對於投資人而言，建構一個公平有效率的交易機制與市場是非常重要的，特別是小額投資人或是一般自然人。然而自1998年7月台灣期貨交易所成立發行以來，鮮少研究去完整的探究不同期貨與投資人間交易資訊與行為的差異。為了針對台灣期貨市場日內資訊效率提供一個更直接且完整的分析，本研究利用每筆交易資料去探討四個主要的指數期貨與不同的交易人的日內交易成本與學習假說檢測。本研究以兩種日內資訊效率的衡量方法：買賣價差與Biais et al. (1999)所提出的每分鐘橫斷面不偏迴歸式估計，來進行分析。實證結果分述於四點：1. 透過買賣價差的實證，資訊傳遞效率並不完全，資訊不對稱普遍存在於不同的期貨與交易人。2.而分析迴歸beta係數的檢定，則發現不完全的資訊效率存在於不同的期貨間，但卻不存在於不同的台指期貨交易人間。3.為了分析指數期貨與選擇權的結算制度改變的效果，我們以2008年11月區分成前後兩個次樣本。結果發現與全樣本大致相似，而值得一提的是在結算制度改變後，價格效率產生較大的變異。4.針對beta係數的貢獻度部分，除了金融指數期貨、非金電指數期貨與投信投顧投資人，期貨與交易人大部分的資訊傳遞效率發生在開盤1個小時之間，而在接近收盤時資訊效率的反轉現象非常明顯。

It is vital to establish a fair and efficient trading mechanism and market for investors, especially small trades or individual investors. However, there are few studies in complete research by inspecting the trade informational and behavioral difference between futures and traders on TAIFEX found since July 1998. In order to a direct and explicit examination of the intraday information efficiency on Taiwan futures market, we apply a tick-by-tick data to investigate the intraday transaction cost and the testing of learning hypothesis for four main index futures and four types of investors market. Two measures of intraday information efficiency: bid-ask spreads and the cross-sectional beta estimate of unbiased regression per minute proposed by Biais et al., 1999 are used for analyzing in this study. The empirical results interpret three findings. First, the information transmission efficiency is not completely and there is asymmetry information universally among the different futures and traders from the evidence of bid-ask spread. Second, the imperfect information transmission efficiency exists generally among the different futures but does not exist in different traders of TXF futures by testing betas. Third, for survey of the effect on clearing mechanism change, we divide our data into two sub-samples by November 2008. The empirical results in two sub-samples are approximately similar to the whole sample. It is evident that the informational efficiency of price is more fluctuant after changing in clearing mechanism of index futures and options. Finally, for calculation of beta contribution, most of intraday information transmission efficiency for all futures and traders take place within opening one-hour except for FXF futures, XIF futures and investment trusts investors and the reversals are more obvious during near close periods for all futures and traders.

Contents
Abstract in Chinese	I
Abstract in English	II
Acknowledgements	IV
Contents		V
List of Tables		VII
List of Figures		IX
Chapter 1 Introduction	1
Chapter 2 Data and descriptive statistics	5
Chapter 3 Intraday Information Transmission Efficiency	20
Chapter 4 Empirical Analysis	24
Chapter 5 Conclusion	64
Reference		66

List of Tables
Table 1 Descriptive Statistics ........................................................................................... 9
Table 2 Four types of mean spread for different trading intervals, futures and traders . 27
Table 3 Hypothesis tests of successive trading intervals for different spreads .............. 31
Table 4 Hypothesis tests of different futures in each trading interval for relative
spreads ............................................................................................................................ 35
Table 5 Hypothesis tests of different traders in each trading interval for relative
spreads of TXF ............................................................................................................... 36
Table 6 Average beta of trading interval for different futures and traders ..................... 44
Table 7 Average beta of trading interval for different futures and traders during
January 2008 to November 2008 ................................................................................... 45
Table 8 Average beta of trading interval for different futures and traders during
December 2008 to September 2009 ............................................................................... 46
Table 9 Hypothesis tests of two subsamples for beta..................................................... 47
Table 10 Hypothesis tests of successive trading intervals for beta ................................ 48
Table 11 Hypothesis tests of successive trading intervals for beta during January 2008
to November 2008 .......................................................................................................... 49
Table 12 Hypothesis tests of successive trading intervals for beta during December
2008 to September 2009 ................................................................................................ 50
Table 13 Hypothesis tests of different futures in each trading interval for beta ............ 51
Table 14 Hypothesis tests of different futures in each trading interval for beta during
January 2008 to November 2008 ................................................................................... 52
Table 15 Hypothesis tests of different futures in each trading interval for beta during
December 2008 to September 2009 ............................................................................... 53
Table 16 Hypothesis tests of different traders in each trading interval for beta of TXF 54
Table 17 Hypothesis tests of different traders in each trading interval for beta of TXF
during January 2008 to November 2008 ........................................................................ 55
Table 18 Hypothesis tests of different traders in each trading interval for beta of TXF
during December 2008 to September 2009 ................................................................... 56
Table 19 Beta contributions of trading interval for different futures and traders .......... 63

List of Figures
Fig. 1 The average minutely buying volumes of different investors for TXF during
8:45 to 13:45 .................................................................................................................. 16
Fig. 2 The average ratio of TXF buying volumes per minute for different investors
during 8:45 to 13:45 ....................................................................................................... 16
Fig. 3 The average minutely selling volumes of different investors for TXF during
8:45 to 13:45 .................................................................................................................. 16
Fig. 4 The average ratio of TXF selling volumes per minute for different investors for
during 8:45 to 13:45 ....................................................................................................... 16
Fig. 5 The average minutely buying volumes of different investors for EXF during
8:45 to 13:45 .................................................................................................................. 17
Fig. 6 The average ratio of EXF buying volumes per minute for different investors
during 8:45 to 13:45 ....................................................................................................... 17
Fig. 7 The average minutely selling volumes of different investors for EXF during
8:45 to 13:45 .................................................................................................................. 17
Fig. 8 The average ratio of EXF selling volumes per minute for different investors
during 8:45 to 13:45 ....................................................................................................... 17
Fig. 9 The average minutely buying volumes of different investors for FXF during
8:45 to 13:45 .................................................................................................................. 18
Fig. 10 The average ratio of FXF buying volumes per minute for different investorsduring 8:45 to 13:45 ....................................................................................................... 18
Fig. 11 The average minutely selling volumes of different investors for FXF during
8:45 to 13:45 .................................................................................................................. 18
Fig. 12 The average ratio of FXF selling volumes per minute for different investors
during 8:45 to 13:45 ....................................................................................................... 18
Fig. 13 The average minutely buying volumes of different investors for XIF during
8:45 to 13:45 .................................................................................................................. 19
Fig. 14 The average ratio of XIF buying volumes per minute for different investors
during 8:45 to 13:45 ....................................................................................................... 19
Fig. 15 The average minutely selling volumes of different investors for XIF during
8:45 to 13:45 .................................................................................................................. 19
Fig. 16 The average ratio of XIF selling volumes per minute for different investors
during 8:45 to 13:45 ....................................................................................................... 19
Fig. 17 Four categories of spreads for TXF during 8:45 to 13:45 ................................. 37
Fig. 18 Four categories of spreads for EXF during 8:45 to 13:45 ................................. 37
Fig. 19 Four categories of spreads for FXF during 8:45 to 13:45 ................................. 37
Fig. 20 Four categories of spreads for XIF during 8:45 to 13:45 .................................. 37
Fig. 21 Four categories of spreads for individual investors of TXF during 8:45 to
13:45 .............................................................................................................................. 38
Fig. 22 Four categories of spreads for investment trusts of TXF during 8:45 to 13:45 . 38
Fig. 23 Four categories of spreads for foreign investment institutions of TXF during
8:45 to 13:45 .................................................................................................................. 38
Fig. 24 Four categories of spreads for dealers of TXF during 8:45 to 13:45................. 38
Fig. 25 Four categories of spreads for individual investors of EXF during 8:45 to
13:45 .............................................................................................................................. 39
Fig. 26 Four categories of spreads for investment trusts of EXF during 8:45 to 13:45 . 39
Fig. 27 Four categories of spreads for foreign investment institutions of EXF during
8:45 to 13:45 .................................................................................................................. 39
Fig. 28 Four categories of spreads for dealers of EXF during 8:45 to 13:45 ................ 39
Fig. 29 Four categories of spreads for individual investors of FXF during 8:45 to
13:45 .............................................................................................................................. 40
Fig. 30 Four categories of spreads for investment trusts of FXF during 8:45 to 13:45 . 40
Fig. 31 Four categories of spreads for foreign investment institutions of FXF during
8:45 to 13:45 .................................................................................................................. 40
Fig. 32 Four categories of spreads for dealers of FXF during 8:45 to 13:45 ................. 40
Fig. 33 Beta and 95% confidence interval of unbiasedness regressions for TXF during
8:45 to 13:45 .................................................................................................................. 57
Fig. 34 Beta and 95% confidence interval of unbiasedness regressions for EXF during 8:45 to 13:45 .................................................................................................................. 57
Fig. 35 Beta and 95% confidence interval of unbiasedness regressions for FXF during
8:45 to 13:45 .................................................................................................................. 57
Fig. 36 Beta and 95% confidence interval of unbiasedness regressions for XIF during
8:45 to 13:45 .................................................................................................................. 57
Fig. 37 RMSE of unbiasedness regressions for four futures during 8:45 to 13:45 ........ 58
Fig. 38 Beta and 95% confidence interval of unbiasedness regressions for individual
investors of TXF during 8:45 to 13:45........................................................................... 58
Fig. 39 Beta and 95% confidence interval of unbiasedness regressions for investment
trust of TXF during 8:45 to 13:45 .................................................................................. 58
Fig. 40 Beta and 95% confidence interval of unbiasedness regressions for foreign
investment institution of TXF during 8:45 to 13:45 ...................................................... 58
Fig. 41 Beta and 95% confidence interval of unbiasedness regressions for dealer of
TXF during 8:45 to 13:45 .............................................................................................. 59
Fig. 42 RMSE of unbiasedness regressions for different investors of TXF during 8:45
to 13:45 .......................................................................................................................... 59
Fig. 43 Beta and 95% confidence interval of unbiasedness regressions for individual
investors of EXF during 8:45 to 13:45 .......................................................................... 59
Fig. 44 Beta and 95% confidence interval of unbiasedness regressions for investment
trust of EXF during 8:45 to 13:45 .................................................................................. 59
Fig. 45 Beta and 95% confidence interval of unbiasedness regressions for foreign
investment institution of EXF during 8:45 to 13:45 ...................................................... 60
Fig. 46 Beta and 95% confidence interval of unbiasedness regressions for dealer of
EXF during 8:45 to 13:45 .............................................................................................. 60
Fig. 47 RMSE of unbiasedness regressions for different investors of EXF during 8:45
to 13:45 .......................................................................................................................... 60
Fig. 48 Beta and 95% confidence interval of unbiasedness regressions for individual
investors of FXF during 8:45 to 13:45 ........................................................................... 60
Fig. 49 Beta and 95% confidence interval of unbiasedness regressions for investment
trust of FXF during 8:45 to 13:45 .................................................................................. 61
Fig. 50 Beta and 95% confidence interval of unbiasedness regressions for foreign
investment institution of FXF during 8:45 to 13:45 ...................................................... 61
Fig. 51 Beta and 95% confidence interval of unbiasedness regressions for dealer of
FXF during 8:45 to 13:45 .............................................................................................. 61
Fig. 52 RMSE of unbiasedness regressions for different investors of FXF during 8:45
to 13:45 .......................................................................................................................... 61

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