本研究探討臺灣期貨市場快速交易對價格發現能力之影響。依據美國證券交易委員會(SEC)以及歐洲證券及市場管理局(ESMA)歸納出的高頻交易者特徵來做為本研究定義快速交易之條件，即持倉時間短、交易量大及委託對成交比率高。此外，透過 Lien and Shretha (2009) 提出的修正資訊份額模型來衡量臺股期貨與加權股價指數的價格發現能力。最後利用篩選出快速交易者，探討其對臺股期貨價格發現能力之影響。
研究結果顯示快速交易總成交量增加，會降低臺股期貨對股價指數的價格發現能力。在不同投資人類型中，境內機構法人快速交易增加時，不論是從全市場、買方或賣方的角度，發現皆會降低臺股期貨之價格發現能力；境外機構法人及散戶快速交易只有在其淨買賣量增加時，才會降低臺股期貨之價格發現能力。

This thesis investigates the effect of fast trading on price discovery in Taiwan Futures Market.According as the United States Securities and Exchange Commission (SEC) and the European Securities and Markets Authority (ESMA) induces the transaction characteristics of high-frequency traders,we use these conditions to define   fast trading in this thesis, namely short holding time, large volume, and high Order to trade ratio.In addition, we use a modified information share model proposed by Lien and Shretha (2009) to measure the price discovery ability of Taiwan Futures Market.At last, the thesis has discussed the influence of fast traders on the price discovery ability of Taiwan Futures Market.
The results shows that the increase in fast trading will weaken the price discovery ability of Taiwan Futures Market.In different types of investors,when the fast trading of domestic institutional investors increase, whether from the perspective of the whole market, the buyer or the seller,the price discovery ability of Taiwan Futures Market will weaken.Foreign institutional and retailer weaken the price discovery ability of Taiwan Futures Market only when net sales increase.

第一章　緒論	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	4
第四節　研究流程	5
第二章　文獻探討	6
第一節　高頻交易之相關文獻	6
第二節　期貨價格發現之相關文獻	7
第三章　研究方法	9
第一節　樣本資料篩選	9
第二節　理論與實證方法	14
第三節　迴歸模型設定	22
第四章　實證結果與分析	25
第一節　敘述統計	25
第二節　單根檢定	26
第三節　共整合檢定	27
第四節　修正資訊份額	28
第五節　迴歸分析	29
第六節　穩健性檢定	33
第五章　結論與建議	34
參考文獻	35
附錄	38
表目錄
【表1-1】各國當沖交易或高頻交易占比1
【表3-1】2009年至2012年各項商品年成交量統計量表10
【表3-2】臺股期貨各契約月份成交量平均比重12
【表3-3】委託至成交所需時間統計12
【表4-1】主要變數敘述統計表25
【表4-2】單根檢定之結果26
【表4-3】共整合檢定之結果27
【表4-4】臺股期貨與加權股價指數之修正資訊份額敘述統計28
【表4-5】快速交易變數對臺股期貨價格發現能力之迴歸結果29
【表4-6】買方快速交易變數對臺股期貨價格發現能力之迴歸結果30
【表4-7】賣方快速交易變數對臺股期貨價格發現能力之迴歸結果31
【表4-8】淨買賣快速交易變數對臺股期貨價格發現能力之迴歸結果32
【附表A-1】快速交易者對小型台指期貨價格發現能力之迴歸結果38
【附表A-2】買方快速交易者對小型台指期貨價格發現能力之迴歸結果	38
【附表A-3】賣方快速交易者對小型台指期貨價格發現能力之迴歸結果	39
【附表A-4】淨買賣快速交易變數對小型台指期貨價格發現能力之迴歸結果39
圖目錄
【圖1-1】研究流程圖5

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