本篇文章主要討論台北外匯市場的交易時距的動態變化以及其相關的決定因素。 交易時距在過去的文獻中在最常被討論的為股票市場。 在外匯市場相關的研究， 根據文獻指出相對的少很多。由於外匯市場的市場結構和參與者和股票市場的市場結構以及參與者有極大的不同。針對台北外匯市場，我們將會根據市場的結構研究外匯市場的交易時距。研究台北外匯市場的主要原因有二：第一、台北外匯市場和股票市場一樣，類似一個區域市場。第二、研究台北外匯市場是否有資訊不對稱的現象。我們將使用STACD-PD 模型研究台北外匯市場日內的交易時距的行為。另外我們採用價差作為資訊抵達的信號。研究的結果指出，STACD-PD 模型不但可以適切的描述台北外匯市場日內交易時距的動態過程，更可以利用過去的價格資訊以及交易時距資訊的影響，解釋日內交易時距關於非線性的部分。價差的顯著性亦顯示出在台北外匯市場有著資訊不對稱的現象。交易時距的長短在上午市場以及下午市場有顯著的差別。然而，在多頭市場以及空頭市場並不顯著。

This research mainly discusses the relationship between the trading intensity and its determinants. The trading intensity is widely discussed in the stock market, however, in the foreign exchange (FX) market, in our best knowledge, similar regarding researches is still few. The structure and participants of the FX market are different from the stock market . We examine the trading intensity (the inverse of trade duration) with the specific institutional setting of the Taipei FX market because of the two reasons: the first reason is that the Taipei FX market is more like a regional trading market than an worldwide market in determining the exchange rate of NTD/USD; the second reason is that the regarding exchange rate issues in FX market, for example, the information aggregation process may be different from other FX markets in the world. To investigate the duration dynamics in the Taipei FX market, we adopt the smooth transition autoregressive conditional duration model of price change and duration change (STACD-PD), and the information arrival variable is caught by the effective price spread. The result indicates that STACD-PD model can not only capture the dynamics of the trade durations but also can capture the nonlinearity property when considering the past price change and duration effects. The effective spread in the duration model also indicates the existence of the information asymmetry in the Taipei FX market. The length of the trade duration is different between morning and afternoon. However, the effect of the bull market and bear market is not significant.

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