation and the disclosure of trading information”, Review of Financial Studies, Vol8:579-603.
[111] Madhavan, Ananth, 1996,“Security prices and market transparency”, Journal of Financial Intermediation, Vol.5:255-283.
[112] Madhavan, Ananth, 2000,“Market Microstructure:A survey”, Journal of Financial Markets Vol.3:205-258.
[113] Manaster, Steven and Steve C. Mann, 1996,“Life in the Pits:Competitive Market Making and Inventory Control”, Review of Financial Studies Vol.9:953-975.
[114] Mayers, D..1998,“Why firms issue convertible bonds:the matching of financial and real investment options”, Journal of Financial Economics Vol.47:83-102.
[115] Mcinish,T. and Wood, R. ,1990,”A Transaction Data Analysis of The Variability of Common Stock During 1980-1984”J. Bankis, Vol.14:P99-112.
[116] Mendelson, H., 1982,“Market Behavior in a Clearing House”, Econometrica Vol.50:1505-1524.
[117] Meulbroek, L.K., 1992,“An Empirical Analysis of Insider Trading and the Stock Market”, Journal of Finance Vol.47:1661-1669.
[118] Nicolas Audet, Toni Gravelle and Jing Yang, 2002,“Alternative Trading Systems:Does One Shoe Fit All?,”Working Papers (Bank of Canada), 02-33.
[119] O’Hara, M. and G. Oldfield, 1986,“The Microeconomics of Market Making”, Journal of Financial and Quantitative Analysis,Vol.21:361-376.
[120] O’Hara, M., 1995,“Market Microstructure Theory”, Basil Blackwell, Cam brid ge Mass, pages:651-673.
[121] Pagano, M., and Ailsa Roell, 1996,“Transparency and liquidity:A comparison of auction and dealer markets with informed trading”, Journal of Finance, Vol. 51:579-611.
[122] Parlour, C., and D. Seppi, 2003,“Liquidity-Based competition for order flow”, Review of Financial Studies, Vol.16:301-343.
[123] Pesaran, Shin, 2002, Long-run structural modeling, Econometric Reviews, 21(1):49-87.
[124] Porter, D. and D. Veaver, 1998,“Transparency and Liquidity:Should U.S. Markets be more Transparent?”, Working Paper, Marquette University.
[125] Reiss, P.C. and I.M. Werner, 1998,“Does Risk Sharing Motivate Inter-dealer Trading?”, Journal of Finance Vol.53:1657-1703.
[126] Roll, R., 1984,“A Simple Implicit Measure of the Effective Bid-Ask Spread”, Journal of Finance Vol.39:1127-1139.
[127] S Manganelli., 2005,“Duration, volume and volatility impact on trades”, Journ al of Financial markets, Vol.5:377-399.
[128] Seppi, D., 1990,“Equilibrium block trading and asymmetric information”, Journal of Finance, Vol.45:73-94.
[129] Seppi, D., 1997,“Liquidity provision with limit orders and a strategic specialist”, Review of Financial Studies, Vol.10:103-174.
[130] Smidt, S., 1971,“Which Road to an Efficient Stock Market:Free Competition or Regulated Monopoly?”, Financial Analysts Journal Vol.27:64-69.
[131] Smidt, S., 1979,“Continuous vs. Intermittent Trading on Auction Markets”, Journal of Financial and Quantitative Analysis Vol.14:837-886.
[132] Steeley, J.M., and F. Ahmad, 2002,“The Effects of Safe-haven status on the Gilt-edged market”, Journal of Bond Trading and Management, Vol.1:120-148.
[133] Stein, J.C., 1992,“Convertible bonds as backdoor equity financing”, Journal of Financial Economics Vol.32:3-21.
[134] Stoll, Hans R., 1978,“The Supply of Dealer Services in Securities Markets”, Journal of Finance, Vol.33:1133-1151.
[135] Stoll, Hans R., 1989,“Inferring the components of the bid-ask spread:theory and empirical tests”, Journal of Finance, Vol.44:115-134.
[136] Stoll, Hans R., and Robert E. Whaley, 1990,“Stock Market Structure and Volatility”, Review of Financial Studies, Vol.3:37-71.
[137] T.Roberts, 1977,“A test of option market efficiency using a random-walk valuation model”, Journal of Economics and Business,Vol.12:39-46.
[138] Vijh, Anand, 1990,“Liquidity of the CBOE Equity Options”, Journal of Finance Vol.45:1157-1179.
[139] Viswanathan, S. and J. Wang, 2002,“Market architecture:limit order books versus dealership marktes”, Journal of Financial Markets, Vol.5:127-168.
[140] Wood, R., T. McInish and K. Ord, 1985,“An Investigation of Transactions Data for NYSE Stocks”, Journal of Finance Vol.40:723-741.
[1]白娜,章翼丹.中美可转债市场的比较及对中国的启示[J].浙江金融,2007(7):41-42.
[2]包郭平,应益荣.金融市场中高频数据的分析方法[J].五邑大学学报,2007(4):71-75.
[3]曹桓.证券信用交易与证券交易制度[J].世界经济情况,2008(5):77-80.
[4]陈保华.交易机制对股价行为的影响--对中国股票市场的实证检验[J].经济研究,2001(5):69-73.
[5]陈斌,李信民,杜要忠.中国股市个人投资者状况调查[J].深圳证券交易所综合研究所研究报告,2002(0055).
[6]陈敏,王国明,吴国富,蒋学雷.中国证券市场的ACD-GARCH模型及其应用[J].统计研究,2003(11):60-62.
[7]陈守红.可转债投融资--理论与实务[M].上海:上海财经大学出版社,2005.
[8]陈述云,蒋永穆.加大金融创新力度,发展可转债市场[J].理论与改革,2003(3):64-67.
[9]戴国强,吴林祥.金融市场微观结构理论[M].上海:上海财经大学出版社,1999.
[10]杜金岷,黄勇民.我国可转债转股条款设计的实证研究[J].统计研究,2007(4):69-74.
[11]杜军,胡跃红,刘建江.期货市场交易结构、价格形成机制及其效率研究[J].金融理论与实践,2006(3):3-6.
[12]杜莉,王宏来.成交量变化与可转债指数波动的协整分析[J].社会科学战线,2009(8):99-104.
[13]杜莉,王宏来.可转债市场成交量对收益率波动的非对称冲击效应研究[J].管理世界,2009(8):169-170.
[14]段西军.上海股票市场买卖价差研究[J].南方金融,2006(10):52-54.
[15]耿克红,张世英.SCD模型与ACD模型比较研究[J].管理学报,2008(1):44-48.
[16]耿克红,张世英.中国股市超高频持续期序列长记忆性研究[J].中国管理科学,2008(2):7-13.
[17]顾娟,刘建洲.信息不对称与股票价格变动--我国证券市场信息传导机制的经济学分析[J].经济研究,2004(2):106-114.
[18]郭宝生,任若恩.ACD模型的发展以及在金融中的应用[J].系统工程,2007(10):1-10.
[19]郭名媛,张世英.基于高频数据的沪深股票市场的相关性研究[J].系统工程学报,2009(3):293-298.
[20]郭听炜.可转债市场发展研究-海外经验与中国可转债市场体系的构建[EB/OL].国研网(http://www.drcnet.com.cn/),2002-5-24.
[21]郭晔.“有限理性”框架下证券交易监管研究[D].厦门大学,2002.
[22]韩德宗,林承松.期货收益率极端波动离散间隔的实证研究[J].浙江工商大学学报,2009(5):63-69.
[23]韩冬,王春峰,岳慧煜.中国股市买卖价差成分分析--基于指令驱动市场的实证研究[J].北京理工大学学报,2006(2):82-85.
[24]韩铁,张世英.超高频数据的变结构分整增广ACD模型[J].系统工程学报,2008(1):52-59.
[25]何诚颖,卢宗辉,何兴强,柴俊.中国股票市场逆向选择成本研究[J].经济研究,2009(2):68-80.
[26]何佳,夏晖.有控制权利益的企业融资工具选择--可转债的理论思考[J].经济研究,2005(4):66-76.
[27]胡继之,于华.各国股市交易制度的比较研究[J].深圳证券交易所综合研究所研究报告,1998(0003).
[28]胡援成,周珺.财务危机成本、赎回失败与可转债最优赎回决策[J].系统工程理论与实践,2009(11):100-111.
[29]黄德龙,裴建锁,杨晓光.我国债券市场微观结构的现状、问题和对策[R].CFEF研究报告,2005年4月.
[30]江曙霞,郭曄,曾志钊,陈雨.市场微观结构:理论、实践与监管应用[M].北京:中国财政经济出版社,2006.
[31]蒋冠,田存志.基于高频数据的上海股票市场隐性交易成本的实证[J].财经论坛,2008(6):137-139.
[32]金爱华.关于可转债发行条款适应性问题的研究--来自民生银行可转债的案例分析[J].经济论坛,2008(20):72-76.
[33]康国彬,刘龙庭.中国可转债市场研究[J].金融理论与实践,2003(9):61-64.
[34]雷觉铭,曾勇.上海股市买卖价差成分分析[J].系统工程,2006(6):74-80.
[35]李广川,刘善存,邱菀华.中国证券市场成交指令积极性及成交持续期的影响因素研究[J].系统工程理论与实践,2007(10):11-21.
[36]李广析,杨辉耀.用VAR测量可转债的市场风险[J].商业研究,2003(22):31-33.
[37]李华,陈鹏.基于ARCH模型的股票和可转债市场收益率波动特征比较[J].数学的实践与认识,2008(13):48-52.
[38]李康,杨兴君,杨雄.配股和增发的相关者利益分析和政策研究[J].经济研究,2003(3):79-92.
[39]李岚.中行拟发行可转债补充资本[J].金融时报,2010(1).
[40]李梦玄.基于高频数据的我国股市信息传导研究[J].金融发展研究,2008(12):52-59.
[41]李朋,刘善存.信息性交易概率分解与买卖价差研究[J].南方经济,2006(2):13-22.
[42]李婷,王嘉承.投资者构成对市场流动性的影响研究[J].经济论坛,2009(14):76-78.
[43]厉斌.新股上市首日交易的微观结构--流动性、深度与买卖价差[J].内蒙古农业大学学报,2006(1):203-206.
[44]刘成彦,王其文.中国上市公司可转债发行的公告效应研究[J].经济科学,2005(4):50-55.
[45]刘娥平.中国上市公司可转债发行公告财富效应的实证研究[J].金融研究,2005(7):45-56.
[46]刘衡郁.中国股市日内流动性效应分析--基于高频数据的流动性度量、特征及其影响因素[J].财会通讯,2008(5):11-15.
[47]刘逖.证券市场微观结构理论与实践[M].上海:复旦大学出版社,2002.
[48]刘晓星,邱桂华.基于买卖价差的我国股票市场流动性调整的风险价值研究[J].当代经济管理,2008(8):83-87.
[49]刘星海.可转债转股对标的股票价格影响的实证研究[J].海南金融,2009(6):32-36.
[50]刘洋,陈思思,庄新田.沪市认购权证与标的股票的高频数据协整分析[J].东北大学学报,2007(11):1660-1664.
[51]马超群,张明良.中国证券市场的LOG-ACD模型及其应用[J].统计观察,2006(2):92-95.
[52]马丹,向蓉美.非对称信息与高频价格变动[J].统计与信息论坛,2007(6):27-34.
[53]马丹,尹优平.交易间隔、波动性和微观市场结构--对中国证券市场交易间隔信息传导的实证分析[J].金融研究,2007(7):165-174.
[54]马丹.限价订单信息含量分布:理论模型及中国市场实证研究[J].统计与信息论坛,2008(11):59-64.
[55]牟晖,韩立岩,刘韧陶.论中国可转债市场的发展[J].生产力研究,2006(10):68-70.
[56]牟晖,韩立岩,谢朵,陈之安.中国资本市场融资顺序新证:可转债发行公告效应研究[J].管理世界,2006(4):19-40.
[57]穆启国,吴冲锋,刘海龙.深圳证券交易所买卖价差的构成分析[J].系统工程理论方法应用,2004(3):239-243.
[58]彭志文.我国创业板市场交易制度设计[J].经济管理,2009(3):1-6.
[59]祁斌,黄明,陈卓思.机构投资者与股市波动性[J].金融研究,2006(9):54-64.
[60]屈文洲,吴世农.中国股市微观结构的特征分析——买卖报价价差模式及影响因素的实证研究[J].经济研究,2002(1):56-63.
[61]屈文洲.行情公告牌信息对交易者行为的影响--基于自回归交易持续期模型(ACD)的分析[J].管理世界,2006(11):19-26.
[62]饶育蕾,张轮.行为金融学[M].上海:复旦大学出版社,2005年7月.
[63]邵晓阳,苏敬勤,于圣睿.竞价制度下股票价格形成机制研究[J].管理科学,2005(4):52-57.
[64]深交所投资者教育中心.创业板公司如何发可转债[N].上海证券报,2009(8).
[65]深圳证券交易所综合研究所.美国证券市场相关制度[R].2008年4月.
[66]深圳证券交易所综合研究所.香港证券市场相关制度[R].2008年4月.
[67]沈悦,王书伟.大宗交易制度:机构投资者的特殊安排[J].当代经济科学,2002(5):46-49.
[68]施东晖,孙培源.市场微观结构--理论与中国经验[M].上海:上海三联书店,2005.
[69]施红俊,陈伟忠.波动率持续性基于信息到达过程的成交量解释[J].同济大学学报,2004(5):690-695.
[70]史美景.高频数据及市场微观结构模型[J].知识丛林,2004(10):155-156.
[71]史永东,何海江,沈德华.中国股市有效性动态变化的实证研究[J].系统工程理论与实践,2002(12):88-92.
[72]宋冬林,毕子男,沈正阳.机构投资者与市场波动性关系的研究[J].经济科学,2007(3):97-103.
[73]苏冬蔚.噪声交易与市场质量[J].经济研究,2008(9):82-95.
[74]孙培源,施东晖.微观结构、流动性与买卖价差[J].世界经济,2002(4):69-72.
[75]孙云辉.订单驱动机制下买卖价差构成分析[J].商业研究,2006(19):141-143.
[76]谭地军,田益祥,黄文光.持续期间、交易量、波动率与知情交易[J].统计研究,2008(2):71-77.
[77]唐文彬,吴海燕.新形势下我国可转债市场进一步发展研究[J].吉首大学学报,2008(4):63-65.
[78]唐勇,张世英.高频数据的加权已实现极差波动及其实证分析[J].系统工程,2006(8):52-57.
[79]唐元春.投资可转债要债性股性兼顾[J].中国证券报,2008(5).
[80]唐振鹏.金融高频数据和超高频数据的研究现状及展望[J].福州大学学报,2008(4):14-20.
[81]田存志,段万春,杨洪涛.基于微观数据的股票市场交易成本研究[J].思想战线,2008(6):71-75.
[82]田昆儒,王冬年.可转债双重属性的分析[J].审计与经济研究,2009(9):83-86.
[83]王春峰,卢涛,房振明.基于价格离散选择模型的中国股市价格行为特征研究[J].管理工程学报,2008(1):140-144.
[84]王春峰,卢涛,房振明.收盘价格形成机制对中国股票市场质量影响的实证研究[J].当代财经,2007(2):49-55.
[85]王春峰,张龙斌,房振明.交易信号对交易过程的动态影响模型研究[J].预测,2008(4):66-70.
[86]王春峰,庄泓刚,房振明,卢涛.长记忆随机波动模型的估计与波动率预测--基于中国股市高频数据的研究[J].系统工程,2008(7):29-34.
[87]王冬年,韩丹,李宝新.中国上市公司可转债融资特征:债券性还是期权性[J].河北经贸大学学报,2008(5):44-51.
[88]王璐.股市与债市波动溢出效应的机理研究--基于金融资源配置效率的视角[J].广东金融学院学报,2008(9):65-71.
[89]王蔚祺.次贷风暴成就可转债市场[J].第一财经日报,2008(1).
[90]王雁茜.交易制度、交易成本与市场质量--中国证券市场的理论与实证研究[M].杭州:浙江大学出版社,2004.
[91]王志强,陈培昆.买卖价差构成理论研究综述[J].证券市场导报,2006(6).
[92]王志强,陈培昆.深市买卖价差逆向选择成分的估算与分析[J].证券市场导报,2006(3).
[93]危慧惠.中国可转债定价机制研究[M].北京:中国财政经济出版社,2007.
[94]魏莉娅,马永开.基于高频数据的深圳基金市场日内周期性研究[J].当代经济管理,2007(1):101-105.
[95]吴文锋,朱云,吴冲锋,芮萌.B股向境内居民开放对市场信息不对称的影响[J].管理科学学报,2007(6):57-64.
[96]肖文,周明海,蔡尔津.保险资金投资可转债市场的策略分析[J].浙江金融,2008(01):48-49.
[97]熊德华,张圣平.市场微观结构:理论发展与实证分析综述[J].管理世界,2006(8):158-167.
[98]熊瑛,吴淑专,池红梅.中国可转债市场投资分析[J].才智,2008(15):155.
[99]徐国祥,金登贵.金融高频数据分析--扩展ACD模型实证研究[J].财经研究,2006(6):15-23.
[100]徐小华,何佳,吴冲锋.我国债券市场价格非对称性波动研究[J].金融研究,2006(12):14-22.
[101]许香存,李平,曾勇.交易前透明度、市场深度和交易者构成[J].系统管理学报,2008(6):273-277.
[102]杨如彦,魏刚,刘孝红,孟辉.可转债及其绩效评价[M].北京:中国人民大学出版社,2002.
[103]杨之曙,姚松瑶.沪市买卖价差和信息性交易实证研究[J].金融研究,2004(4):45-56.
[104]杨之曙.应用市场微观结构理论构建中国证券市场实时监管系统[J].金融科学,2000(3):76-79.
[105]姚宁.中国股市完全信息交易成本的实证分析[J].北京航空航天大学学报,2008(6):1-4.
[106]叶建芳,陈雪梅.可转债利弊分析[J].财政监督,2008(24):56-57.
[107]易艳春,吴雄韬.有交易费和买卖价差的无套利市场模型[J].衡阳师范学院学报,2007(6):17-18.
[108]于华.各国股市交易制度的比较研究[J].深圳证券交易所综合研究所研究报告,1998(0003).
[109]曾巧蓉.我国分离式可转债对标的股票影响的实证分析[J].时代金融,2008(12):38-40.
[110]曾勇,李平,刘波,王志刚.证券市场微观结构研究[M].北京:科学出版社,2008.
[111]张波,钟玉洁,田金方.基于高频数据的沪指波动长记忆性驱动因素分析[J].统计与信息论坛,2009(6):21-26.
[112]张程睿.公司信息披露质量对投资者交易行为的影响[J].南方经济,2008(4):53-64.
[113]张高擎,廉鹏.可转债融资与机构投资者侵占行为--基于华菱管线可转债案例研究[J].管理世界,2009(增刊):110-120.
[114]张维迎.博弈论与信息经济学[M].上海:上海人民出版社,2004年11月:192-222.
[115]张瀛.做市商、流动性与买卖价差--基于银行间债券市场的流动性分析[J].世界经济,2007(10):86-95.
[116]张峥,唐国正,刘力.投资者群体差异与可转债折价--中国市场的实证分析[J].金融研究,2006(11):1-16.
[117]张中旭.上海证券交易所买卖价差的实证研究[J].现代商贸工业,2009(2):153-155.
[118]章卫东.中国上市公司可转债市场绩效的实证研究[J].江西社会科学,2006(12):109-114.
[119]赵宏宝.基于高频数据的股市收益波动的非对称性研究[J].铜陵学院学报,2008(2):38-40.
[120]赵骅,张宗益,杨武.做市商制度下证券价格的形成机制分析[J].管理科学学报,2007(2):90-94.
[121]周开国.香港股票市场的微观结构研究[M].北京:北京大学出版社,2009.
[122]周林,施红俊,陈伟忠.波动率的持续性:基于GARCH模型的成交量解释[J].统计与信息论坛,2005(3):55-62.
[123]周隆斌,余颖.市场微观结构、行为金融与股票价格调整:一个理论框架[J].武汉大学学报,2005(2):261-267.
[124]周雪梅.从发展企业债的视角看转债市场的进一步发展[J].内蒙古科技与经济,2007(14):3-5.
[1]国务院发展研究中心信息网(http://www.drcnet.com.cn/)
[2]巨潮资讯网(http://www.cninfo.com.cn/)
[3]纳斯达克证券交易所(http://www.nasdaq.com/)
[4]纽约证券交易所(http://www.nyse.com/)
[5]锐思数据(http://www.resset.cn/cn/)
[6]上海证券交易所(http://www.sse.com.cn/)
[7]深圳证券交易所(http://www.szse.cn/)
[8]万点资讯(http://www.windin.com/)
[9]香港交易所(http://www.hkex.com.hk/)
[10]中国新闻网(http://www.chinanews.com.cn/)
[11]中国证券监督管理委员会(http://www.csrc.gov.cn/)
[12]中国证券业协会(http://www.sac.net.cn/)
[13]中国资金管理网(http://www.treasurer.org.cn/)
[14]中信建投(http://research.csc.com.cn/)
[15]全景网(http://www.p5w.net/)