台灣證交所自民國91年7月起實施「揭露未成交最佳一檔買賣價量」；並自92年1月起進一步實施「揭露最佳五檔買賣價量資訊」。接續兩次揭示制度變革提供獨特的機會得以探討交易前透明度增加對整體市場之影響。本文主要結合交易前透明度、下單策略、市場績效及限價簿資訊內涵等議題，由實際資料觀察發現，提高交易透明度會加強投資人之間下單的競爭程度，特別是法人，同時亦會使散戶減少極端的下單策略。相較於法人，散戶在委託單資訊更透明時，似乎比法人更具耐心，顯示他們是市場主要的流動性提供者。再者，當市場愈透明，法人的下單張數比例增加，但其在連續交易期間的平均每筆委託規模卻減少；相較於法人，在透明市場，散戶的下單張數比例雖下降，但其在各日內時段的平均每筆委託規模卻顯著增加。市場績效方面，愈高的透明度會增加價格波動性，但並未顯著顯著改善市場流動性與效率性。且進一步探討下單策略與市場績效之間關係發現，兩者為同時決定，並非單向因果關係。另在限價簿資訊內涵方面，大致而言，揭示價的資訊內涵高於揭示量，法人的揭示價量資訊內涵高於散戶、散戶第一檔揭示價量的資訊內涵皆高於第一檔以外的平均揭示價量，但法人第一檔以外平均揭示價量的資訊內涵並不低於第一檔。另亦發現，雖投資人下單決策大多受到最佳一檔揭示資訊影響，新增的第二檔至第五檔揭示資訊仍具部分解釋力。

This study examines the impact of increasing pre-trade transparency on the intraday order placement strategies of individual and institutional investors. The effect of pre-trade transparency on market performance and information content of limit order book is also studied. We found that transparency affects order placement strategies. First, greater pre-trade transparency intensifies competition and thus aggressiveness in order placement, especially for institutional investors, and reduces extreme order placement by individual investors as they better know how to place orders. Second, increasing transparency also changes trader order sizes. Institutional investors make smaller orders with increasing transparency, while individual investors make larger orders. Generally, greater transparency increases volatility, but not liquidity and efficiency. Finally, this study shows that the impact of transparency on market performance and the changes in order placement strategies are simultaneously determined. The analytical results are robust to different trading periods. Concerning information content of the limit order book, we evidence several major results. First, the disclosing bid/ask prices have more information content than posted bid/ask volume. Second, institutional traders’ unmatched orders provide more information content than individual traders. Third, the individual traders’ best bid/ask of unexecuted orders always have more information content than the average 2nd to 5th bid/ ask of unexecuted orders, while it is not true for institutional investors, their average 2nd to 5th bid/ ask of unexecuted orders contain the same information as best unexecuted orders at least. Additionally, though most of the explanatory power of the limit order book concentrates on the best quotes, however, the book beyond the best quotes also matters in explaining the order aggressiveness of investors.

目 錄
誌謝………………………………………………………………………..…..ii
中文摘要…………………………………………………………………..….iii
英文摘要………………………………………………………………...……iv
目錄……………………………………………………………………………v
表目錄……………………………………………………………………..…vii
圖目錄…………………………………………………………...…………..viii
第壹章 緒論…………………………………………..……………………………1
第貳章 研究動機與文獻回顧……………………………………………………8
第一節 透明度相關研究…………………………………………………………8
第二節 限價簿資訊與投資人下單策略………………………..………………11
第三節 衡量限價簿資訊內涵………………………….……………………….14
第四節 文獻重點彙整…………………………………………………………..17
第參章 研究設計………………………………………………………….……..19
第一節 市場背景與資料描述………………………………………………….19
第二節 研究方法……………………………………………………………….21
(一) 投資人下單策略………………………………………………………...21
(二) 市場績效………………………………………………………………...23
(三) 下單策略與市場績效之間的關係……………………………………...25
(四) 限價簿的資訊內涵……………………………………………………...27
(五) 限價簿資訊與下單策略之間關係……………………………………...32
第肆章 實證結果………………………………………………………………...36
第一節 投資人下單策略……………….………………………………………36
第二節 市場績效…………………………………………………………….…39
第三節 穩健性分析……………………………………………………….……40
第四節 下單策略與市場績效之間的整合性分析………………………….…41
第五節 限價簿的資訊內涵………………………………………………….…42
第六節 限價簿資訊與投資人下單策略……………………………………….44
第伍章 結論與後續研究………………………………………………………..47
參考文獻…………………………………………………………………………..50

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