证券市场微观结构理论研究
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外国经济与管理 2001 年 第 23 卷第 05 期, 页码：16 - 22
摘要
参考文献
摘要
本文概述了市场微现结构理论，内容主要包括：１．交易机制。其主要功能就是把投资者的潜在需求转化为价格和成交量。本部分主要比较了不同的交易机制在价格发现和流动性上的效率。２．市场结构与设计。它比较了不同结构市场的运行效率。３．透明度。它是指市场参与者观察有关交易过程信息的能力。本部分比较了不同程度的透明度对信息效率和流动性的影响。
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[2]Ananth Madhavan. Trading Mechanisms in Securities Markets[J]. Journal of Finance, 1992, (2) : 627 -636.
[3]Erik Theissen. Market Structure, Informational Effeciency and Liquidity: An Experimental Comparision of Auction and Dealer Markets[J]. Journal of Financial Markets, 2000,(3):333-363.
[4]Amihud, Y. , and Mendelson, H.. Trading Mechanisms and Stock Returns: An Empirical Investigation. [J]. Journal of Finance, 1987,(42):533-553.
[5]Madhavan, A. . Security Prices and Market Transparency [J]. Journal of Financial Intermediation, 1996, (5)::255-283.
[6]Schnitzlein, C. R.. Call and Continuous Trading Mechanisms Under Asymmetric Information: An Experi-mental Investigation[J], Journal of Finance, 1996,(51):613?36.
[2]Ananth Madhavan. Trading Mechanisms in Securities Markets[J]. Journal of Finance, 1992, (2) : 627 -636.
[3]Erik Theissen. Market Structure, Informational Effeciency and Liquidity: An Experimental Comparision of Auction and Dealer Markets[J]. Journal of Financial Markets, 2000,(3):333-363.
[4]Amihud, Y. , and Mendelson, H.. Trading Mechanisms and Stock Returns: An Empirical Investigation. [J]. Journal of Finance, 1987,(42):533-553.
[5]Madhavan, A. . Security Prices and Market Transparency [J]. Journal of Financial Intermediation, 1996, (5)::255-283.
[6]Schnitzlein, C. R.. Call and Continuous Trading Mechanisms Under Asymmetric Information: An Experi-mental Investigation[J], Journal of Finance, 1996,(51):613?36.
引用本文
陈保华. 证券市场微观结构理论研究[J]. 外国经济与管理, 2001, 23(5): 16–22.
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