本文樣本資料使用台灣上市公司中，市值前五十大之公司作為研究對象，樣本期間從2012年至2016年，台股每個交易日之日內連續競價之交易資料，來探討買賣盤之委託單失衡，是否隱含各產業股價未來趨勢之資訊。實務上，優先得到資訊的投資人，會在大眾得知前慢慢買進股票，因此在股價反應資訊前的一段時間，買盤的筆數或是成交量上有明顯的增加，而本文將這1231個交易日之55,756,039筆資料，以每30分鐘及每日作為區間，探討30分鐘內及日內的委託單失衡，是否可以預測下一期股價的走勢。研究結果發現，以不同的時間長短來劃分，委託單失衡的筆數與成交值對股價報酬率具有不同程度的預測能力，且對於不同產業，敏感度也不同。
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關鍵字:委託單失衡、資訊內涵

Practically,before the public get the information about the company,the informed investors will buy stock slowly to avoid uninformed investors to be aware of. Therefore, the order imbalance of volume and number of trade maybe occur some change before the price reflect the information. To verify the information content of order imbalance in Taiwan capital market, this study examine the top 50 market value of companies. The empirical result finds that the order imbalance of number and dollar have the different predictability of return of stock price in different interval. Also, the order imbalance has different sensitivity in different industry.
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Keywords: Order Imbalance, Information Content

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