1、

文献名：Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets

作者：Erik Theissen

期刊名：Journal of Financial Markets

Volume 3, Issue 4, November 2000, Pages 333-363

http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VHN-418PRN0-1&_user=2046845&_rdoc=1&_fmt=&_orig=search&_sort=d&view=c&_acct=C000055930&_version=1&_urlVersion=0&_userid=2046845&md5=e9f534f54b4a4c9a3d6c3030405c2863

 

2、

文献名：Stock market microstructure and return volatility : Evidence from Italy

作者：Yakov Amihud*Haim Mendelson*Maurizio Murgia

期刊名：Journal of Banking & Finance

Volume 14, Issues 2-3, August 1990, Pages 423-440

http://www.sciencedirect.com/science/article/B6VCY-49WPBXR-C/2/789c1c98ccd4b6978a920d5f72112e38

 

3、

文献名：Liquidity And Execution Costs In Equity Markets

作者：Joel Hasbrouck; Robert A Schwartz

期刊名：The Journal Of Portfolio Management

Spring 1988，14，10-16

http://www.iijournals.com/JPM/DEFAULT.ASP?Page=2&ISS=10071&SID=409160&S=JFI

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