隱藏性交易假說聲稱中額交易所造成之累計價格變動較其他交易額大。本研究依照Barclay and Warner（1993）的方法來驗證台灣股票市場是否存在隱藏性交易，採用台灣股票市場之各上市公司的委託單資訊日內資料，其實證結果發現，公開訊息假說確實不成立，中額交易對於累計價格變動有顯著的影響。此結果Barclay and Warner（1993）所得中額交易較易存在優勢資訊的結論是相符合的。然而，先前的研究都是總合正和負的股價波動，這個方式對於隱藏性交易的影響難以理解，所以本研究分別將股價變動分為正（up-tick）和負（down-tick）兩種，其實證結果發現，不論是up-tick或者是down-tick均是小額交易所造成的累計股價波動相對來的大。因此除了中額交易之外，小額交易對於累計價格變動也有顯著的影響，此結果可能是因為所研究的市場為委託單驅動的市場有關。且此兩類交易額無法判斷出主要是由散戶、外資以及其它類法人中，何種類型交易者所發起的。從結果也可得知以成交單資訊為樣本，確實會造成交易額大小分類上之誤差。然而，進一步細分為日內，以半個小時為區間，發現其股價變動百分比呈現U字型，且主要是集中於第一區間和最後一個區間且發現有隱藏性交易之存在。

The stealth trading hypothesis asserts that cumulative price changes are due to medium size trades. We follow the method of Barclay and Warner（1993） and compare the proportion of cumulative price change with the proportion of the cumulative trades and the proportion of the cumulative trading volume. Using transaction book data for a sample of Taiwan Stock Exchange, a pure order-driven market, we confirm that medium size trades are a statistically significant contributor to cumulative price changes, providing support for the stealth trading hypothesis. However, small trades also contribute significantly to cumulative price changes. The results presented in this paper show that aggregating trades with positive and negative price changes obfuscates analysis of the role of different sized trades on cumulative price changes. By disaggregating up-tick and down-tick trades, we find that small trades make a greater contribution to cumulative price changes than any other trade category. The importance of small size trades is likely due to the fact that the TSEC is an order-driven exchange. This later finding is consistent with the view that stealth trading is extended to smaller trader sizes in pure order-driven markets. The results support the argument that there is no significant different in the cumulative price impact caused by trades initiated by individual, foreign investor and other’s institutional investors.Using trade-order book data, we confirm that this result really cause error that the trading size is classified. We also examine the intraday pattern of PCHG for the noni half-hours of the trading day. This result is driven by small and medium trades, which represent a larger percentage of trading during first and last hour of trading.

目錄
第壹章 緒論	1
第一節　研究背景與動機及貢獻	1
第二節　研究目的	5
第三節　研究架構	7
第貳章 文獻探討	8
第一節　優勢資訊交易者對交易量的影響	10
第二節　交易量對股價波動的影響	11
第三節　優勢資訊交易者對於交易額（Trade Size）大小之選取	13
第四節　交易額大小與價格變動的關係	16
第參章 研究方法	20
第一節　資料來源	20
第二節　樣本的篩選與研究期間	22
第三節　研究假說建立與交易額之分類	24
第四節　研究模型設定	26
第五節　假設檢定	30
第肆章 實證結果分析	31
第一節　敘述性統計	31
第二節　檢定	42
第三節　日內之隱藏性交易	54
第四節　敏感性分析	65
第伍章 結論	70
參考文獻	72

 
表目錄
表1-1　投資人類別成交值比重統計表	4
表3-1　成交單資料型態	21
表3-2　委託單資料型態	21
表3-3　交易額分類標準	25
表4-1　累計價格變動、交易量與交易次數（委託單）	33
表4-2　up-tick之累計價格變動、交易量與交易次數（委託單）	33
表4-3　down-tick之累計價格變動、交易量與交易次數（委託單）	34
表4-4　散戶、外資和其它類法人之累計價格變動、交易量與交易次數（委託單）	35
表4-5　累計價格變動、交易量與交易次數（成交單）	38
表4-6　up-tick之累計價格變動、交易量與交易次數（成交單）	39
表4-7　down-tick之累計價格變動、交易量與交易次數（成交單）	39
表4-8　散戶、外資和其它類法人之累計價格變動、交易量與交易次數（成交單）	40
表4-9　委託單之WLS迴歸實證研究	44
表4-10　委託單各類交易者Z-檢定值	47
表4-11　成交檔之WLS迴歸實證研究	50
表4-12　成交檔各類交易者Z-檢定值	53
表4-13　日內之累計價格變動、交易量與交易次數	55
表4-14　各區間之WLS迴歸實證研究	56
表4-15　樣本期間全上市公司之累計價格變動、交易量與交易次數	65
表4-16　全上市公司之WLS迴歸實證研究	66
表4-17　up-tick三種交易額之累計價格變動之日內型態	68
表4-18　down-tick三種交易額之累計價格變動之日內型態	68
 
圖目錄
圖1-1　研究流程	8
圖3-1　2005年1月~2006年12月之整體市場走勢	22
圖4-1　up-tick三種交易額之累計價格變動之日內型態	68
圖4-2　down-tick三種交易額之累計價格變動之日內型態	69

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