高頻限價委託簿資訊性研究：以台灣股市五檔為例

Abstract

本研究利用台灣證券交易所的高頻數據，評估委託簿中的限價單資訊內容，特別對最佳買賣報價之後的二至五檔限價委託所含的增量資訊尤為感興趣。結果顯示，後段委託簿對價格發現的貢獻約為30%，其餘70%來自最佳買賣報價和成交價格。此外，透過計算委託簿的高度和深度不平衡，以及不同平均成交量倍數對價格的衝擊，發現委託簿的供需不平衡與未來短期報酬顯著相關。最後，本文進一步依成交活躍度、Relative Tick Size與波動度等橫截面特徵對樣本股票進行分組，檢驗委託簿資訊預測力是否存在系統性差異，結果顯示分組結果一致且差異顯著，凸顯委託簿資訊結構與股票特性密切相關。

This study utilizes high-frequency data from the Taiwan Stock Exchange to evaluate the informational content embedded in limit order books, with particular emphasis on the incremental information contained in the second to fifth levels beyond the best bid and ask quotes. The results show that these deeper levels contribute approximately 30% to price discovery, while the remaining 70% is attributed to the best quotes and executed prices. Furthermore, by constructing measures of order book height and depth imbalance, and incorporating volume multiples to account for trade impact, we find that supply-demand asymmetry in the order book is significantly associated with short-term future returns. Lastly, we group sample stocks based on cross-sectional characteristics including volatility, relative tick size, and trading activity, to examine whether the predictive power of order book information varies systematically. The results indicate consistent and significant differences across groups, highlighting a strong relationship between the structure of order book information and stock-specific attributes.