本篇研究利用2004年1月1日到2005年3月25日台灣外匯市場新台幣兌換美元15分鐘為基礎的匯率資料去檢驗日內波動性、交易量與買賣價差的特性。在利用高頻率資料的研究中，有關於市場微結構的文獻指出一些日內的週期性型態是可以否定所謂的市場效率假說，而這樣的結果也被認定是所謂的資訊不對稱、存貨風險及其他原因所造成的。
　　在本篇研究中，首先利用一般動差法的方法去測定這些交易行為的日內型態。而結果發現其中波動性分別在早上與下午呈現L字型與U字型的日內型態、交易量分別在早上與下午呈現Ｍ字型與U字型的日內型態至於買賣價差不論在早上與下午都呈現L字型的日內型態。雖然這樣的結果與之前大部分的研究不盡相同，不過它與市場微結構一些隱含否定市場效率假說的文獻的結果是一致的。再者，本篇研究也去探討是否總體經濟消息的宣告會影響日內的交易行為，而本篇研究的結果呈現出交易行為並不受到總體經濟宣告的影響，這也許是因為總體經濟消息在宣告前就有一連串的預期與反應；另外本篇研究也利用Ｅ.K.O.模型去檢測市場的資訊情況，並且發現總體經濟消息的宣告的確會造成資訊不對稱的上昇。根據這些結果，本篇研究認為總體經濟消息並沒有造成交易行為變動的另一個原因就是在外匯市場中總體經濟消息的宣告並不是造成交易行為變動的主要因素。

This paper characterizes the intraday volatility, volume and bid-ask spread in Taiwan foreign exchange (FX) market based on 15-min sample of NTD/USD exchange rates from January 1, 2004 to March 25, 2005. In the research based on high-frequency data, literature on market microstructure has shown the existence of seasonality contradicted the Efficient Markets Hypothesis and recognized that asymmetric information, inventory carrying risks and other factors may affect these intraday patterns.
In the first, this study uses GMM to test the intraday patterns of trading behavior and the result shows that there are individual L-shaped and U-shaped (or reverse J-shaped) patterns in volatility in the morning and afternoon sessions, M-shaped and U-shaped patterns in volume in the morning and afternoon sessions and double L-shaped patterns in bid-ask spread in the morning and afternoon sessions. Although the result of intraday patterns is a little different to previous research, it is consistent with literature on market microstructure to contradict the Efficient Markets Hypothesis. Secondly, this study also tests if macroeconomic news announcements affect the trading activities. The study presents that trading activities aren’t influenced by macroeconomic news. Maybe macroeconomic news is expected and trading behavior is affected before these news announcements release. In addition, the result from E.K.O. model shows that macroeconomic news announcements indeed make information asymmetry increase. According to these results, this study considers the other reason why the trading behavior can’t be affected by macroeconomic news is because macroeconomic news is not main factor.

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