過去的研究已廣泛探討了委託單失衡（Order Imbalance, OIB）在市場交易中所隱含的資訊內涵，本研究在這個基礎上探討OIB與未來股票報酬之間的關聯。同時，我們也進一步研究委託單失衡波動度（Volatility of Order Imbalance, VOIB）是否會影響未來股票報酬。委託單失衡波動度係由Chordia, Hu, Subrahmanyam, & Tong (2019)提出，本研究在此基礎上參考Bogousslavsky & Collin‐Dufresne (2022)的方法，使用高頻率的日內資料來建立VOIB，並研究OIB和VOIB與未來股票報酬之間的關聯。本文使用臺灣證券交易所提供之2011至2017年逐筆成交檔資料計算主要變數OIB及VOIB，基於該資料集的完整性，我們得以在研究中考慮不同投資人類別間的差異。本研究發現，不論投資人類別為何，週頻委託單失衡（OIB）對未來股票報酬均具有顯著正向影響。此外，在投資人類別為投信和散戶時，週頻委託單失衡波動度（VOIB）對未來股票報酬也具有顯著正向影響的現象。最後，在同時考慮OIB和VOIB的模型中，前一週的OIB仍然在99%的信心水準下對當週股票報酬有顯著正向影響。然而此模型中，VOIB估計係數只在投資人類別為散戶且VOIB為以5分鐘頻率OIB建構的情況下，才對當週股票報酬有顯著正向影響。

Previous studies have extensively explored the informational implications of order imbalance (OIB) in market trading. Based on these researches, this study investigates the relationship between OIB and future stock returns. Additionally, we also examine whether volatility of order imbalance (VOIB) influences future stock returns. Volatility of order imbalance (VOIB) is introduced by Chordia, Hu, Subrahmanyam, & Tong (2019). We adopt the method of Bogousslavsky & Collin‐Dufresne (2022) to construct VOIB with high-frequency intraday data, and then investigate the relationship between OIB and future stock returns, as well as the relationship between VOIB and future stock returns. In this study, we calculate the main variables OIB and VOIB using the transaction data provided by the Taiwan Stock Exchange (TSE) from 2011 to 2017. Based on the completeness of this dataset, we are able to consider the differences among different investor categories in our research. Results show that, weekly OIB of each kind of investors are positively related to the future stock returns. Additionally, weekly VOIB of mutual funds and individual investors are also positively related to the future stock returns. Furthermore, in the model considering both OIB and VOIB, OIB is still positively related to the future stock returns. However, in this model, VOIB is only positively related to the future stock returns when it is constructed by 5-minute frequency OIB of individual investors.

論文審定書........................................................................i
致謝...................................................................................ii
摘要..................................................................................iii
Abstract............................................................................iv
表次..................................................................................vi
第一章 緒論..................................................................... 1
第二章 文獻回顧..............................................................5
第三章 資料及研究方法................................................10
3.1主要資料說明............................................................10
3.2委託單失衡................................................................14
3.2.1日內委託單失衡.....................................................14
3.2.2週頻委託單失衡.....................................................14
3.3委託單失衡波動度....................................................16
3.4 股票報酬及控制變數...............................................19
第四章 實證結果............................................................20
4.1 Fama-MacBeth迴歸：週頻委託單失衡與股票報酬之關係.............................................................................20
4.2 Fama-MacBeth迴歸：週頻委託單失衡波動度與股票報酬之關係.................................................................23
4.3 Fama-MacBeth迴歸：週頻委託單失衡及委託單失衡波動度與股票報酬之關係.........................................29
第五章 結論....................................................................34
參考文獻.........................................................................36

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徐于婷（2013）。不同投資人類別的委託單不平衡對股票報酬之影響。國立雲
林科技大學碩士論文。取自https://hdl.handle.net/11296/rfcxac
廖信彥（2009）。買賣單不均衡，投資人類別與股票報酬之關係。國立暨南國際
大學碩士論文。取自https://hdl.handle.net/11296/82ye89