6[1]Amihud Y, Mendelson H. Trading Mechanisms and Stock Returns: An Empirical Investigation[J]. Journal of Finance, 1987, 42(3): 533～553
7[2]Stoll H, Whaley R. Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew[J]. Journal of Finance, 1990, 63(1): 165～192
8[3]Amihud Y, Mendelson H. Volatility, Efficiency and Trading: Evidence from the Japanese Stock Market[J]. Journal of Finance, 1991,46(5): 1765～1789
9[4]Amihud Y, Mendelson H, Murgia M. Stock Market Microstructure and Return Volatility: Evidence from Italy[J]. Journal of Banking and Finance, 1990, 14: 423～440
10[5]Amihud Y, Mendelson H, Lauterbach, Marker Microstructure and Return Volatility: Evidence from the Tel Aviv Stock Exchange[J]. Journal of Financial Economics, 1997, 45(3): 365～390
