參考文獻 |
References
Amihud, Y., Mendelson, H., 1988. Liquidity and asset prices: Financial management implications. Financial Management 17, 5-15.
Andersen, T. G., Bollerslev, T., 1998. Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance 53, 219-265.
Andersen, T. G., Bollerslev, T., Diebold, F. X., Vega, C., 2003. Micro effects of macro announcements: Real-time price discovery in foreign exchange. American Economic Review 93, 38-62.
Altinkilic, O., and Hansen, R., 2009. On the information role of stock recommendation revisions. Journal of Accounting and Economics 48, 17-36.
Bakshi, G., Wu, L., 2010. The behavior of risk and market prices of risk over the Nasdaq bubble period. Management Science 56, 2251-2264.
Balduzzi, P., Elton, E. J., and Green, T. C., 2001. Economic news and bond prices: Evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis 36, 523-543.
Barclay, M.J., Litzenberger, R.H., Warner, J.B., 1990. Private information, trading volume, and stock-return variances. Review of Financial Studies 3, 233-254.
Barclay, M. J., Warner, J., B., 1993. Stealth trading and volatility: Which trades move prices? Journal of Financial Economics 34, 281-305.
Barclay, M. J., Hendershott, T., 2003. Price discovery and trading after hours, Review of Financial Studies 16, 1041-1073.
Barclay, M. J., Hendershott, T., 2008. A Comparison of Trading and Non-Trading Mechanisms for Price Discovery. Journal of Empirical Finance 15, 839-849.
Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., Shephard, N., 2005. Regular and modified kernel-based estimators of integrated variance: The case of independent noise, Working Paper.
Barndorff-Nielsen, O. E., Graversen, S. E., Jacod, J., Podolskij, M., Shephard, N., 2006. A central limit theorem for realized power and bipower variations of continuous semimartingales, 33–68.In Y. Kabanov and R. Lipster (eds.), From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev. Springer-Verlag Berlin Heidelberg: New York.
Barndorff-Nielsen, O. E., Graversen, S. E., Jacod, J., Shephard, N., 2006. Limit theorems for bipower variation in financial econometrics. Econometric Theory 22, 677-719.
Bacchetta P, van Wincoop E. 2006. Can information heterogeneity explain the exchange rate determination puzzle? American Economic Review 96, 552-576.
Bates, D., S., 1991. The crash of ′87: Was it expected? The evidence from options markets. Journal of Finance 46, 1009-1044.
Bauwens, L., Ben Omrane, W., Giot, P., 2005. News announcements, market activity and volatility in the euro/dollar foreign exchange market. Journal of International Money and Finance 24, 1108e-1125.
Bhattacharya, U., Daouk, H., Jorgenson, B., Kehr, C., 2000. When an event is not an event: The curious case of an emerging market, Journal of Financial Economics 55, 69-101.
BIS, 2013, Triennial central bank survey of foreign exchange and derivatives market activity in April 2013: Preliminary global results, Bank for International Settlements.
Black, F., 1986. Noise. Journal of Finance 41, 529-543.
Bollerslev, T., Li, S. Z., Todorov, V., 2016. Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns. Journal of Financial Economics 120, 464-490.
Bradley, D., Clarke, J., Lee, S., Ornthanalai, C., 2014. Are analysts’ recommendations informative? Intraday evidence on the impact of time stamp delays. Journal of Finance 69, 645–673.
Cai, F., Howorka, E., Wongswan, J., 2008. Informational linkages across trading regions: evidence from foreign exchange markets. Journal of International Money and Finance 27, 1215-1243.
Cabrera, J., Wang, T., Yang, J., 2009. Do futures lead price discovery in electronic foreign exchange markets? Journal of Futures Markets 29, 137-156.
Chatrath, A., Miao, H., Ramchander, S., Villupurum, S., 2014. Currency jumps, cojumps, and the role of macro news. Journal of International Money and Finance 40, 42-62.
Chan, K., 1992. A further analysis of the lead–lag relationship between the cash market and stock index futures market. Review of Financial Studies 5, 123-152.
Chen, Y. L., Gau, Y. F., 2010. News announcements and price discovery in foreign exchange spot and futures markets. Journal of Banking and Finance 34, 1628-1636.
Covrig, V., Melvin, M., 2002. Asymmetric information and price discovery in the FX market: Does Tokyo know more about the Yen? Journal of Empirical Finance 9, 271-285.
Crain, S. J. & Lee, J. H. 1995. Intraday volatility in interest rate and foreign exchange spot and futures markets. Journal of Futures Markets, 15, 395-421.
Cremers, M., Halling, M., Weinbaum, D., 2015. Aggregate jump and volatility risk in the cross-section of stock returns, Journal of Finance 70, 577-614.
Easley, D., O’Hara, M., 2004. Information and the cost of capital. Journal of Finance, 59, 1553-1583.
Eraker, B., Johannes, M., and polson, N., 2003. The Impact ofJumps inVolatility and Returns. Journal of Finance 3, 1269-1300.
Ederington, L. H., Lee, J. H., 1993. How markets process information: News releases and volatility. Journal of Finance 48, 1161-1191.
Evans, Martin D.D., Lyons, Richard K., 2002. Order flow and exchange rate dynamics. Journal of Political Economy 110, 170–180.
Evans, M. D.D., Lyons, R. K., 2008. How is macro news transmitted to exchange rates? Journal of Financial Economics 88, 26-50.
Evans, K., Speight, A., 2010. International macroeconomic announcements and intraday euro exchange rate volatility. Journal of the Japanese and International Economies 24, 552-568.
Foster, F. D., Viswanathan, S., 1996. Strategic trading when agents forecast the forecasts of others. Journal of Finance 51, 1437-1478.
Garfinkel, J.A., Sokobin, J., 2006. Volume, opinion divergence, and return: A study of post-earnings announcement drift. Journal of Accounting Research 44, 85-112.
Gonzalo, J., Granger, C.W.J., 1995. Estimation of common long-memory components in co-integrated systems. Journal of Business and Economic Statistics 13, 27-36.
Graham, J., Koski, J., Loewenstein, U., 2006. Information flow and liquidity around anticipated and unanticipated dividend announcements. Journal of Business 79, 2301-2336.
Green, T. C., 2004. Economic news and the impact of trading on bond prices. Journal of Finance 3, 1021-1233.
Hasbrouck, J., 1991. The summary informativeness of stock trades: An econometric analysis, Review of Financial Studies 4, 571-595.
Hasbrouck, J., 1995. One security, many markets: Determining the contributions to price discovery. Journal of Finance 50, 1175-1199.
Hashimoto, Y., Ito, T., 2010. Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High resolution picture. Journal of the Japanese and International Economies 24, 334-354.
Hayo, B., Neuenkirch, M., 2010. Domestic or U.S. news: What drives Canadian financial markets? Economic Inquiry 50, 690-706.
Huberman, G., Schwert, G.W., 1985. Information aggregation, inflation, and the pricing of indexed bonds. Journal of Political Economy 93, 92-114.
Ito, T., Hashimoto, Y., 2006. Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system. Journal of the Japanese and International Economies 20, 637-664.
Jiang, C., X., Likitapiwat, T., McInish, T., 2012. Information content of earnings announcements: Evidence from after hours trading. Journal of Financial and Quantitative Analysis 47, 1303-1330.
Jiang, G.J., Lo, I., Verdelhan, A., 2011. Information shocks, liquidity shocks, jumps and price discovery: Evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis 46, 527-551.
Kim, O., Verrecchia, R., 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17, 41-68.
Kyle, A. S., 1985. Continuous auctions and insider trading. Econometrica 53, 1315-1336.
Lee, S., 2011. Jump and information flow in financial markets. Reviews of Financial Studies 25, 439-479.
Libby, T., Mathieu, R., W, S., Robb, G., 2002. Earnings announcements and information asymmetry: An intra-day analysis. Contemporary Accounting Research 19, 449-472.
Love, R., Payne, R., 2008. Macroeconomic news, order flow and exchange rates. Journal of Financial and Quantitative Analysis 43, 467-488.
Lyons, R, 1995. Tests of microstructural hypotheses in the foreign exchange market. Journal of Financial Economics 39, 321-351.
Marshall, A., Musayev, T., Pinto, H., Tang, L., 2012. Impact of news announcements on the foreign exchange implied volatility. Journal of International Financial Markets, Institutions and Money 22, 719-737.
Meulbroek, L., 1992. An Empirical analysis of illegal insider trading. Journal of Finance 47, 1661-1699.
Minton, B., A., Schrand, C., 1999. The impact of cash flow volatility on discretionary investment and the costs of debt and equity financing. Journal of Financial Economics 54, 423-460.
Newey, W.K., West, K.D., 1994. Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61, 631-653.
Nowak, S., Andritzky, J., Jobst, A., Tamirisa, N., 2011. Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets. Journal of Banking and Finance 35, 2584-2597.
O’Hara, M., 2003. Presidential address: liquidity and price discovery. Journal of Finance 58, 1335-1354.
O’Hara, M., 2015. High frequency market microstructure. Journal of Financial Economics 116, 257-270.
Ornthanalai, C., 2014. Lévy jump risk: Evidence from options and returns. Journal of Financial Economics 112, 69-90.
Payne, R., 2003. Information transmission in inter-dealer foreign exchange transactions. Journal of International Economics 61, 307-329.
Perraudin, W., Vitale, P., 1996. Interdealer trade and information flows in the foreign exchange market. In: Frankel, J., Galli, G., and Giovannini A. (Eds), The microstructure of foreign exchange markets. Chicago, IL: University of Chicago Press, 73-99.
Pronk, M, 2006. The impact of intraday timing of earnings announcements on the bid-ask spread and depth. Journal of Accounting, Auditing and Finance 21, 27-54.
Putniņš, T., J., 2013.What do price discovery metrics really measure? Journal of Empirical Finance 23, 68-83.
Rime, D., Sarno, L., Sojli, E., 2009. Exchange-rate forecasting, order flow, and macroeconomic information. Journal of International Economics 80, 72-88.
Rime, D., Schrimpf, A., 2013. The anatomy of the global FX market through the lens of the 2013 triennial survey. BIS Quarterly Review December.
Riordan, R., Storkenmaier, A., Wagener, M., Zhang, S., 2013. Public information arrival: Price discovery and liquidity in electronic limit order markets. Journal of Banking and Finance 37, 1148-1159.
Sapp, S., G., 2002. Price Leadership in the spot foreign exchange market. Journal of Financial and Quantitative Analysis 37, 425-448.
Tetlock, P., 2010. Does public financial news resolve asymmetric information? Review of Financial Studies 23, 3520-3557.
Tse, Y., Xiang, J., Fung, J.K.W., 2006. Price discovery in the foreign exchange futures market. Journal of Futures Markets 26, 1131-1143.
Wang, J., Yang, M., 2011. Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets. Journal of Financial Market 14, 82-108.
Xiong W.,Yan, H., 2010. Heterogeneous expectations and bond markets. Review of Financial Studies 23,1433–1466.
Zhang, L., Mykland, P., Ait-Sahalia, Y., 2005. A tale of two timescales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association 100, 1394-1411. |