日內資訊、交易量、與報酬率波動度的關係：以台灣證券交易所委託單資料所做的實證研究

Intraday Information Trading Volume and Return Volatility Evidence from the Order Flows on the Taiwan Stock Exchange

相較於文獻中所使用的交易資料，台灣證券交易所所提供的完整委託單流量資料，更適合研究日內資訊、交易量、與波動度的關係。我們發現交易者傾向於集中下單，不過只有小型股的交易量與波動量與下單集中現象有正向相關。流動性委託單對交易量與波動度的影響不若資訊委託單的影響高。大筆資訊委託單所隱含的資訊內涵通常是尚未在市場公開的資訊。相較於國外所做的研究，我們的樣本顯示，即使開盤時的委託單量極大，但是成交量卻不會異常的高。我們認為可能的原因是，在台灣獨特的委託單驅動交易機制中，沒有專業會員、有股價漲跌幅限制、而且只允許限價委託單（limit order），造成交易者在開盤時傾向於保守下單。此外，影響大公司股票交易量與波動度的體市場面資訊通常是未公開的私有資訊，相較於整體市場面資訊，有關個別公司的資訊料對交易量與波動度的決定性較小。對資訊的看法分歧程度和投機委託單與交易量及波動度呈現正相關。

Relative to the transaction data investigated in the literature, the complete order flow data we have from the Taiwan Stock Exchange (TSE) is particularly appropriate for examining the intraday relationship between information, trading volume and volatility. We find that traders tend to concentrate their orders, but only the trading volume and volatility of the small stocks are positively associated with the concentration of orders. The liquidity orders do not influence volume and volatility as much as the information orders. The information carried by the large information orders tends to be private rather than public. But the trading volume at the open is not unusually high for our sample, notwithstanding very large order flows. We think that the TSE’s unique order-driven call market without specialists which imposes price limits and allows only limit orders makes traders very conservative at the open. In addition, the market-wide information affects the trading volume and volatility of the large firms through private information. The firmspecific information is not as clear a determinant of trading volume and volatility as the market-wide information. The diversity in the interpretation of information and speculative orders are positively related to trading volume and volatility.