本研究討論台灣期貨交易所實施夜間盤後交易制度後對市場效率性的影響，以及交易活動(交易量或未平倉合約)和價格波動度的關係。本研究參考Fung, Mai, and Zhao (2016)，Boonvorachote and Lakmas (2016) 以及GARCH (1,1) 模型探討交易量、未平倉量與期貨報酬率波動之關係。本研究的實證結果和文獻中的發現一致：交易量和價格波動度是正向顯著，而未平倉合約和價格波動度不顯著或負向顯著；前者為資訊效率與價格發現功能，後者為市場深度與波動度的關係。此外，本研究未找到期交所實施夜間盤後交易制度後市場效率性有更佳的表現，原因可能為使用的夜間盤後交易資料期間仍不長(2017/5-2018/2)、或是目前主要的市場參與者仍習慣日間交易的緣故。

The paper studies the impact of nighttime trading in Taiwan futures market and investigates the interactions between trading activities (trading volume or open interest) and volatility. We collect from May 2016 to Feb. 2018 ‘s Taiwan index futures as our sample. By using Fung, Mai, and Zhao (2016), Boonvorachote and Lakmas (2016) and GARCH model to examine the relationship between return volatility, volume, and open interest. The empirical results are consistent with the literature: trading volume is positively correlated with volatility; open interest is either insignificantly correlated or negatively correlated with volatility. Besides, there is no further evidence indicating that nighttime trading in Taiwan futures market improves the efficiency of futures markets, which may result from the limitation of data horizons, or most market participants being involved in daytime trading of Taiwan futures market.

壹、研究背景與動機 1
貳、制度介紹與文獻探討回顧 3
一、盤後交易制度介紹 3
二、交易量與波動性相關文獻 5
三、未平倉量與波動性相關文獻 6
參、研究方法 7
一、資料來源 7
二、變數操作定義與衡量方法 7
肆、實證結果與分析 11
一、敘述統計表 11
二、迴歸分析 11
三、預期與非預期迴歸分析 12
伍、穩健性測試 15
陸、結論 17
參考文獻 19

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