本研究第一部分主要是利用Anan,Chakravarty and Martell(2005)的方法，了解期貨市場投資人日內下單的行為與績效的關聯，實證結果發現台指期貨市場下市價單的績效都顯著為正，因此，本文第二部分想要了解是否能夠利用限價委託簿揭露的資訊，觀察不同的委託簿狀況，預測未來投資人最有可能採取下市價單的時機，藉此預測下一期價格的變動。主要利用Cao,Hansch and Wang (2008)的模型，從投資人下單積極性預測下一期的價格變化，同時從預測模型的解釋能力，探討委託簿揭露5檔各檔次所具有資訊性。

The first part of this study is the use Anan, Chakravarty and Martell (2005) method to understand the orders associated performance in the futures market, empirical results show that performance of maket order of TX is significantly positive. Therefore, the second part, I use the information in the limit order book to predict the futures price.I use Cao, Hansch and Wang (2008) model, from order aggressiveness forecast the future price , and study the limit order book of five tick of the information content by explanatory power of model.

目錄
中文摘要……………………………………………………………I
英文摘要……………………………………………………………II
目錄…………………………………………………………………III
圖表…………………………………………………………………IV
第一章	緒論
第一節	  研究動機與目的………………………………………1
第二節	  台灣期貨交易市場制度簡介…………………………4
第三節	  研究架構………………………………………………7
第二章	文獻探討
第一節	下單積極性相關文獻……………………………………9
第二節	下單策略相關文獻………………………………………14
第三節	投資人行為對到期效應之影響相關文獻………………17
第三章	研究方法
第一節	樣本與變數………………………………………………20
第二節	委託單的績效預測方法…………………………………27
第三節	委託簿資訊預測未來報酬模型…………………………29
第四章	實證結果及分析
第一節	委託單的績效表現………………………………………36
第二節	限價委託簿預測股價報酬率……………………………39
第五章	結論
第一節	研究結論…………………………………………………55
第二節	後續研究建議……………………………………………57
参考文獻……………………………………………………………59

圖表目錄
【表3-1】台指期貨商品說明…………………………………………20
【表3-2】委託檔資料格式……………………………………………24
【表3-3】成交檔資料格式……………………………………………24
【表3-4】揭示檔資料格式……………………………………………25
【表3-5】各類投資人身分碼…………………………………………25
【表4-1】不同投資人績效預測………………………………………37
【表4-2】委託簿不平衡與報酬率的迴歸分析………………………41
【表4-3】委託簿長度、寬度與報酬率的關係………………………42
【表4-4】 委託簿不平衡與報酬率的迴歸分析-上升趨……………44
【表4-5】 委託簿長度、寬度與報酬率的關係-上升趨勢…………45
【表4-6】 委託簿不平衡與報酬率的迴歸分析-下跌趨勢…………46
【表4-7】 委託簿長度、寬度與報酬率的關係-下跌趨勢…………47
【表4-8】 買、賣價格沖擊不平衡與報酬的關係………………… 50
【表4-9】 委託簿不平衡與報酬率的迴歸分析-LR極大或極小……52
【表4-10】委託簿長度、寬度與報酬率的關係- LR極大或極小… 53
【圖1-1】 研究流程圖…………………………………………………8
【圖3-1】委託簿形狀…………………………………………………30

参考文獻
林蒼祥、顧廣平(2008)，期交所股價指數期貨契約最後結算價與最後結算日
決定方式之研究，臺灣期貨交易所委託專題研究計畫報告。
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