本文探討各類投資人之委託單流量(order flows) 如何影響價格效率(price efficiency)，文中使用高頻率資訊效率之衡量價格來捕捉價格短暫偏移隨機漫步的程度。透過Hasbrouck (1991) 與 Boehmer and Kelley (2009)的方法，使用日內交易資料並透過向量自我迴歸(VAR)模型來計算價格誤差。本研究分別計算散戶投資人、國內機構投資人及外資的委託單失衡(order imbalance) 變數，以探討個別影響。 在控制其他可能影響效率變數後的迴歸結果顯示，散戶及國內機構投資人的委託單失衡變數之係數皆為正值並且顯著，表示散戶及國內機構投資人委託單流量越大時，交易價格越偏離效率價格，市場的價格效率降低。而外資交易與價格的資訊效率無關，即使有少數具有資訊交易者存在。而散戶與國內機構投資人的交易活動對於價格效率有負向的影響，因此這三類投資人之交易並未隱含訊息。 ;This thesis studies how daily order flows of investors affect price efficiency by using the high-frequency informational efficiency measure to capture temporary deviations from a random walk. We follow Hasbrouck (1993) and Boehmer and Kelley (2009) to use intraday transactions data to compute pricing errors through the VAR (vector autoregression) model. Order imbalance is categorized into three investor types, including individual, domestic institutional, and foreign institutional investors. After controlling other potential determinants of efficiency, the estimation results show that individual and domestic institutional investors’ order flows are significantly positive related to price discovery. With more individual and domestic institutional investors’ order flows, transaction prices move away from efficient prices, and the informational efficiency is hampered. On the other hand, foreign investors’ order imbalances are not related to price efficiency, though some foreign investors may be informed.
