本研究利用高頻率的日內資料研究台灣股價指數期貨及選擇權市場的價格效率性，探討期貨及選擇權市場上投資人的下單積極程度是否會影響到衍生性商品市場價格偏離程度。採用Tucker(1991)所提出之買權賣權期貨平價理論，指出期貨價格和選擇權買賣權價格間維持著一定的均衡關係，若偏離發生則代表市場正處於沒有效率的狀態。
文章首先利用兩種不同的流動性變數包括委託簿的離散程度及交易成本來分別測試期貨和選擇權市場的投資人提供的流動性對於價格偏離程度之影響，結果顯示選擇權市場的影響能力較期貨市場來的高。另外將兩個委託簿流動性變數依四類投資人分類，藉以探討各類投資人的積極程度對於價格偏離之影響。研究結果指出：1.價格偏離發生的頻率逐年下降 2.散戶投資人下單的積極程度越高則市場價格效率會隨之降低 3.三大法人包括外資、期貨自營商及其他法人，三類投資人對於價格偏離的影響能力皆顯著高於散戶 4.開收盤期間，投資人提供的流動性和價格偏離程度成正比。

This research uses high frequency intraday data to investigate how investors’ aggressiveness can affect mispricing in Taiwan Futures market by using Put-Call Futures Parity proposed by Tucker(1991).
Firstly, in order to analyze the effects of traders’ aggressiveness on mispricing in Taiwan Futures market, I use two different liquidity variables including Orders’ Aggressiveness Index and Cost-to-Trade, the result show that mispricing is effected more by Options market than Futures market. Secondly, I separate the investors into four groups and investigate how different types of investors’ aggressiveness can result in greater mispricing. The empirical findings show that：1. The frequency of mispricing decline year by year 2. Market efficiency goes down when individuals are more aggressive 3. The effects of mispricing of institutional traders is greater than those of individuals. 4. During opening and closing hour, the liquidity provided by investors and mispricing are directly proportional.

目錄
 第一章 緒論	1
第一節 研究動機	1
第二節 研究目的	3
第三節 研究架構	4
第四節 研究流程	5
 第二章 文獻探討	6
第一節 買權賣權期貨平價理論	6
第二節 衍生性商品市場效率性及流動性	12
第三節 不同類型投資人之資訊性	17
 第三章 研究方法	20
第一節 衍生性商品簡介及市場結構概述	20
第二節 研究資料及樣本篩選	23
第三節 理論驗證方法	30
第四節 無套利區間之建立	32
第五節 變數說明及迴歸模型設定	36
 第四章 實證結果	42
第一節 敘述統計	42
第二節 迴歸分析	47
第三節 穩健性檢定	58
 第五章 結論	63
 參考文獻	65
 附 錄 一	69

表目錄
【表 2-1】買權賣權期貨平價模式之觀念架構  8
【表 3-1】近五年各商品成交量統計表 21
【表 3-2】各 類交易人之台指期貨量統計表  22
【表 3-3】衍生性商品內容簡介  24
【表 3-4】期貨成交檔格式 28
【表 3-5】期貨委託檔格式28
【表 3-6】期貨揭示檔格式  29
【表 4-1】價格偏離敘述統計表  43
【表 4-2】期貨市場樣本敘述統計表  44
【表 4-3】選擇權 市場樣本敘述統計   45
【表 4-4】樣本相關係數表 46
【表 4-5】不同市場投資人之委託單離散程度對價格偏的影響  49
【表 4-6】不同市場投資人之交易成本對價格偏離程度影響  51
【表 4-7】散戶與外資對價格偏離程度之影響比較  54
【表 4-8】散戶與期貨自營商對價格偏離程度之影響比較  56
【表 4-9】散戶與其他法人對價格偏離程度之影響比較 57
【表 4-10 】開收盤期間不同市場委託簿離散程度對價格偏之影響  59
【表 4-11 】開收盤期間不同市場交易成本對價格偏離之影響 】開收盤期間不同市場交易成本對價格偏離之影響  60
【表 4-12 】開收盤期間不同投資人對價格偏離之影響  62
【表 7-1】平均交易量在特定比例 下一檔之內消化及超過五外 69

圖目錄
【圖 1-1】研究流程圖 5
【圖 3-1】期貨選擇權市場各類投資人與一般參比重變化  22
【圖 3-2】無套利區間 35

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