MEASURING THE INFORMATION-CONTENT OF STOCK TRADES

被引:721
作者
HASBROUCK, J
机构
关键词
D O I
10.2307/2328693
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:179 / 207
页数:29
相关论文
共 33 条
[1]   A Theory of Intraday Patterns: Volume and Price Variability [J].
Admati, Anat R. ;
Pfleiderer, Paul .
REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) :3-40
[2]   DEALERSHIP MARKET - MARKET-MAKING WITH INVENTORY [J].
AMIHUD, Y ;
MENDELSON, H .
JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (01) :31-53
[3]  
Bagehot W, 1971, FINANCIAL ANAL J, V8, P31
[4]   ON THE DYNAMIC BEHAVIOR OF PRICES IN DISEQUILIBRIUM [J].
BEJA, A ;
GOLDMAN, MB .
JOURNAL OF FINANCE, 1980, 35 (02) :235-248
[5]   INSIDER HOLDINGS AND PERCEPTIONS OF INFORMATION ASYMMETRY - A NOTE [J].
CHIANG, R ;
VENKATESH, PC .
JOURNAL OF FINANCE, 1988, 43 (04) :1041-1048
[6]   INFORMATION EFFECTS ON THE BID-ASK SPREAD [J].
COPELAND, TE ;
GALAI, D .
JOURNAL OF FINANCE, 1983, 38 (05) :1457-1469
[7]   PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS [J].
EASLEY, D ;
OHARA, M .
JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) :69-90
[8]  
FOSTER DF, 1988, VARIATIONS VOLUMES S
[9]  
FOSTER DF, 1987, INTRADAY VARIATIONS, V1
[10]   MARKET MICROSTRUCTURE [J].
GARMAN, MB .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) :257-275