台灣證券交易所為了提升市場資訊透明度，自2003年1月2日起將報價揭示從最佳一檔買賣報價改為揭露最佳五檔買賣報價。本文主要應用Sandas (2001) 的限價委託簿結構模型，以GMM方法對台灣證交所委託簿資料進行實證。研究樣本則分為揭露五檔的初期與四年後的近期兩區段。為了觀察市場透明度增加後市場流動性、波動性與交易成本間的關係，本文採用Panel Data模型來進行分析。
    參數估計結果發現，市價買賣單委託數量符合市價單數量分配的特性，非常接近實際限價委託簿情況；委託單擲交成本為負，反映交易者理性的投單行為；市價單價格衝擊皆為正，隱含逆選擇成本為正值；另外，與委託單擲交成本及逆選擇成本相比，公共資訊對於股價變動的影響比較小。
    實證顯示，市場透明度提升後，市場委託買賣單數量是減少的，委託單擲交成本是降低的，逆選擇成本是降低的，顯示台灣證交所實證揭露五檔措施能有效改善資訊不對稱的程度。此外，交易者較偏好擲交台灣卓越50成份股的委託單，提升其流動性，亦降低資訊不對稱所產生的逆選擇程度；而T50成份股委託單處理成本的負值程度較高，顯示交易者擲交T50成份股的委託單，其監視成本較高。
    在以Panel Data模型進行實證結果顯示，透明度提升後委託單擲交成本是降低的，而個股流動性對委託單擲交成本的影響則為負；市場波動性對委託單擲交成本的影響則為正；個股波動性對逆選擇成本的影響則為負。

In order to elevate market transparency of the information, Taiwan Stock Exchange Corporation (TSEC) started to disclose the best five bids and asks quotations in January 2, 2003. We apply the structural model of Sandas (2001) and use the data of limit order book from TSEC. The empirical mothodology is based on GMM method and the research sample is divided into two different periods. Finally, we also use Panel Data model to observe the relationship between estimated parameter, volatility and liquidity. 
    The empirical results represent that market order flow characterizing the distribution of market buy/sell order quantities. The estimated order processing cost is negative, but this could reflect rational behavior of orders by traders. We also find that the price impact of market orders is positive, presents adverse selection cost is positive.
    Furthermore, we show that the improvement of market transparency not only decreases the order submission and adverse selection costs but also reduces the level of information asymmetry. When traders submitted the order of Taiwan top 50 constituent stocks, the monitor cost of limit order book is higher. 
    Finally, the results of empirical study on Panel Data model, we find that the individual stock liquidity impact on order submission cost is negative. Then, the market volatility impact on order submission cost is positive. However, the stock volatility impact on adverse selection cost is negative.

目錄
中文摘要................................................I
英文摘要................................................II
目錄....................................................III
表目錄..................................................V
圖目錄..................................................VI
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....................................5
    第四節  研究流程....................................6
第二章  文獻回顧........................................7
    第一節  全球證券市場之交易與揭示制度................7
    第二節  市場透明度之相關文獻........................20
    第三節  限價單與交易者投單策略之相關文獻............26
第三章  理論模型........................................30
    第一節  委託簿均衡過程..............................30
    第二節  Sandas (2001) 的限價委託簿結構模型..........32
    第三節  結構模型之限制條件式........................36
    第四節  流動性、波動性與交易成本之理論關係..........40
第四章  研究設計與方法..................................42
    第一節  研究設計....................................42
    第二節  研究方法....................................45
    第三節  橫斷面分析..................................55
第五章  實證結果........................................57
    第一節  結構模型參數值..............................57
    第二節  訊息變數與參數值之關係驗證..................72
第六章  結論與建議......................................83
    第一節  結論........................................83
    第二節  研究建議....................................86
參考文獻................................................87
附錄I   第一類樣本-台灣50指數成分股之43支樣本股票.......93
附錄II  第二類樣本-台灣中型100指數成分股之84支樣本股票..94
附錄III 第三類樣本-其他上市公司之233支樣本股票..........95

表目錄
表1.1.1	全球證券交易所現行價量資訊揭示情況.............2
表2.1.1	2007年12月份市值前十大之全球證券交易所.........8
表2.1.2	全球主要證券交易所交易機制比較表...............14
表2.1.3	盤中撮合前後之買賣價量委託情形.................19
表4.1.1	樣本敘述統計量.................................43
表4.2.1	流動性之定義...................................49
表5.1.1	2003年第一類樣本-損益兩平與更新條件採分離估計結果	...............................................58
表5.1.2	2007年第一類樣本-損益兩平與更新條件採分離估計結果	...............................................60
表5.1.3	2003年第一類樣本-平均損益兩平與更新條件採合併估計結果	...............................................64
表5.1.4	2007年第一類樣本-平均損益兩平與更新條件採合併估計結果	...............................................66
表5.1.5	全體樣本之平均數差檢定結果.....................71
表5.2.1	Hausman test檢定結果...........................73
表5.2.2	以ETF樣本分類之Panel Data迴歸估計結果-固定效果模型	...............................................78
表5.2.3	以市值帳面價值比分類之Panel Data迴歸估計結果-固定效果模型	...............................................81

圖目錄
圖4.1.1	第一子區段示意圖...............................44
圖4.2.1	2003年與2007第一類樣本 (T50) 之流動性..........51
圖4.2.2	2003年與2007第二類樣本 (T100) 之流動性.........51
圖4.2.3	2003年與2007第三類樣本 (Other) 之流動性........51
圖4.2.4	2003年與2007第一類樣本 (T50) 之波動性..........54
圖4.2.5	2003年與2007第二類樣本 (T100) 之波動性.........54
圖4.2.6	2003年與2007第三類樣本 (Other) 之波動性........54

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中文部份
1.台灣證券交易所編輯出版，2007，「世界主要證券市場相關制度」。
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網站部份
1.上海證券交易所，http://www.sse.com.cn/
2.台灣證券交易所，http://www.tse.com.tw/
3.全球證券交易所聯會，http://www.world-exchanges.org/WFE/home.Asp
4.東京證交所，http://www.tse.or.jp/
5.香港證交所，http://www.hkex.com.hk/
6.倫敦證交所，http://www.londonstockexchange.com/
7.紐約證交所，http://www.nyse.com/