台灣股票市場有約41%左右的限價委託單為刪單，而有約39.8%的委託單刪單發生在下單後一分鐘內。本研究參照Hasbrouck and Saar (2009)，定義委託單下單至刪單或改單於一分鐘內為快速刪單。Van Ness et al. (2015)提出，刪單對股票市場來說是一種負面的影響，故本研究探討探討各類別投資人的快速刪單對股票報酬之預測能力，同時也探討高波動區間時快速刪單對股票報酬之預測能力。此外，本研究也將股票分成不同大小，並探討其快速刪單對股票報酬率之預測能力，同時也探討其在高波動區間時快速刪單對股票報酬之預測能力。
實證結果發現，台灣股票市場全市場與各類別投資人的快速刪單對股票報酬率有顯著相關之預測能力，而高波動期間時全市場的快速刪單對股票報酬則無顯著相關之預測能力。買單快速刪單比增加(減少)時，下一期之股票報酬率亦會增加(減少)。綜合上述結果，本研究認為快速刪單對股票報酬率之預測能力可能源自於投資人對快速刪單的反映。其也表示台灣股票市場快速刪單對股票市場之報酬率具有預測能力。

Nearly 41%of limit orders of Taiwan Stock Market are cancellation orders, among which, 39.8% happen within one minute after the order placed. Referred Hasbrouck and Saar (2009), this thesis defined cancellation orders in one minute as fleeting orders. Van Ness et al. (2015) claimed that fleeting order put a negative impact on market quality. This study investigates the predictive power of all types of investors from fleeting orders on stock returns, and investigates the predictive power of fleeting orders on stock returns under high volatility at the same time. Moreover, this study also split stocks into different sizes and investigates its’ predictive power of fleeting orders on stock returns.
The empirical results show that the predictive power of fleeting orders on stock returns has a significant effect, while the predictive power of fleeting orders on stock returns under high volatility has a non-significant effect. The increase of fleeting bid orders will increased stock returns. Base on the results above, we believe that the predictive power of fleeting orders on stock returns might been caused by the traders’ reaction on fleeting orders. It also means that the predictive power of fleeting orders on Taiwan Stock Market’s returns have a significant effect.

目錄
第一章	緒論 1
第一節 研究背景與動機 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 快速刪單與委託單刪單在市場的重要性 6
第二節 報酬與投資人之相關文獻 8
第三節 快速刪單與各分類投資人交易行為之關聯 10
第三章	研究方法	12
第一節 現貨市場簡介 12
第二節 樣本資料篩選介紹 14
第三節 變數說明 16
第四節 模型設定 24
第四章	實證結果與分析 27
第一節 敘述統計分析 27
第二節 迴歸分析 32
第三節 穩健性檢定	42
第五章	結論 47
參考文獻 50

表目錄
【表 3-1】台灣證券市場投資人類別成交值比重表	13
【表 3-2】快速刪單比率非零統計表	15
【表 3-3】各種秒數區間內之刪單比率表 16
【表 3-4】全市場及各類別投資人之刪單比率表 17
【表 3-5】全市場及各類別投資人之刪單比率表 19
【表 3-6】高波動期間敘述統計表 22
【表 4-1】各類別投資人快速刪單比率之敘述統計表 28
【表 4-2】各種類型股快速刪單比率之敘述統計表	29
【表 4-3】被解釋變數之敘述統計表 30
【表 4-4】控制變數之敘述統計表 31
【表 4-5】各分類投資人快速刪單對股票報酬率之預測能力	34
【表 4-6】各分類投資人快速刪單在高波動區間對股票報酬率之預測能力	37
【表 4-7】各股票類型快速刪單對股票報酬率之預測能力 39
【表 4-8】各股票類型快速刪單在高波動區間對股票報酬率之預測能力	41
【表 4-9】各分類投資人快速刪單對股票報酬率之預測能力	43
【表 4-10】各分類投資人快速刪單在高波動區間對股票報酬率之預測能力 44
【表 4-11】各股票類型快速刪單對股票報酬率之預測能力 45
【表 4-12】各股票類型快速刪單在高波動區間對股票報酬率之預測能力	46

圖目錄
【圖 1-1】研究流程圖 5
【圖 3-1】樣本期間內台指波動率指數圖 23

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