8Harris L.Does a large minimum price variation encourage order display?[R].1996.
9Ahn H,Cao C,Choe H.Decimalization and competition among exchanges:evidence from the Toronto Stock Exchange cross-listed securities [J].Journal of Financial Markets,1998,1:51-88.
10Chung K,Van Ness R.Order Handling Rules,tick Size,and the intraday pattern of bid-ask spreads for Nasdaq stocks[J].Journal of Financial Markets,2001,4:143-161.
2DOMINIQUE D., GABRIEL L. Effects of Securities Transaction Taxes on Depth and Bid - ask Spread [ J ]. Economic Theory, 2007, (31) : 393 -400.
3BRENNAN M. , SUBRAHMANYAM A. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns [J]. Journal of Financial Economics, 1996, ( 3 ) : 441 - 464.
4ENGLE R F. , RUSSEL J. Forecasting the frequency of changes in quoted foreign exchange prices with the autoressive conditional duration model [ J ]. Journal of Empirical Finance, 1997,(2): 187-212.
5MURANAGA J, SHIMIZU T. Expectations and Market Microstructure when Liquidity is Lost [J]. BIS working paper, 1999,(5): 23-56.
6FRANZ D. , RAO R. , TRIPATHY N. Informed trading risking and bid - ask spread changes around open market stock repurchases in the Nasda market [ J ]. Journal of Financial Research, 1998, (18) : 311 - 327.