本研究利用委託檔及成交檔資料重建委託簿後，使用Kang and Yeo(2008)所提出的兩種限價委託單流動性變數，並以Hu(2006)之方法估計股票報酬波動度中所含之雜訊，探討台灣股票限價委託簿流動性和市場波動度及雜訊之間的關係。之後將委託簿流動性變數分為自然人、外資和國內法人觀察其和市場雜訊的關係來推論何類投資人是造成市場雜訊的主要來源及何類投資人較具有資訊性。
   實證結果發現，委託簿流動性、市場波動度和雜訊比例在落後兩期之間具有互相的因果關係，當市場的波動度變大時會藉由委託簿的流動性來做資訊的傳導，造成未來波動度的上升，而雜訊也是在沒有造市者的情況下市場藉由限價委託簿來傳遞訊息。在做投資人分群後，也推論出外資為市場的資訊交易者，而散戶為市場委託簿流動性的主要供應者。

This study Based on intraday order book data and transaction data from Taiwan Stock Exchange(TSE),adopted the liquidity of the limit order book measurement   of Kang and Yeo(2008) and the estimation of noise by Hu(2006). Then observed the relationship between the liquidity of the limit order book and noise in different type of investors in Taiwan stock market, and tried to infer that which investors’ behavior was information or non-information. 
 The empirical result showed that the liquidity of the limit order book have causality relation in market volatility and noise. When volatility is higher , market will transfer more information with limit order book and cause volatility higher in the future. In addition, noise can transfer information with limit order book in market there are no market marker. Finally we infer that Foreign Institutional Investor was rational and individuals was irrational after we classify investor group.

目錄
目錄	ii
圖表目錄	iii
第一章　緒論	1
第一節	研究背景與動機	1
第二節　研究目的	4
第三節  研究架構與流程	5
第四節　研究流程	6
第二章 文獻回顧	7
第一節　流動性的相關文獻	7
第二節　限價委託單所帶來的流動性	9
第三節　市場上的雜訊	12
第四節 市場流動性和波動度與雜訊之間的關係	14
第五節　各類投資人的資訊性	17
第三章 研究方法	19
第一節　研究資料與研究期間	19
第二節　資料格式	20
第三節　研究變數	24
第四節　縱橫資料（Panel data）估計方法	32
第四章  實證研究結果	34
第一節　樣本敘述統計	34
第二節　什麼是影響限價委託簿流動性的決定因子	39
第三節　限價委託簿流動性對市場波動度和雜訊所造成的影響程度	45
第四節  各類投資人委託簿流動性對市場波動性和雜訊的影響	51
第五章  結論	61
參考文獻	64
附錄一	70
附錄二	71


　圖表目錄
【表 3-1】委託檔資料格式	22
【表 3-2】成交檔資料格式	23
【表 3-3】揭示檔資料格式	23
【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	37
【表4-2】限價委託簿流動性變數的敘述統計檢定	37
【圖4-1】限價委託簿流動性變數日內區間平均的變動走勢	38
【表4-3】市場日內各區間平均報酬波動度及平均雜訊占波動比例 38
【表4-4】各個變數的相關係數檢定	38
【表4-5】市場雜訊對限價委託簿流動性的迴歸模型	43
【表4-6】限價委託簿流動性與市場面波動度的迴歸模型	49
【表4-7】限價委託簿流動性與市場波動度雜訊比例的迴歸模型 50
【表4-8】各類投資人在特定比例平均交易量下一檔之內及超過五檔 
         之外消化的比例	52
【表4-9】投資人分群的敘述統計	53
【表4-10】各類投資人委託單流動性對市場波動度的迴歸模型	58
【表4-11】各類投資人委託簿在波動度變動時的買賣的分佈	59
【表4-12】各類投資人委託單流動性對市場雜訊的迴歸模型	60

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