我們每天都可以觀察到股市成交量隨時間流逝所變動的情形，卻無法解釋各類投資人流動性提供差異的行為，本研究企圖建構出投資人提供流動性的代理變數，並藉此探討投資人流動性提供差異之原因。
  本研究將投資人區分為外資、大額散戶、小額散戶、自營商及其他國內法人五類，之後再把各類投資人的下單行為分成積極與消極兩類，研究市況與公司性質對投資人提供流動性之影響變化。
  實證結果顯示，各類投資人都會顯著提供市場流動性。小額散戶會選擇股票週轉率高和低帳面市值比的公司提供流動性。大額散戶與機構投資人都會選擇市值大與高股票週轉率的公司提供流動性，並且發現自營商為小公司流動性的主要提供者。
  市況對小額散戶提供流動性的影響均為正相關，與大額散戶提供流動性之行為差異頗大。而市況對機構投資人提供流動性的影響是一致的，當委託單不平衡、價格波動度與資訊不對稱愈高時，對機構投資人提供流動性的影響是增加的。市場雜訊愈高則會讓機構投資人減少流動性的提供。
  最後本研究利用資訊不對稱與雜訊對投資人流動性提供差異的影響，判斷大額散戶為流動性交易者，積極的小額散戶為雜訊交易者，積極的機構投資人則為資訊交易者。

The trading volume of Taiwan stock market changes over time, but we can’t actually explain the difference between the liquidity provided by different types of investors, therefore, in this study we observe the trading behavior of the stock market traders, and try to analyze the reason why different types of investors does not provide the same liquidity.
  We separate the investors in to five groups and categorize the orders into two types, aggressive and passive, then investigate the impact of market and corporate types on the liquidity provided by investors. 
  The evidence shows that all kinds of investors significantly provide market liquidity. Small individual traders would prefer trading stock with high turnover rate and low book-market ratio. On the other hand, big individual traders and institutional investors would rather trade the stock with large-cap and high turnover rate, and we also find that dealer is the main liquidity provider of small-cap stock. 
  Market and the liquidity provided by small individual traders are positively correlated, that is differ from the big individual traders. However, market influence the institutional investor in the same way, they provide higher liquidity when orders imbalance, price volatility and information asymmetry go higher, but provide less liquidity when market noise is high.
  Finally, we observe information asymmetry proxies and market noise proxies. We conclude that big individual investors are liquidity traders, while aggressive small individual investors are noise traders, and institutional investors are informed traders.

目錄
第一章  前言	1
第一節 研究動機與背景	1
第二節 研究目的	3
第三節 研究架構	5
第四節 研究流程	6
第二章  文獻回顧	7
第一節 集合競價機制之說明	7
第二節 市場流動性之研究	10
第三節 市況對流動性影響之實證與探討	15
第四節 各類投資人的資訊性	22
第五節 投資人下單積極度	24
第三章  研究方法	27
第一節 研究期間與樣本篩選	27
第二節 資料處理	33
第三節 變數說明	38
第四節 理論驗證方法與回歸模型設定	49
第四章  實證結果與分析	52
第一節 資料敘述統計分析	52
第二節 雙尾平均數t檢定	55
第三節 回歸實證模型之各類投資人分析	61
第四節 回歸實證模型之各類投資人的積極度分析	71
第五章  結論	79
參考文獻	83

表目錄
表 3 1投資人類別成交值比重	29
表 3 2委託檔資料格式	31
表 3 3成交檔資料格式	31
表 3 4揭示檔資料格式	32
表 3 5各類投資人委託買賣敘述統計	36
表 3 6委託單積極度敘述統計	38
表 3 7非資訊交易者的交易行為	44
表 3 8資訊交易者的交易行為	45
表 4 1投資人提供流動性的敘述統計	53
表 4 2各類投資人下單積極度與提供流動性之敘述統計	54
表 4 3皮爾森相關係數	55
表 4 4市況與各類投資人提供流動性之關係	57
表 4 5不同種類公司與各類投資人提供流動性之關係	60
表 4 6市況對投資人提供流動性的影響	65
表 4 7公司性質對投資人提供流動性的影響	68
表 4 8市況與公司性質對投資人提供流動性的影響	70
表 4 9市況與公司性質對投資人積極度的影響	75
表 4 10各類投資人積極度影響分析與檢定	77

圖目錄
圖 1 1 研究流程	6
圖 3 1委託單積極與消極之分類方法	37

參考文獻
1.	馬黛、陳秀桂、劉佳奇，(2010)，「大額委託單交易管道與執行成本:TWSE鉅額新舊制之實證研究」，證券市場發展季刊，第22卷第3期，頁137~180。
2.	詹場、胡星陽，(2000)，「流動性衡量方法之綜合評論」，國家科學委員會研究刊: 人文及社會科學, 第11卷第3期，頁205~221。
3.	林秋發，(2005)。微結構、雜訊交易與市場績效，國立中央大學財務金融研究所博士論文。
4.	Admati, A., and Pfleiderer, P., 1988, A Theory of Intraday Patterns: Volume and Price Volatility, Review of Financial Studies 1, 3-40.
5.	Ahn, H.-J., Cai, J., Hamao, Y., and Ho, R.Y.K., 2002, The Components of the Bid-Ask Spread in a Limit-Order Market: Evidence from the Tokyo Stock Exchange, Journal of Empirical Finance 9, 399-430.
6.	Aitken, M., and Comerton-Forde, C., 2003, How Should Liquidity Be Measured?, Pacific-Basin Finance Journal 11, 45-59.
7.	Alberts S, K., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335.
8.	Bagchi, D., 2006, Noise Trading in an Emerging Market: Evidence and Analysis, New Economic Windows 1, 77-84.
9.	Bagehot, W., 1971, The Only Game in Town, Financial Analysis Journal 27, 12-14.
10.	Barber, B.M., Lee, Y.-T., Liu, Y.-J., and Odean, T., 2009, Just How Much Do Individual Investors Lose by Trading?, The Review of Financial Studies 22, 609-632.
11.	Black, F., 1986, Noise, Journal of Finance 41, 529-543.
12.	Brown, P., Walsh, D., and Yuen, A., 1997, The Interaction between Order Imbalance and Stock Price, Pacific-Basin Finance Journal 5, 539-557.
13.	Chan, K., and Fong, W.-M., 2000, Trade Size, Order Imbalance, and the Volatility-Volume Relation, Journal of Financial Economics 57, 247-273.
14.	Chordia, T., and Subrahmanyam, A., 2004, Order Imbalance and Individual Stock Returns: Theory and Evidence, Journal of Financial Economics 72, 485-518.
15.	Chung, K.H., Ness, B.F.V., and Ness, R.A.V., 1999, Limit Orders and the Bid-Ask Spread, Journal of Financial Economics 53, 255-287.
16.	Demsetz, H., 1968, The Cost of Transaction, Quarterly Journal of Economics 82, 33-53.
17.	Dufour, A., and Engle, R.F., 2000, Time and the Price Impact of a Trade, Journal of Finance 55, 2467-2498.
18.	Duong, H.N., Kalev, P.S., and Krishnamurti, C., 2009, Order Aggressiveness of Institutional and Individual Investors, Pacific-Basin Finance Journal 17, 533-546.
19.	Easley, D., and O’Hara, M., 1987, Price, Trade Size, and Information in Securities Markets, Journal of Financial Economics 19, 69-90.
20.	Eleanor Xu, X., Peter, C., and Chunchi, W., 2006, Time and Dynamic Volume-Volatility Relation, Journal of Banking & Finance 30, 1535-1588.
21.	Glosten, L.R., and Harris, L.E., 1988, Estimating the Components of the Bid/Ask Spread, Journal of Financial Economics 21, 123-142.
22.	Griffiths, M.D., Smith, B.F., Turnbull, D.A.S., and White, R.W., 2000, The Costs and Determinants of Order Aggressiveness, Journal of Financial Economics 56, 65-88.
23.	Kehr, C.-H., Krahnen, J.P., and Theissen, E., 2001, The Anatomy of a Call Market, Journal of Financial Intermediation 10, 249-270.
24.	Kyle, A.S., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335.
25.	Lee, Y.-T., Lin, J.-C., and Liu, Y.-J., 1999, Trading Patterns of Big Versus Small Players in an Emerging Market: An Empirical Analysis, Journal of Banking & Finance 23, 701-725.
26.	Lee, Y.-T., Liu, Y.-J., Roll, R., and Subrahmanyam, A., 2004, Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Journal of Financial and Quantitative Analysis 39, 327-341.
27.	Lin, W.T., Tsai, S.-C., and Sun, D.S., 2012, Search Costs and Investor Trading Activity: Evidences from limit order book, Emerging Markets Finance & Trade 3, 5–31.
28.	Ma, T., Hsieh, M.-h., and Chen, J.-h., 2007, The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market, Asia-Pacific Journal of Financial Studies 36, 871-896 
29.	Ma, T., Lin, Y., and Chen, H.-K., 2008, Are Investors more Aggressive in Transparent Markets?, Asia-Pacific Journal of Financial Studies 37, 343-380.
30.	Madhavan, A.N., 1992, Trading Mechanisms in Securities Markets, Journal of Finance 47, 607-641.
31.	Ranaldo, A., 2004, Order Aggressiveness in Limit Order Book Markets, Journal of Financial Markets 7, 53-74.
32.	Stoll, H.R., 1978, The Supply of Dealer Services in Securities Markets, The Journal of Finance 33, 1133-1151.
33.	Stoll, H.R., 2000, Friction, Journal of Finance 55, 1478-1514.
34.	Wood, R.A., McInish, T.H., and Ord, J.K., 1985, An Investigation of Transaction Data for NYSE Stocks, Journal of Finance 40, 723-739.