期刊文献+

证券信用交易对市场效率的影响:一个文献综述 被引量:1

下载PDF
导出
摘要 近年来,关于证券信用交易特别是卖空机制和卖空限制方面的研究逐渐成为西方金融学界研究的一个热点问题。相关的研究主要集中在证券信用交易对市场定价效率、市场波动率,以及市场流动性的影响,本文将对这一领域的研究进展做一简单的文献述评。
作者 翁弘林
机构地区 厦门大学
出处 《商场现代化》 北大核心 2008年第17期359-360,共2页
  • 相关文献

参考文献22

  • 1Arturo Bris & William N. Goetzmann & Ning Zhu,2003,Efficiency and the Bear . Short Sales and Markets around theWorld.(http.//papers.ssrn.com/sol3/papers, cfm?abstract_id=357800)
  • 2Bill W.S. Hung &.Joseph K.W. Fung, 200], Sept,"Short Sales Restrictions and the Impulse Response Behavior of Index-Futures Price", BRC Papers on Financial Derivatives and Investing Strategies
  • 3Boehme, R, odney D.Bartley R,. Danielsen,and Sorin M. Sorescu, 2006,Short-Sale Constraints, Dierences of Opinion,and Overvaluation, Journal of Financial and quantitative Analysis 41,455-487 forthcoming
  • 4Bris, A., W. Goetzmann and N. Zhu (2004). Efficiency and the Bear. Short Sales and Markets around the World. Yale ICF Working Paper 02-45, September
  • 5Chang, E. and Y. Yu (2004).Short-Sales Constraints and Price Discovery. Evidence from the Hong Kong Market. Working Paper, University of Hong Kong, March
  • 6Charoenrook, A. and H. Daouk (2005). A Study of Market-Wide Short-Selling Restrictions. Working Paper, January
  • 7Cohen, Daniel A., Karl B. Diether, and Lauren Malloy. 2007. Supply and Demand Shifts in the Shorting Market. Journal of Finance, forthcoming
  • 8D'Avolio, Gene, 2002, The Market for Borrowing Stock, Journal of Financial Economics 66, 271-306
  • 9Diamond, D. and R. Verrecchia(1987). Constraints on Short-Selling and Asset Price Adjustment to Private Information. Journal of Financial Economics 18, 277-311
  • 10Diether, K., K.-H. Lee and I. Werner (2005). Can Short Sellers Predict Returns? Daily Evidence. Working Paper, Ohio State University, July.

二级参考文献28

  • 1Amihud, Yakov and Haim Mendelson. Trading Mechanisms and Stock Returns: An Empirical Investigation. Journal of Finance,1987, (42): 533-553.
  • 2Engle, Robert F.. Statistical Models for Financial Volatility, Financial Analysts Journal, 1993, (49): 72-78.
  • 3Kim K A.. Price Limits and Stock Market Volatility. Economic Letters 2001, (71): 131-136.
  • 4Madhavan, Ananth. Market Microstructure: A Survey, Journal of Financial Intermediation, 2000, (5): 255-283.
  • 5Madhavan, Ananth. Trading Mechanisms in Securities Markets.Journal of Finance, 1992, (47): 607-641.
  • 6Figlewski, Stephen & Gwendolyn P. Webb. 1993, "Options, short sales and market completeness" .Journal of Finance, VoI.49, 761-777.
  • 7James J. Angel, tgg7.10.27, Short Selling on the NYSE.
  • 8The Chase Manhaltaa Sank and the ASTEC Consulting Group, Inc,2000.08.18,Short Selling.
  • 9Global Securilies Financing,2001 Q1(www.fpionline.com).
  • 10Anchada Charoenrook & Hazem Daouk, 2003, "The world price of short selling" .

共引文献28

同被引文献1

引证文献1

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部