本篇論文由台灣證券交易所之上市公司，隨機抽取60檔的股票，欲檢驗出交易者在高流動性和低流動性之不同市場結構中，是否有不同的行為與表現。分析結果顯示出，雖然高交易量之股票傾向有較高之訊息事件發生的機率和資訊交易者之到達率，但也存在高比率之流動性交易者。然而在高交易量股票市場上，資訊交易者與一般流動性交易者之相對比率是最低，所以資訊交易風險則是最小。低交易量股票發生新訊息之機率都較中、高交易量之股票要來得低。Easley, Kiefer, O’Hara, and Paperman（1996）認為，雖然新資訊事件發生之機率在這些低流動性股票是較少，但當新訊息發生時，則對這些低流動性的衝擊影響是相對較大，所以私人資訊對於低流動性之股票是一項相當重要的影響。故低交易量股票（冷門股）以私人資訊為基礎之交易比例會較高交易量股票（熱門股）高。
低活動性之股票是較具風險，因為在任何交易中，有太高之機率是來自資訊交易者，而太少的流動性交易者進此市場交易，故這篇研究也發現，買賣價差中之資訊不對稱效果在冷門股的影響力高於熱門股。而且在高交易量之股票市場中，買賣報價之價差有大部分之比例是符合最小跳動點，然而此買賣價之報價可能並不是股票的真實價格，所以股票買賣價差似乎有被高估的傾向，而在低交易量之股票中，有一半之比例不會為了要符合最小跳動點而擴大其真正的價差，故在低交易量之股票中，其報價之價差較能反映出股票的真正交易成本。

This article investigates whether differences in information-based trading can explain the components of the bid-ask spread. We use the information in traded data to determine how frequently new information occurs. Our most important empirical result is that the probability of information-based trading is lower for high volume stocks.
We also use three-way decomposition of the spread to distinguish the adverse selection, inventory holding and order processing components of the traded spread. The empirical results supports the spread components differ significantly according to trade size and are also sensitive to assumptions about the relation between orders and trades. And the medium size trade may have the large adverse information component because it is not prenegotiated and may therefore reflect the presence of an informed trader on the floor.
This study also shows that illiquidity stocks attract more informed trades than liquid stock does and the adverse selection cost is the most important component of bid-ask spread of illiquid stock.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 文章架構 5
第二章 文獻探討 7
第一節 低流動性股票之資訊交易者的相對比率 7
第二節 缺乏流動性股票之買賣價差 8
第三章 研究方法 17
第一節 以資訊基礎交易之比率 17
第二節 資訊不對稱成本在價差的比率 21
第四章 實證結果與分析 23
第一節 資料之來源與處理 23
第二節 資訊交易之參數估計 25
第三節 分解價差因子 32
第五章 結論與建議 38
圖表目錄 40
參考文獻 58

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