本研究主要探討台灣證券市場，委託單不均衡日內型態以及市場深度與買
賣價差與委託單不平衡之間動態關係。由過去學者的研究可發現，在市場深度
與價差間呈現負相關具有一致看法，而價差與委託單不均衡間關係並沒有一致
結果，且甚少有學者探討市場深度、價差與委託單不均衡間關係。故本文以台
灣股票市場上市公司為研究對象，以日內資料探討市場深度、買賣價差與委託
單不均衡三者間之關係。研究結果發現：委託單不均衡日內型態均呈U 型結果，
推測可能是因資訊不對稱及市場關門理論所致。從市場深度與買賣價差及委託
單不均衡間，其相關係數及一般動差法之估計結果均發現，買賣價差擴大將降
低市場深度，即買賣價差對市場深度具有反向衝擊影響；而委託單不均衡程度
愈高將會顯著擴大買賣價差，顯示委託單不均衡與買賣價差呈現正向關係；最
後發現委託單不均衡程度愈高會顯著降低市場深度，即委託單不均衡與市場深
度具有反向關係。

Many researches have documented that the relationship between market depth
and bid-ask spread is positive. However, the relationship between bid-ask spread and order imbalance is ambiguous. Therefore, this study deeply examines the pattern on intraday order imbalance and the relationship among order imbalance, market depth and bid-ask spread. The empirical results exhibit that an U-shaped intraday pattern of order imbalance and a larger order imbalance is associated with a wider bid-ask spread. The results also indicate that a larger bid-ask spread is associated with a smaller market depth and a larger order imbalance is associated
with a smaller market depth.