本篇論文主要是研究台灣股市於民國90年（2001）年元月起，實施延長交易時間到下午一點三十分的交易新制後，對市場公開及私人資訊的流入量及流入形態所產生的影響。透過應用Hasbrouck（1988, 1991a, 1991b）所提出的，用來〝衡量市場私人資訊流入之絕對測度指標值及相對測度指標值〞的VAR及VMA模型，以比較延長交易制度實施前、後，市場資訊流入型態所產生的變化，我們有如下幾點發現：

（一）交易時間的延長，使得資訊交易者更有意願去尋求別人所沒有的〝獨家資訊〞，造成了新制實施後，市場私人資訊的總流量增加之現象。

（二）就公開資訊而言，市場有其特定的傳遞機制，並不會因為交易時間延長，就產生較多的公開資訊。

（三）延長交易制度的實施後，資訊投資人會選擇以更有彈性、更有計畫的方式來逐步釋放其所擁有的私人訊息，如此私人資訊集中在開、收盤時釋放的情形將會獲得改善（比率下降）。

none

第一章 緒論……………………………………………….…….…1
第一節 研究動機與目的………………………………….….…1
第二節 論文架構………………………………………...…..…3
第二章 文獻回顧……………………………………….….……..5
第一節 交易時間與市場績效………………………….….…….5
第二節 資訊不對稱與市場績效…………………………...……6
第三節 衡量資訊不對稱的相關文獻……………….…….....…13
第三章 研究假說與實證方法……………………….…………18
第一節 研究假說…………..……………………….…………18
第二節 研究方法…………………………….……….…..……21
3.2.1 Joel Hasbrouck的理論模…….…………….………..……21
3.2.2 本文的研究方法……………………………..…….……27
第三節 樣本選取與資料來源………………….……….….....…29
第四章 實證結果與分析……………………….……...….…31
第一節 敘述統計量分析………………...….……..……….…31
第二節 VAR＆VMA模型之應用 ~ 以台積電為例……….....…36
第三節 不考慮交易量大小下的實證結果分析………...….….…39
第四節 在考慮交易量大小下的實證結果分析……………….…56
第四章 結論與建議………………………………….……72
第一節 研究結論………………………….……………………72
第二節 研究限制與建議………………………...………...……73
參考文獻………………………………………….….….……75

黃仁甫、劉玉珍，”台灣股市交易資訊不對稱之實證研究 – VAR模型之應用”， 中國財務學刊，第三卷第一期，八十四年七月

馬黛、廖怡玲，”交易時間、交易行為與股市績效：台灣股市隔週休二日之實證”， 中國財務學刊，第八卷第三期，八十九年十二月

吳瑞萱，台灣加權股價指數日內動態行為之研究，台北大學企業管理研究所未出版碩士論文，民國九十年。

陳健宏，資訊交易機率對股市績效的影響，中山大學財務管理研究所未出版碩士論文，民國八十九年。

Admati, A. R. and P. Pfleiderer, “The Theory of Intraday Patterns: Volume and Price Variability,” Review of Financial Studies, 1988, Vol. 1, pp. 3-40.

Admati, A. R. and P. Pfleiderer, “Privide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects,” Review of Financial Studies, Vol. 2, 1989, pp. 189-223.

Atkins, Allen B, and Basu Somnath, “The Effect of After-Hours Annoucements on the Intraday U-Shaped Volume Pattern”, Journal of Business Finance and Accounting, Vol. 22, No. 6, 1995. 789-810.

Back, Kerry C., Henry Cao and Gregory A. Willard, “Imperfect Competition among Informed Traders”, the Journal of Finance, 2000, 115-134

Bagehot, W. (1971), “The Only Game in Taiwan,” Financial Analysis Journal, Vol. 27, pp. 12-14.

Barclay, Michael J., Robert H. Litzenberger, and Jerold B. Warner, “Private Information, Trading Volume, and Stock-return Variances”, Review of Financial Studies 3, 1990, 233-253.

Chiang, R., and P.C. Venkatesh ,”Insider Holding and Perceptions of Information Asymmetry:A Note,”Journal of Finance,September,1988 P.1041-48

Cornell, B. and E. Sirri, “The reaction of investors and stock prices to insider
trading”, Journal of Finance VOL.XLVII , NO.3 JULY 1992, 1031-1060

Diamond, Douglas W. and Robert E. Verrecchia ,“Disclosure , Liquidity , and the Cost of Capital , “Journal of Finance Vol. XLVI , NO.4 September 1991 P.1325-1359

Easley, David, Nicholas M. Kiefer, Maureen O’Hara, Joseph Paperman, “Liquidity, Information, and Infrequently Traded Stocks.” The Journal of Finance, September 1996

Easley, David, Nicholas M. Kiefer, Maureen O’Hara. “The information content of the trading process” Journal of Empirical Finance 4 , 1997, 159-186

Easley, David, Maureen O’Hara, and Joseph Paperman, “Financial analysts and information-based trade.” Journal of Financial Markets 1, 1998, 175-201

Foster, F. D., and S. Viswanathan, “A Theory of Intraday Variations in Volume, Variances, and Trading Costs in Security Markets,” Review of financial Studies, Vol. 3, No. 4, 1990a, pp. 593-624.

Foster, F. D., and S. Viswanathan, “Variation in Volumes, Variances and Trading Costs,” working paper, 1990b, Futures and Options Research Center , Duke University.

Foster, F. D., and S. Viswanathan, “Trading Costs of Target Firms and Corporate Takeovers,” working paper, 1990c, Futures and Options Research Center , Duke University.

Fowler, David J., and C. Harvey Rorke, “Insider trading profits in the Canadian equity market,” Working paper, 1984, York University, Canadian

French Kenneth R. and Roll Richard,” Stock Return Variances: The Arrival of Information and the Reaction of Traders”, Journal of Financial Economics 17, 1986

Froot, Kenneth A., David S. Scharfstein, and Jeremy C. Stein, “Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation”, the Journal of Finance, 1992, p.1461.

Gerald, Lobo, and Samuel Tung, ”Relation Between Predisclosure Information Asymmetry and Trading Volume Reaction Around Quarterly Earnings Announcements” Journal of Business Finance and Accounting, vol:24, 1997, P.851-868

Glosten, L. R., and L. E. Harris, “Estimating the Components of the Bid/Ask Spread,” Journal of Financial Economics, 1988, 123-142

Glosten L. R., and P. R. Milgrom (1985), “Bid, Ask and Transaction Prices in A Specialist Market with Heterogeneously Informed Traders,” Journal of Financial Economics, Vol. 14, pp. 71-100.

Guth, Werner, Jan P. Krahnen, Christian Rieck, “Financial markets with asymmetric information：A pilot study focusing on insider advantages” Journal of Economic Psychology , vol.18, 1997, 235-257.

Hasbrouck, Joel, Quotes, Inventories and Information,” Journal of Financial Economics, 1988, P.229-252.

Hasbrouck, Joel, “Measuring the Information Content of Stocks Trades,” The Journal of Finance. March, 1991a, No.1,179-207.

Hasbrouck, Joel, “The Summary Informative of Stock Trade: An Econometric Analysis ”The Review of Finance Studies 1991b Volume 4, number 3, pp.571-595

Holden, Craig W., and Avanidhar Subrahmanyam, “Long-lived Private Information
and Imperfect Competition”, the Journal of Finance, 1992, 247-270.

Houston, Joel F. and Ryngaer Michael D., “The Link Between Trading Time and Market Volatility”, Journal of Financial Research, Vol. XV,No. 2 1992.

Jones, Charles M., Gautam Kaul, and Marc L. Lipson, “Information, Trading, and Volatility”, Journal of Financial Economics 36, 1994.

Judge, G. G., The Theory and Practice of Econometrics（2d ed.）,John Wiley＆Sons, New York, 1985.

Kabir, Rezaul, and Theo Vermaelen, ”Insider trading restrictions and the stock market: Evidence form the Amsterdam Stock Exchange” European Economic Review 40, pp.1591-1603, 1996

Kyle, Albert S., “Continuous Auction and Insider Trading, Econometrica, 53,1315-1335, 1985

Kyle, Albert S., “Information Speculation with Imperfect Composition”, Review of Economics Studies, 56, 1989.

McInish, T., and R. Wood, “An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks,” working paper, 1989, Fogelman College of Business and Economics, Memphis State University

Stoll, H. R.,”Inferring the Components of the Bid-Ask Spread:Theory and Empirical Tests,” Journal of Finance, 1989, 115-134