本研究探討不同委託簿價格隱含的資訊差異對價格發現之影響，並將投資人分為三類 (外資、造市商及散戶)，探討不同投資人的交易量對價格發現之影響。此外本研究利用方差互換進行價格跳躍檢驗，研究台指期貨在非價格跳躍期間與價格跳躍期間對價格發現之影響，樣本區間為2011年6月1日至2012年11月30日台灣加權指數與台指期貨之日內每秒高頻資料。一般情況下在非價格跳躍期間成交價與最佳一檔價格隱含的資訊較多，所衡量出的價格發現能力較高，造市商作為市場中流動性的提供者，而流動性的提高在市場中會提高價格發現的能力，因此造市商的交易量對於價格發現能力有較高的正向影響。然而由本研究發現，當資訊到達市場引發交易，市場因接收到資訊而有價格跳躍的產生時，委託簿價外隱含的資訊對價格發現的能力反而是最高的，外資在市場中相較其他投資人能獲得更多資訊，因此外資的交易量對於價格發現能力有較高的正向影響，下單積極度也會變為更有耐心，所以非最佳一檔委託簿中在特定時點下(例如：價格跳躍發生時)還是藏有市場中與價格相關的資訊。

This paper examines the impact of the difference in information implied by different commission book prices on price discovery, and divides investors into three categories (foreign investors, market makers, and retail investors) to investigate the impact of different investors' trading volume on price discovery. In addition, this paper uses variance swaps to examine the impact of price jumps on price discovery between non-price jumps and price jumps in Taiwan index futures, and the sample period is from June 1, 2011 to November 30, 2012, with intra-day high frequency data of Taiwan index futures and Taiwan weighted index. In general, the price of a transaction and the best price in the order book during the non-price jumping period implies more information, and the measured price discovery ability is higher. Market makers are providers of liquidity in the market, and increased liquidity increases price discovery in the market, so market makers' trading volume has a high positive impact on price discovery ability. However, this paper found that when information arrives in the market to trigger trading and the market has price jumps due to the information received, the ability of price discovery is the highest when the information is hidden outside the order book. Foreign investors can get more information in the market compared to other investors, so foreign investors' trading volume has a higher positive impact on price discovery ability, and the order aggressiveness becomes more patient. Therefore, the non-optimal order book still contains price-related information in the market at specific points in time (e.g., when price jumps occur).

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