3Demsetz, Harold. the Cost of Transating, Quarterly Journal of Economics, 1968,(82):33-53.
4Gideon Saar, Price impact Asymmetry of Block Trades: An Institutional Trading Explanation. The Review of Finacial Studies, 2001,14(4).New York University.
5Chiraphol N. Chiyachantana, Pankaj K. Jain, Christine Jiang,"International Evidence on Institutional Trading Impact". The Journal: Behavior and Price of Finance,2004,(2).
6Booth G G, Lin J C, Martikainen T, Tse Y. Trading and pricing in Upstairs and Downstairs Stock Markets [J]. Review of Financial Studies, 2002, 15(4): 1111-1135.
7Gonzalo J, Granger C. Estimation of comnmn long-menlory components in co-integrated systems [J]. Journal of Business and Economic Statistics. 1995, 13(1): 27-35.
8Hasbrouck J. One security, many markets: Determining the contributions to price discovery [J]. Journal of Finance, 1995, 50(4): 1175-1201.
9Stock J H, Watson M W. Testing for common trends [J], Journal of the American Statistical Association, 1988, 83(404): 1097-1107.