6Aitken M, A Frino. The accuracy of the tick test: Evidence from the Australian stock exchange [J]. Journal of Banking and Finance, 1996, (20): 1715--1729.
7Amihud Y. Illiquidity and stock retums: Cross-section and time-series effects [J]. Journal of Financial Markets, 2002, (5) : 31-- 56.
8Amihud Y, Mendelson H. Liquidity, asset prices and financial policy [J].Financial Analysts Journal, 1991, (47) : 56-- 66.
9Conrad Jennifer. The price effect of short interest announcement[R]. Working paper, University of North Carolina, 1994.
10David A Dickey, Wayne A Fuller. Likelihood ratio statistics for autoregressive time series with a unit root [J]. Econometrica, 1981, (49) : 1057-- 1071.