本研究利用日內高頻資料，使用Kang and Yeo (2008)所提出限價委託單衡量寬度、深度的兩種流動性變數，探討台灣集中市場大額委託單對流動性造成影響。之後將再依交易人身分，分為散戶、外資、自營商、其他國內法人，可更細部觀察不同投資人在流動性扮演的角色，及其大額委託對流動性影響有何差異。
實證結果發現，大額委託會使市場寬度增加及深度減少，導致市場流動性降低。在做投資人分群後，在寬度的衡量上，散戶及自營商下單後皆使委託簿離散程度變大；在深度的衡量，各類投資人下單皆會使市場深度減少，降低流動性。若近一步將大額委託單區分大、次大單後，不論在寬度或深度，各類投資人在次大單對流動性造成影響皆較大單強，顯示大額委託單若為資訊交易者，有拆單交易的現象。

I use high frequency intraday data of Taiwan stock market to analyze the influence of large orders on width and depth of liquidity proposed by Kang and Yeo (2008). I divide investors into foreign investors, proprietary dealers, individual investors and other institutional investors to see how investor type affects my results.
I find large orders tend to cause a significant increase on market width while a decrease on market depth, which indicates poorer liquidity. In terms of width, both individual investors and proprietary dealers cause a significant increase in the dispersion of limit order book after they submit orders. In terms of depth, investors always cause a significant decrease in depth regardless of their types. If I divide large orders further into two groups. The one with the smaller orders are found to cause wider width and lower depth for all investors. This suggests that order splitting makes a difference.

目錄
目錄 iii
圖表目錄 iv
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 研究架構與流程 6
第四節 研究流程圖 7
第二章 理論與文獻探討 8
第一節 相關理論基礎 8
第二節 大額委託相關文獻 10
第三節 流動性相關文獻 13
第四節 不同類型投資人的交易行為 17
第三章 研究方法 20
第一節 樣本選取及資料來源 20
第二節 資料格式 21
第三節 變數的衡量及檢定 24
第四節 模型設定 29
第四章 實證結果 32
第一節 樣本敘述統計 32
第二節 大額交易前後成交量的變動情形 37
第三節 大額交易對流動性的影響 39
第四節 各類投資人大額交易對流動性的影響 43
第五節 穩健性檢定（robustness test）之分析結果 51
第五章  結論 55
參考文獻 58
附 錄一 63



圖表目錄
【表1-1】集中交易市場成交金額投資人類別比例表 3
【表1-2】集中交易市場投資法人交易概況表 3
【表3-1】成交檔資料格式 20
【表3-2】委託檔資料格式 21
【表3-3】揭示檔資料格式 21
【表3-4】模型之Hausman test結果 31
【表4-1】平均交易量在特定比例下一檔之內消化掉及超過五檔之外消化掉                  的比例 33
【表4-2】各投資人委託股數敘述統計 34
【表4-3】各投資人限價委託簿流動性變數的敘述統計 34
【表4-4】大額委託單在各市值委託股數敘述統計 36
【圖4-1】各類投資人分市值占投資人本身委託數比例 36
【圖4-2】每分鐘平均異常成交量的變動量 37
【表4-5】異常成交量t檢定 38
【表4-6】不分投資人大額委託對流動性影響的迴歸模型 41
【表4-7】各類投資人大額委託對流動性之OPD影響的迴歸模型 44
【表4-8】各類投資人大額委託對流動性之CTT影響的迴歸模型 46
【表4-9】各類投資人大額委託分大、次大單對流動性之OPD影響迴歸模型 49
【表4-10】各類投資人大額委託分大、次大單對流動性之CTT影響迴歸模型 50
【表4-11】不分投資人大額委託對流動性影響的迴歸模型 53
【表4-12】不分投資人大額委託對流動性影響的迴歸模型 54

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