指導教授：蘇永成臺灣大學：財務金融學研究所林伯翰Lin, Bor-HanBor-HanLin2014-11-272018-07-092014-11-272018-07-092014http://ntur.lib.ntu.edu.tw//handle/246246/262506This paper focuses on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Futures market efficiency after announcement of Quantitative Easing (QE) policy. We introduced order imbalance to our study and applied it to OLS and GARCH (1, 1) model to examine the relation between return and order imbalance. The empirical results show that (1) with unconditional OLS model, lagged order imbalances have no significantly positive predictive power for current return. However, on the trading day after the announcement of QE 1, lagged order imbalance shows predictive power for current return for 1-minute interval, (2) with conditional OLS model, the reversed relation between current return and lagged order imbalance is not universal in QE 1; on the other hand, the reversed relation between current return and lagged order imbalance in QE 2 is more common, (3) with Return-GARCH (1, 1), positive relation between order imbalance and return can be easily observed, and we see no clear change on coefficient after announcement, (4) with Volatility-GARCH (1, 1), significantly positive relation between order imbalance and volatility shows up for 1-minute interval; on the other hand, there is no significant relation between those for 5- and 10-minute interval.ABSTRACT II TABLE OF CONTENT III LIST OF TABLES IV CHAPTER 1 INTRODUCTION 1 1.1 Motives and Purposes 1 1.1.1 Quantitative Easing Policy 3 1.2 Literature Review 5 1.3 Graph of Research Approach 8 CHAPTER 2 DATA AND METHODOLOGY 9 2.1 The Data 9 2.1.1 Data Sources 9 2.1.2 Data Processing Method 10 2.1.3 Descriptive Statistics 10 2.2 Methodology 11 2.2.1 Unconditional Lagged Return-Order Imbalances OLS Model 11 2.2.2 Conditional Contemporaneous Return-Order Imbalances OLS Model 12 2.2.3 Dynamic Return-Order Imbalance GARCH (1, 1) Model 14 2.2.4 Dynamic Volatility-Order Imbalance GARCH (1, 1) Model 15 2.2.5 Liquidity Measurement 16 CHAPTER 3 EMPIRICAL RESULTS 17 3.1 Unconditional Lagged Return-Order Imbalances Relation 17 3.2 Conditional Contemporaneous Return-Order Imbalances Relation 18 3.3 Dynamic Return -Order Imbalance GARCH (1, 1) Relation 19 3.4 Dynamic Volatility -Order Imbalance GARCH (1, 1) Relation 20 3.5 Liquidity Measurement 21 3.6 Trading Strategy 22 CHAPTER 4 CONCLUSION 24 REFERENCES 272826389 bytesapplication/pdf論文使用權限：不同意授權量化寬鬆GARCH市場效率性買賣單不對稱波動率thesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/262506/1/ntu-103-R99723048-1.pdf