本研究利用高頻率的日內資料研究台灣股價指數期貨及選擇權市場的價格效率性，探討期貨及選擇權市場上投資人的下單積極程度是否會影響到衍生性商品市場價格偏離程度。採用Tucker(1991)所提出之買權賣權期貨平價理論，指出期貨價格和選擇權買賣權價格間維持著一定的均衡關係，若偏離發生則代表市場正處於沒有效率的狀態。 文章首先利用兩種不同的流動性變數包括委託簿的離散程度及交易成本來分別測試期貨和選擇權市場的投資人提供的流動性對於價格偏離程度之影響，結果顯示選擇權市場的影響能力較期貨市場來的高。另外將兩個委託簿流動性變數依四類投資人分類，藉以探討各類投資人的積極程度對於價格偏離之影響。研究結果指出：1.價格偏離發生的頻率逐年下降 2.散戶投資人下單的積極程度越高則市場價格效率會隨之降低 3.三大法人包括外資、期貨自營商及其他法人，三類投資人對於價格偏離的影響能力皆顯著高於散戶 4.開收盤期間，投資人提供的流動性和價格偏離程度成正比。 This research uses high frequency intraday data to investigate how investors’ aggressiveness can affect mispricing in Taiwan Futures market by using Put-Call Futures Parity proposed by Tucker(1991). Firstly, in order to analyze the effects of traders’ aggressiveness on mispricing in Taiwan Futures market, I use two different liquidity variables including Orders’ Aggressiveness Index and Cost-to-Trade, the result show that mispricing is effected more by Options market than Futures market. Secondly, I separate the investors into four groups and investigate how different types of investors’ aggressiveness can result in greater mispricing. The empirical findings show that：1. The frequency of mispricing decline year by year 2. Market efficiency goes down when individuals are more aggressive 3. The effects of mispricing of institutional traders is greater than those of individuals. 4. During opening and closing hour, the liquidity provided by investors and mispricing are directly proportional.
