本研究利用委託單及成交單資料，將投資者分成三大類：散戶、外資與機構投資者，依據HST (2003)的定義衡量未平衡買賣量，以及改良後Brown et al.(1997)的定義衡量未平衡買賣金額，檢視各類投資者之未平衡買賣行為，並探討未平衡買賣與個股報酬間是否有顯著相關性，最後探討各類投資者未平衡買賣是否可以做為預測未來個股報酬之指標。
    實證結果發現，不論是何種類別之投資人，利用未平衡買賣量與未平衡買賣金額所得到的實證結果會相同。在同時段方面，不論是日內資料或日資料，各種分類的投資者之未平衡買賣與超額報酬之間皆為正向關係。在落後期方面，利用日內資料發現散戶與機構投資人之交易行為皆具有反向操作的現象；而利用日資料發現只有散戶具有反向操作的現象。在預測期方面，利用日內資料發現散戶之未平衡賣量與個股超額報酬具有顯著的負相關，其餘投資人則是有正相關；另外散戶及外資之未平衡買量與個股超額報酬皆具有顯著的正相關；利用日資料發現，不論是何種投資人，其未平衡買賣量與個股超額報酬皆為正相關。

We use order and trade data, dividing the investors into three categories as follows: individual, foreign investment institution, and institutional investors. Based on the definition of HST (2003) to measure the amount of order imbalance, and also the improved definition of Brown et al.(1997) to measure the price amount of order imbalance, and investigate if there are significant correlation between order imbalance and individual stock return. Finally, discuss if the order imbalance of each kind of investors can be used to be the target of forecasting the future return of individual stock.
    The result of using the amount of order imbalance and the price amount of order imbalance are the same in different kinds of investors. As to the same period, the correlations between the order imbalance and the abnormal return are positive with different kinds of investors no matter in intraday data or in daily data. As to the period of lag, the data indicated that the trade behavior of both individuals and institutional investors have the phenomenon of reverse operating when using intraday data; and the phenomenon is only found in individual investors as using daily data. With regards to the period of prediction, the correlation between the order imbalance and the abnormal return in the individual investors is significantly negative when using intraday data and it is positive in other investors. Furthermore, the amount of order imbalance and the abnormal returns of individual stock in individuals and foreign investment institution are significantly positive correlated. As using the daily data, it can be found that the amount of order imbalance and abnormal return of individual stock are all positively correlated in each kinds of investors.

目錄
中文摘要	I
英文摘要	II
目錄	IV
表目錄	VI
圖目錄	VII
第一章  緒論	1
    第一節  研究背景與動機	1
    第二節  研究目的	5
    第三節  研究架構	6
    第四節  研究流程	7
第二章  相關理論與文獻回顧	8
    第一節  相關理論假說	8
    第二節  交易量與報酬之關連性	12
    第三節  未平衡買賣與報酬之關連性	16
第三章  研究方法	18
    第一節  資料來源	18
    第二節  研究資料敘述	19
    第三節  資料處理	22
第五章  實證結果與分析	27
    第一節  資料敘述統計分析	27
    第二節  未平衡買賣行為之探討	30
    第三節  未平衡買賣量對股票報酬之影響	33
    第四節  未平衡買賣金額對股票報酬之影響	44
第六章  結論與建議	54
    第一節  結論	54
    第二節  建議	57
參考文獻	58
附錄	62


表目錄
【表1-1】	集中交易市場成交金額投資人類別比重表	4
【表3-1】	成交檔資料格式	21
【表3-2】	委託檔資料格式	21
【表4-1】	台灣股票市場各類投資人日內未平衡買賣行為之敘述統計	28
【表4-2】	台灣股票市場各類投資人日未平衡買賣行為之敘述統計	29
【表4-3】	各類投資人日內及日未平衡買賣值	31
【表4-4】	各類投資者日內未平衡買賣量及超額報酬	37
【表4-5】	各類投資者日未平衡買賣量及超額報酬	42
【表4-6】	各類投資者日內未平衡買賣金額及超額報酬	47
【表4-7】	各類投資者日未平衡買賣金額及超額報酬	52
【表5-1】	未平衡買賣與超額報酬之關係	56
			

圖目錄
【圖1-1】	集中交易市場成交金額投資人類別比重圖	4
【圖4-1】	各類投資人日內未平衡買賣量	32
【圖4-2】	各類投資人日內未平衡買賣金額	32

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