摘要：
本研究主要探討的是台灣股票市場在2003年1月2日實施揭露未成交的最高五檔買進和最低五檔賣出的申報價格和張數資訊後的市場深度行為。實證研究結果發現，台灣股票交易市場上大多數的股票在新制度之下存在一個短期價格波動回穩的機制：當短期報酬波動增加，此時下限價委託單的成交機率增加，這樣會使得想利用流動性獲利的投資者以下限價委託單來獲取區間的利益。此時，下限價委託單的比例會比下市價單的比例來的高。而當限價委託單增加後，市場深度會因為限價委託單的增加而增加，導致短期報酬波動率因為市場深度的增加而減少。
本研究亦探討了市場深度日內和一週內的不同實證結果發現在日內的平均市場深度，開盤和收盤時因為資訊的累積和資訊的不確定，所以使得市場的流動性變差，即市場深度像對於盤中而言小很多，這樣的結果使得一日內的平均市場深度曲線呈現倒U字型；而由一週內的平均市場深度來看，星期一開盤時週末累積的資訊無法完全由交易馬上反應出去，故流動性最低;隨著交易活動之熱絡，流動性會隨著資訊的傳播而提高，而到了收盤時，因為面臨了接下來無法交易的時間所累積的資訊，故市場深度會減少，曲線也呈現倒U字型。

Abstract：
This research examines the empirical relationship between market depth and transitory volatility of the Taiwan Stock Exchange using the electronic limit order data. The information of limit order data has been available from Taiwan Stock Market after January 2003.

Empirical results show that the Taiwan Stock Market has a self-adjusting mechanism of the order flow. It indicates that market depth reduces subsequent to an increase transitory volatility. We also find the transitory volatility affects the order flow composition. When there exists an increase transitory volatility, potential sellers (buyers) will submit limit sell (buy) orders instead of market sell (buy) orders. Limit-order is used as a proxy variable of market depth. The increase of the limit order flow will cause the increase of the market depth. Then transitory volatility declines subsequent to an increase in market depth.

The empirical result also shows that the different market depths of intra day and the inter day. The market depth of the Taiwan Stock Market exist a reserved-U shape under the intra day and the inter day. It indicates that the market depths are small on Monday and Friday, and at the time of the trading beginning and ending.

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