以台灣證券交易所之日內交易資料，我們探討於集中競價市場中限價簿之資訊力。我們發現撮合前之委託單相關資訊變數，如市價單、委託單半徑，對撮合後之成交相關變數，如成交量、成交後價差、交易者剩餘，具有顯著之影響。再者，我們出示證據：市價單、委託單半徑，其實其各自含有二個完全相左之影響能量，左右了成交相關變數。

Using the intraday data on the Taiwan Stock Exchange (TWSE), we address the issue of the informativeness of the limit order book in the periodic call market. We find that the pre-call information variables, i.e., the market order and the radius of the order book, have significant impacts on the trade variables, i.e., trading volume, the post-call bid-ask spread, and the trader surplus. Furthermore, we are able to show that the radius, as well as the market order, contains two differential forces in impacting these trade variables.

Abstract………………………………………………………………………………..1
Contents………………………………………………………………………………..2
Figure of Contents……………………………………………………………………..3
Table of Contents………………………………………………………………………4
1. Introduction…………………………………………………………………………5
2. Data and Methodology
2.1 Data………………………………………………………………………10
2.2 The rationale behind the post-call bid-ask spread………………………..11
2.3 The intuition and measure of the radius of the order book………………12
3. Empirical Results
3.1 The slopes and the radius of the limit order book………………………..16
3.2 Trader Surplus and Information Asymmetry……………………………..25
4. Conclusion……………………………………………………………………….32
Appendix A…………………………………………………………………………..34
Appendix B…………………………………………………………………………..36
Reference……………………………………………………………………………..39

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