本篇論文將近月臺灣加權指數期貨 (TXF) 依Cont, Kukanov, and Stoikov (2014) 所提到之委託單流量不均衡 (OFI) 拆為成交單不均衡 (TI) 和委託簿不均衡 (ETOFI) 。發現兩者對價格變動之複迴歸平均R2為0.83。而兩者如果為同向時，即TI、ETOFI皆為正或皆為負，對價格影響為反向的3倍以上。在一分鐘TXF資料所建構之離散聯合機率分配下TI、ETOFI在類似級距下機率較高。而在最極端的狀況下，即TI且ETOFI皆小 (大) 於10 (90) 百分位佔比最高。若TI往極端方向走時，ETOFI亦會同步往相同極端方向移動，導致價格波動明顯放大。針對自我相關部分，TI、ETOFI在1秒間距下顯著，但至1分鐘間距時只剩TI較顯著。此外，現貨開盤對於期貨市場為一個公開事件，期貨價格變動在現貨開盤第一分鐘時，大盤相關期貨 (TXF、MXF) 由TI決定，臺積電期貨 (CDF) 由ETOFI所決定。綜觀上述，相較於只用OFI探討價格變動，本篇論文將OFI拆成TI、ETOFI，並探討其方向性對價格之影響以及價格效率性之決定因素。

This paper decomposes the order flow imbalance (OFI) mentioned by Cont, Kukanov, and Stoikov (2014) into Trade Imbalance (TI) and Imbalance of the Order Book (ETOFI) , as well as adopts the near-month Taiwan Weighted Index Futures (TXF) . The combined multiple regression average R2 of price changes on TI and ETOFI is 0.83. Furthermore, when both TI and ETOFI are in the same direction, their impact on prices is three times stronger than in the opposite direction. Under the discrete joint probability distribution constructed from one-minute TXF data, TI and ETOFI have higher probabilities in similar ranges. In the most extreme case, where both TI and ETOFI are below 10th (90th) percentile, they have the highest proportion. When TI moves towards the extreme, ETOFI also moves in the same direction, leading to significant price volatility. Regarding autocorrelation, TI and ETOFI are significant at a 1-second interval, but only TI remains significant at a 1-minute interval. Additionally, the opening of the spot market is a public event for the futures market, and the price changes in the futures market during the first minute of the spot market opening are determined by TI for the market-related futures (TXF, MXF) and by ETOFI for TSMC futures (CDF) . In summary, compared to previous studies considering only OFI, this paper decomposes OFI into TI and ETOFI and explores their directional impact on prices and the determinants of price efficiency.

第一章 緒論----------5
第二章 文獻回顧----------8
第三章 資料----------11
第四章 方法----------12
4.1 TI、ETOFI、OFI解釋價格變化之迴歸----------12
4.2 TI、ETOFI離散機率分配----------14
4.3 TI、ETOFI、OFI之自迴歸----------14
4.4 現貨開盤時TI、ETOFI對期貨價格之影響----------15
第五章 實證結果----------16
5.1 TI、ETOFI、OFI解釋價格變化之迴歸----------16
5.2 TI、ETOFI離散機率分配----------20
5.3 TI、ETOFI、OFI之自迴歸----------22
5.4 現貨開盤時TI、ETOFI對期貨價格之影響----------23
第六章 結論----------25
表附錄 (表一至表十四)----------26
圖附錄 (圖一至圖八)----------41
參考文獻----------50

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