本研究利用委託檔及成交檔資料重建委託簿後，使用Kang and Yeo(2008)所提出的兩種限價委託單流動性變數，並以Hu(2006)之方法估計股票報酬波動度中所含之雜訊，探討台灣股票限價委託簿流動性和市場波動度及雜訊之間的關係。之後將委託簿流動性變數分為自然人、外資和國內法人觀察其和市場雜訊的關係來推論何類投資人是造成市場雜訊的主要來源及何類投資人較具有資訊性。 實證結果發現，委託簿流動性、市場波動度和雜訊比例在落後兩期之間具有互相的因果關係，當市場的波動度變大時會藉由委託簿的流動性來做資訊的傳導，造成未來波動度的上升，而雜訊也是在沒有造市者的情況下市場藉由限價委託簿來傳遞訊息。在做投資人分群後，也推論出外資為市場的資訊交易者，而散戶為市場委託簿流動性的主要供應者。 This study Based on intraday order book data and transaction data from Taiwan Stock Exchange(TSE),adopted the liquidity of the limit order book measurement of Kang and Yeo(2008) and the estimation of noise by Hu(2006). Then observed the relationship between the liquidity of the limit order book and noise in different type of investors in Taiwan stock market, and tried to infer that which investors’ behavior was information or non-information. The empirical result showed that the liquidity of the limit order book have causality relation in market volatility and noise. When volatility is higher , market will transfer more information with limit order book and cause volatility higher in the future. In addition, noise can transfer information with limit order book in market there are no market marker. Finally we infer that Foreign Institutional Investor was rational and individuals was irrational after we classify investor group.
