本論文使用了台指選擇權2008年8月至2009年2月之資料，以每日與每小時區間探討機構投資人其下單行為是否可以預測未來價格變化。本研究使用Harris(2005)委託簿不對稱變數與未來報酬之迴歸式做為研究方法，並加入市場實際波動率作為控制變數，觀察機構投資人由何種下單行為預測價格變化，除此之外，本文也研究市場波動不同下，各機構投資人其下單行為是否會因此而改變。 本研究結果發現機構投資人其下單行為確實具有預測價格變化的能力；造市者與國內機構投資人在消極上的下單行為易透露其預測價格的能力，而國外機構投資人則在消極與積極上皆可觀察出其預測價格的能力。在市場波動效果分析，國內機構投資人最易受市場波動影響而改變其下單行為，尤其是在積極行為方面，反之，造市者則是消極面上的改變；而國外機構投資人在當日沖銷部分最易受影響而改變其下單行為。另外，實證結果的日內行為皆比日行為更為顯著，表示機構投資人在短區間的下單行為易透露其預測能力。 This paper applies data from 2008/08 to 2009/02, and we use day and one hour as intraday to discuss whether institutional investors are informative about future price changes and what orders they submitted. We use Harris(2005) regression model to examine our purposes by using order book asymmetry as variables. Furthermore, we apply the sub-data to observe the behavior of submitted orders with controlling realized volatility. Based on our empirical study, we find that limit order books are informative about future price movements and institutional investors change their orders under different volatilities Domestic institutional investors change their orders more often, especially upon aggressive orders. Market-makers change passively, and foreign institutional investors take actions only in day-trade situation. Based on regression model, we find market-makers and domestic institutional investors are informative for future price changes in passive order book variables. However, foreign institutional investors are informative by both passive and aggressive orders. Moreover, the shorter intervals make strong evidence than the longers.
