本文主要是利用Cao,Hansch and Wang(2009)的方法，套用在台灣期貨市場中來研究限價委託簿，了解投資人日內下單的狀況與報酬的關聯來觀察市場上之限價委託單是否有資訊存在，本文利用四種期貨商品日內交易資料重建了不同時間點的限價委託簿原始情況，我們將不只獲得最佳的五檔的報價及未成交量資訊，同時可以清楚明白未成交量是由何筆限價委託單及何種投資人所委託構成，利用迴歸分析後，本文發現大台指與小台指期貨契約中，國內機構法人所擁有資訊最多，外資次之，期貨交易人所擁有之資訊最少，而在金融指與電子指數期貨中，期貨交易人所擁有資訊反而為最多，國內機構法人次之，外資最少。本文接著利用各期貨契約限價委託簿全市場資料所含之資訊性來制定交易策略，以進行日內高頻交易的方式來獲取正報酬。

This paper use the method of Cao,Hansch and Wang(2009) for the Taiwan futures market’s limit order book, we discuss the information content of market limit order book by the relationship of investors’ intraday order and the return. We construct the original intraday situation of the limit order book for four kinds of futures contract of Taiwan futures market, thus, we can get not only the best five quote and the open contract information but the specific order made by which kind of investor.
 	After the regression analysis, this paper found that in the TX and MTX futures limit order book, domestic institutional investors had the most information, then foreign investors and the individual investor have the least information in the limit order book. The results were different in the TE and TF futures limit order book, individual investor have the most information and the foreign investors had the least information in the limit order book.
	The final part of this paper used the information content of limit order of the four kinds of Taiwan futures contracts to form a trading strategy and use this high frequency intraday trading strategy to gain positive return.

目錄

第一章  緒論	1
第一節 研究動機與目的	1
第二節 研究架構	3
第二章  文獻探討	5
第一節 投資人下單積極性相關文獻	5
第二節 限價委託簿相關文獻	9
第三節 不同投資人類別所含有之資訊性	12
第三章  理論與研究方法	14
第一節 資料來源與介紹	14
一、樣本選取	14
二、樣本期間	14
三、檔案格式	15
四、投資人分類	16
五、重建台指期貨完整揭示資料	16
第二節 委託簿資訊預測未來報酬模型	21
一、變數介紹	22
二、委託簿價格衝擊模型	26
第三節 迴歸分析方法	27
第四節 交易策略	29
一、模型選取	29
二、交易策略制定	30
三、交易成本	31
第四章  實證結果與分析	35
第一節 限價委託簿資訊性	35
一、委託簿的高度、寬度	35
        二、價差………………………………………………………………………………………………...43
三、前一期報酬率對限價委託簿寬度與高度之影響	42
四、委託簿價格衝擊與報酬之迴歸分析	53
第二節 交易策略	53
第五章  結論	59

表目錄
【表3-1】期貨商品內容簡介	18
【表3-2】委託檔資料格式	18
【表3-3】成交檔資料格式	19
【表3-4】揭示檔資料格式	19
【表3-5】不同類型投資人平均每日委託量	20
【表3-6】期貨契約交易成本	33
【表4-1】委託簿不平衡與報酬之迴歸分析	40
【表4-2】不同期貨契約期貨交易人之比例分析	42
【表4-3】前一期報酬對後一期委託簿寬度與高度之影響	46
【表4-4】委託簿不平衡與報酬之迴歸分析-LR極大或極小	51
【表4-5】期貨契約分析表	56
【表4-6】交易策略迴歸分析表	57
【表4-7】扣除交易及滑價成本後之交易策略報酬表	58

                    圖目錄
【圖1-1】研究流程圖	4
【圖3-1】委託簿之形狀	20
【圖3-2】估計交易策略報酬之流程圖	34

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