本文為驗證台灣股票市場將盤中改為全面逐筆交易後對股票市場之影響。在第一個波動度假說中，實施逐筆交易後的股票波動顯著大於制度改變前，且此現象亦發生於高交易量、家族企業及高科技產業之股票類型；第二個相對交易量假說中，制度的改變使得相對交易量顯著大於實施逐筆交易前，且無論高交易量之股票或屬於家族企業之股票亦得到相同結果。由上述兩個假說可得知，台灣股票市場將盤中改為全面逐筆交易後，整體而言有助於增加股票之波動度及流動性，因此政府實施逐筆交易之制度不僅使台灣股票市場更加有效率，還能有機會與國際接軌並吸引外資投入，逐筆交易制度之實施，提供投資者在台灣股票市場有更好的交易環境。

This paper examines the impact of the change of trading mechanism to continuous trading system in the Taiwan stock market by two hypotheses. For the first hypothesis, the volatility increases after the change to continuous trading system. The results are significant in all stocks, highly traded stocks, family business stocks and high-tech industry stocks. For the second hypothesis, the relative volume increases after the change to continuous trading system as well. The results are significant in all stocks, highly traded stocks and family business stocks. The consequences suggest that the continuous trading mechanism provides a better trading environment for investors. The change of trading system that decided by the government do enhance the efficiency of the Taiwan stock market, and may align with global practice quickly and attract foreign investment in the future.

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