1Jacoby, Gady, David J.Fowler, anti Aron A.Gottesman, The capital asset pricing model and the liquidity effect:A theoretical approach,Journal of Financial Markets 3,2000,69-81.
2Traun Chordia, Richard Roll, and Avanidhar Subrahmanyam, Market Liquidity and Trading Activity, Journal of Finance 2,2001,501-530.
1Amihud Y and Mendelson H. Asset Pricing and the Bid - ask Spread[J]. J Finan. Econ. 1986a,17 : 223 - 249.
2Demsetz, H. The Cost of Transacting[J]. Quarterly Journal of Economics, 1968,82 : 33 - 53.
3Glosten, L R, Milgrom, P R. Bid, Ask and Transaction Prices in a. Specialist Market with Heterogeneously Informed Traders [J].Journal of Financial Economics, 1985,14 : 71 - 100.
4Kadlec, G B and McConnell, J J. The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings[J]. Finance, 1994,69:611 -636.
5Stoll H. The Supply of Dealer Services in Securities Markets[J].Journal of Finance, 1978,33:1133 - 1151.
6Tinic S. The Economics of Liquidity Services[ J ]. Quarterly Journal of Economics, 1978, 86 : 79 - 93.
7Alexander, Gordon J.; Edwards, Amy K.; Ferri, Michael G..''The Determinants of Trading Volume of High-Yield Corporate Bonds. ''Journal of Financial Markets,2000,Vol.3 Issue 2,pp.177 - 204.
8Bank for International Settlement. Market Liquidity: Research Findings and Selected Policy Implications, May 1999.
9Bltck, Fischer. ''Toward a Fully Automated Stock Exchange. ''Financial Analysts Journal, Nov/Dec 1971, Vol.27Issue 6, pp. 24 - 30.
10Blume, Marshall E.; Keim, Donald B.; Patel, Sandeep A.''Returns and Volatility of Low-Grade Bonds 1977 - 1989.''Journal of Finance,Mar 1991 ,Vo1.46 Issue 1 ,pp.49 - 74.
5Robert Connolly,Chris Stivers,Licheng Sun.Stock Market Uncertainty and the Stock-Bond Return Relation[J]. The Journal of Financial and Quantitative Analysis, 2005(40): 161-194.
6John Y.Campbell,John Ammer.What Moves the Stock and Bond Markets?A Variance Decomposition for Long-Term Asset Retums[J].The Journal of Finance,1993 (48):3-37.
7Jeff Fleming, Chrls Kirby,Barbara Ostdiek. Information and volatility linkages in the stock, bond,and money markets [J]. Journal of Financial Economics 1998 (49): 111-137.