參考文獻 |
Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5, 31-56.
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223-249.
Baruch, S. (2005). Who benefits from an open limit-order book? Journal of Business, 78, 1267-1306.
Bekaert, G., & Harvey, R. C. (1995). Time-varying world warket integration. Journal of Finance, 50, 403-444.
Bekaert, G., Harvey, R. C., & Lundblad, C. (2003). Liquidity of emerging markets: Lessons from emerging markets. North Carolina: Duke University.
Bekaert, G., & Urias, S. M. (1996). Diversification, integration and emerging market closed end funds. Journal of Finance, 51, 835-869.
Bhattacharya, U., & Daouk, H. (2002). The world price of insider trading. The Journal of Finance, 75-108.
Biais, B. (1993). Price formation and equilibruim liquidity in fragmented and centralized markets. The Journal of Finance, 48, 157-185.
Bloomfield, R., & O'Hara, M. (1999). Market transparency: Who wins and who loses? Review of Financial Studies, 12, 5-35.
Bloomfield, R., & O'Hara, M. (2000). Can transparent markets survive? Journal of Financial Economics, 55, 425-459.
Boehmer, E., Saar, G., & Yu, L. (2005). Lifting the veil: An analysis of pre-trade transparency at the NYSE. The Journal of Finance, 60(2), 783-815.
Cheol, S. E., & Janakiramanan, S. (1986). A model of international asset pricing with a constraint on the foreign equity ownership. The Journal of Finance, 41(4), 897-914.
Chowdhry, B., & Nanda, V. (1991). Multi-market trading and market liquidity. Review of Financial Studies, 4, 483-511.
Coval, D. J., & Moskowitz, J. T. (1999). Home bias at home: Local equity peference in domestic portfolios. The Journal of Finance, 54(6), 2045-2073.
Dahlquist, M., & Robertson, G. (2001). Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics, 59, 413-440.
De Roon, A. F., Nijman, E. T., & Werker, M. J. B. (2001). Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets. The Journal of Finance, 56, 721-742.
Domowitz, J. G., & Madhavan, A. (1998). International cross-listing and order flow migration: Evidence from an emerging market. Journal of Finance, 53(6), 2001-2027.
Eom, K. S., Ok, J., & Park, J. H. (2007). Pre-trade transparency and market quality. Journal of Financial Markets, 10, 319-341.
Financial Regulatory Commission of Mongolia. (2007). Corporate Governance Code of Mongolia (pp. 1-34). Ulaanbaatar, Mongolia.
Foerster, S. R., & Andrew, K. G. (1999). The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States. The Journal of Finance, 54(3), 981-1013.
Harris, L. E. (1994). Minimum price variation, discrete bid–ask spreads and quotation sizes. Review of Financial Studies, 7, 149-178.
Jain, P. (2003). Institutional design and liquidity on stock exchanges around the world. Unpublished Dissertation, Indiana University, Bloomington.
Kang, J. K., & Stulz, M. R. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46, 3-28.
Keim, D., & Madhavan, A. (1997). Transaction costs and investment style: An inter-exchange analysis of institutional equity trades. Journal of Financial Economics, 46, 265-292.
Kyle, S. A. (1985). Continuous auctions and insider trading. The Econometric Society, 53(6), 1315-1335.
La Porta, P., Lopez-de-Silanes, F., Shleifer, A., & Vishny, A. (1997). Legal determinants of external finance. Journal of Finance, 52, 1131-1150.
La Porta, P., Lopez-de-Silanes, F., Shleifer, A., & Vishny, A. (1998). Law and finance. Journal of Political Economy, 106, 1113-1155.
Lesmond, A. D., Ogden, P. J., & Trzcinka, A. C. (1999). A new estimate of transaction costs. The Review of Financial Studies, 12(5), 1113-1141.
Levine, R., & Schmukler, S. (2003). Migration, spillovers, and trade diversion: The impact of internationalization on stock market liquidity: Cambridge, MA.
Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82, 631-671.
Lu, C.-L., & Chen, T.-C. C. (2009). A study of applying data mining approach to the information disclosure for Taiwan's stock market investors. Expert systems with Applications, 36, 3536-3542.
Madhavan, A. (1995). Consolidation, fragmentation, and the disclosure of trading information. Review of Financial Studies, 8, 579-603.
Madhavan, A. (1996). Security prices and market transparency. Journal of Financial Intermediation, 5, 255-283.
Madhavan, A., Porter, D., & Weaver, D. (2005). Should securities markets be transparent? Financial Markets, 8, 267-288.
Mongolian Stock Exchange. (2009). Mongolian capital market: Annual highlights & statistics. Ulaanbaatar, Mongolia.
O'Hara, M. (2001). Designing markets for developing countries. International Review of Finance, 2, 205-215.
Obstfeld, M., & Rogoff, K. (2000). The six major puzzles in international macroeconomics: Is there a common cause? Unpublished Working Paper.
Pu, S., & Starr, R. M. (2002). Market-makers』 supply and pricing of financial market liquidity. Economics Letters, 76, 53-58.
Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. The Journal of Finance, 4, 1127-1139.
Rouwenhorst, K. G. (1999). Local factors and turnover in emerging markets. Journal of Finance, 54(4), 1439-1464.
Venkataraman, K., & Eleswarapu, V. (2003). The impact of legal and political institutions on equity trading costs: A cross-country analysis. Dallas,Texas.
Zhang, Y. M., & Li, Y. X. (2008). Information disclosure quality: Factors and measurement. Paper presented at the International Conference on Computer Science and Software Engineering.
|