本研究應用期貨市場中內部訊息與委託單不均衡的概念，形成一套可實行的當沖交易策略。隱藏性交易假說指出，內部訊息交易者傾向於選擇成交量大的時間進行交易，藉此隱藏其持有的內部資訊，而機構投資人相較於一般投資人來說，擁有較多的訊息。由於委託單不均衡與價格波動具有顯著的相關，本研究利用委託單不均衡的概念，設計一套可捕捉內部訊息交易行為的當沖交易策略。資料樣本為2001年一月至2007年十二月間台灣加權股價指數以及指數期貨的每五分鐘交易資料。從敏感性分析結果顯示，利用委託單不均衡來捕捉內部訊息交易行為的當沖交易策略可達到顯著的獲利。此一實證結果與效率市場假說和一般華爾街概念相左，顯示即使考慮交易成本，市場上仍存在著一些可獲利的當沖交易策略。

This study utilizes the information shown in insider trading and order imbalance to develop a profitable trading strategy for day traders. Stealth-trading hypothesis suggests that informed investors prefer trading when the liquidity trading is concentrated and that institutional investors are more informed than individual investors. Specifically, this strategy is designed to follow the trading behavior of informed investors implicitly shown in order imbalance, which is proved to be significantly related to price volatility. Then, the strategy is tested by using the data set from Taiwan Index Stock Futures (TX) during the sample period from Jan. 2001 to Dec. 2007. The empirical results in sensitivity analysis demonstrate that by capturing the implied information in insiders’ trading and order imbalance, this strategy is robustly profit. Against market’s efficiency and Wall Street wisdom, our back testing results confirm that there exists some profitable day-traded strategies even though the transaction cost is considered.

Abhyanker, A., D. Ghosh, E. Levin and R.J. Limmack. 1997. Bid-ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange. Journal of Business Finance and Accounting, Vol. 24, 343-62
Admati, A. and P. Pfleiderer. 1988. A Theory of Intraday Patterns: Volume and Price Variability. Review of Financial Studies Vol. 1, 3-40.
Barber, B. M., Y.-T. Lee, Y.-J. Liu, and T. Odean. 2004. Do Individual Day Traders Make Money? Evidence from Taiwan. University of California, Berkeley, working paper.
Barclay, M.J., C.G.. Dunbar, and J.B. Warner. 1993. Stealth and Volatility: Which Trades Move Prices? Journal of Financial Economics, Vol.34, 281-306.
Blume, M.E., A.C. MacKinlay, and B. Terker. 1989. Order Imbalances and Stock Price Movements on October 19 and 20, 1987. Journal of Finance, 44(4), 827–848.
Brown, P., D. Walsh, and A. Yuen. 1997. The Interaction between Order Imbalance and Stock Price. Pacific-Basin Finance Journal, Vol. 5, 539–557.
Shenoy, C. and Y. J. Zhang. 2007. Order Imbalance and Stock Returns: Evidence from China, Quarterly Review of Economics and Finance, Vol. 47, 637–650.
Chakravarty, S. 2001. Stealth-trading: Which Traders’ Trades Move Stock Prices. Journal of Financial Economics, Vol.61, 287-307.
Chan, K., and W. M. Fong. 2000. Trade Size, Order Imbalance, and The Volatility–Volume Relation. Journal of Financial Economics, 57, 247–273.
Chen, C. H. 2005. Stock Index Volatility, Numbers of Transaction, and Bid-Ask Volume: Evidence from Taiwan Stock Exchange. Department of Banking and Finance, Chaoyang University of Technology
Chen, M. S. 1992. Transaction Data Study of Intradaily Patterns in Taiwan Stock Market. Department of Finance and Banking, National Chung Cheng University
Chordia, T., R. Roll, and A. Subrahmanyam. 2002. Order Imbalance, Liquidity, and Market Returns. Journal of Financial Economics, 65, 111-130.
Chordia, T., and A. Subrahmanyam. 2004. Order Imbalance and Individual Stock Returns: Theory and Evidence. Journal of Financial Economics, 72, 485–518.
Easley, D. and M. O’Hara. 1992. Time and Process of Security Price Adjustment. Journal of Finance, Vol.47, 577-605.
Easley, D., N. M. Kiefer, M. O'Hara, and J. Paperman. 1996. Liquidity, Information, and Infrequently Traded Stocks. Journal of Finance, Vol.51, 1405-1436.
Glosten, L. and L. Harris. 1988. Estimating the Components of the Bid/Ask Spread, Journal of Financial Economics, Vol. 21, 123-142.
Harris, J. H., and P. H. Schultz. 1998. The Trading Profits of SOES Bandits. Journal of Financial Economics, 50, 39-62.
Harris, L. 1986. A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns. Journal of Financial Economics, Vol.16, 99-117.
Ho, C. Y. 2006. The Relation between orders and index return rate. Institute of International Economics, National Chung Cheng University.
Huang, R. D., and H. R. Stoll. 1997. The Components of the Bid/Ask-Spread: A General Approach. Review of Financial Studies, Vol. 10, 995-1034.
Jordan, D. J., and J. D. Diltz. 2003. The Profitability of Day Traders. Financial Analysts Journal, 59, 85-94.
Juan, H. T. 2002. The Dynamic Study of Opening Period Information to Daily Close Price─An Application of Decision Tree. Department of Business Administration, National Taipei University
Kyle, A. S. 1985. Continuous Auctions and Insider Trading, Econometrica, Vol. 53, 1315-1335.
Lee, Y. T., Y. J. Liu, R. Roll, and A. Subrahmanyam. 2004. Order Imbalances And Market Efficiency: Evidence from The Taiwan Stock Exchange. Journal of Financial and Quantitative Analysis, 39, 327–341.
Lei, H.J. 2002. What Influence the Profitability of Day Trade? Department of Business Administration, National Chengchi University
Lu, D. J. 2006. What Kinds of Trades Move Stock Prices? Institute of Finance and Banking, National Cheng Kung University.
Madhavan, A., M. Richardson, and M. Roomans.1997. Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks. Review of Financial Studies, Vol. 10, 1035-1064.
Shang, D. 2000. The Relationship between Orders Size, Orders Arrival Frequency and Market Return Rate. Department of Business Administration, National Taipei University.
Werner, I. M., and A W. Kleidon. 1996. U.K. and U.S. Trading of British Cross-Listed stocks: An intraday analysis of market integration, Review of Financial Studies, Vol. 9, NO. 2, 619-664.
Wood, R. A. and T. H. Mcinish.1990. An Analysis of Transaction Data for the Toronto Stock Exchange: Return Patterns and End-of the Day Effect, Journal of Banking and Finance, Vol.14, 441-458.
Wood, R. A., T. H. Mcinish, and J. K. Ord. 1985. An Investigation of Transaction Data for NYSE Stocks, Journal of Finance, Vol. 40, 723-739.
Wu, R. S. 2001. A Transaction Data Study of Intradaily Patterns in Stock Returns in Taiwan Stock Market. Department of Business Administration, National Taipei University.
Yan, J. W. 2002. An Empirical Study of the Technical Analysis in Taiwan Stock Market. Department of Economics, National Taipei University.
Yu, M. F.1999. The Intraday Patterns of Taiwan Stock Index and Index Futures. Department of Finance, National Sun Yat-sen University.