本文檢視雜訊交易對市場績效的影響，探討雜訊交易、價格波動與流動性三者之間的Granger因果關係，並利用証交所取消兩檔限制與尾盤集合競價之改革措施，分析在不同的市場結構下之雜訊交易、市場績效及雜訊交易對市場績效的衝擊之變動情形。由檢視這些結果，我們提供了台灣股市特殊的市場結構下之雜訊交易與市場績效等議題的實証証據。
本文的主要發現如下：（1）交易量、價格波動、有效價差及雜訊交易呈現日內U型態，且此U型態可能係由雜訊交易所引起。這樣結果的經濟意義為，雜訊交易經由交易而非藉由造市者縮小買賣價差以提供市場的流動性，另一方面雜訊交易增加股市的總風險及交易成本，降低了市場效率。（2）雜訊交易、流動性與波動性三者間的確存在Granger因果關係存在。（3）取消兩檔限制降低股票價格波動，卻增加執行成本、資訊不對稱與雜訊交易。資訊不對稱增加的可能原因為，取消兩檔限制後資訊交易者較難隱藏其私有資訊，而不得不積極進場交易，以利用其稍縱即逝的私有資訊牟利。（4）取消兩檔限制事件前後雜訊交易對價格波動、執行成本的影響方向皆為正且顯著，然而事件後雜訊交易對執行成本的影響更為顯著。（5）尾盤集合競價未顯著改善收盤人為做價的現象，該措施亦未促使人為做價提前至收盤前5分鐘進行。可能的原因為，即使在新制度下，只要於收盤前5分鐘下大量的委託單，即可達到人為做價的目的，這樣的行為對法人或大額交易者而言皆可輕易完成。（6）尾盤集合競價未提昇價格效率，我們猜測可能的原因為，不論事件前後收盤前皆有漫長的交易時間，大部分的資訊已反應完畢，即使尾盤變更交易方法，對價格效率的影響亦極為有限。
本文結果的經濟意涵為，沒有造市者下的雜訊交易（如台灣証券交易所）與有造市者下的雜訊交易存在明顯的差異，當觀察雜訊對市場績效的影響時，市場微結構是一個重要的影響因素。然而每一種市場結構皆有其優缺點，市場結構的選擇須視整體市場績效的目標、可能代表一般投資人的雜訊交易對這些市場績效之影響方向、及每日收盤前之集合競價乙次之時間長度而定。

Admati, Anat R., and Paul Pfleiderer, 1988, A theory of intraday Patterns: Volume and price variability. Review of Financial Studies 1, 3~40. .
Ahn, Hee-Joon, Jun Cai, Yasushi Hamao, and Richard Y. K. Ho, 2002, The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange. Journal of Empirical Finance 9, 399-430.
Amihud, Yakov, and Haim Mendelson, 1987, Trading mechanisms and stock returns: an empirical investigation. Journal of Finance 42, 533～555.
Amihud, Yakov, and Haim Mendelson, 1991a, Liquidity，maturity and the yields on U.S. government securities. Journal of Finance 46, 1411~1426.
Amihud, Yakov, Haim Mendelson, and Beni Lauterbach,1997, Market microstructure and securities values: evidence from the Tel Aviv Stock Exchange. Journal of Financial Economics 45, 365~390.
Berkman, Henk, and Venkat R., Eleswarapu,1998, Short term traders and liquidity: a test using Bombay stock exchange data. Journal of Financial Economics 47, 339~355.
Black, Fisher, 1986, Noise. Journal of Finance 41, 529~544.
Brockman, Paul, and Dennis Y. Chung, 2000, Informed and uniformed trading in an electronic, order driven environment. The Financial Review 35, 125~46.
Brown, Gregory W., 1999, Volatility, sentiment, and noise trading. Financial Analysis Journal 55, 82-90.
De Long, J. Bradford, Andrei Sheiler, Lawrence H. Summers, and Robert J. Waldman, 1989, The size and incidence of the losses from noise trading. Journal of Finance 44, 681~96.
De Long, J. Bradford, Andrei Sheiler, Lawrence H. Summers, and Robert J. Waldman,1990, Noise trader risk in financial markets. Journal of Political Economy 98, 703~738.
De Long, J. Bradford, Andrei Sheiler, Lawrence H. Summers, and Robert J. Waldman,1991, The survival of noise traders in financial markets. Journal of Business 64, 1~19.
Ederington Louis H., and Jae Ha Lee, 1993, How markets process information: New releases and volatility. Journal of Finance 48, p1161-1191
Glosten, Lawrence R., and Paul R., Milgrom, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 14, 71~100.
Goodhart, Chares, and Maureen O’Hara, 1997, High frequency data in financial markets: issue and application. Journal of Empirical Finance 4, 73-114.
Greene James T., and Scott Smart, 1999, Liquidity Provision and noise trading: evidence from the Investment Dart board “column. Journal of Finance 54, 1885~ 1899.
Huang, Roger D., and Hans R. Stoll, 1996, Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics 41, 313~357
Jones,Chares M., Gautam Kaul, and Marc L. Lipson, 1994, Information, trading, and volatility, Journal of Financial Economics 36, p127-154
Kelly, Mary, 1997, Do noise trading influence stock price? Journal of Money, credit, and Banking 29, 351-363.
Koski, Jennifer Lynch, Edward M. Rice, and Ali Tarhouni, 2004, Noise trading and Volatility: evidence from day trading and message boards. Working Paper.
Kyle, Albert S., 1985, Conitinuous auctions and insider trading. Econometrica 53, 1315~1336.
Liang, Bing, 1999, price pressure: evidence form the “Dartbord” column. Journal of Business 72, 119~134.
Lehmann, Bruce. N., and David M. Modest, 1994, Trading and liquidity on the Tokyo Stock Exchange: a bird’s eye view. Journal of Finance 49, 951-984.
Stiglitz, Joseph E., 1989, Using tax policy to curb speculative short term trading. Journal of Financial Services Research 3, 101~115.
Subrahmanyam, Avanidhar, 1995, Transaction taxes and financial market equilibrium. working Paper. Anderson graduate school of management, UCLA.
Summers, Lawrence. H., and V. P. Summers, 1989, When financial markets work too well: a cautious case for a securities transaction tax. Journal of Financial Services Research 3, 261-286.
Wang, F. Albert, 1998, Strategic trading, asymmetric information and heterogeneous prior beliefs. Journal of Financial Markets 1, 321-352.