本研究使用分量迴歸探討開盤委託張數與當日台灣加權股價指數報酬率之關係。在變數設計方面，我們使用前二十日平均委託賣張張數作為衡量資金水位高低的代理變數，使用當日開盤委託買張數與前二十日平均委託買張張數之差額作為買方企圖心強弱的代理變數，最後使用當日開盤委託買賣張數之差額作為買賣雙方企圖心之差異的代理變數。研究期間由民國九十一年一月二日開始收集至民國九十八年十二月十一日止，合計共取得1975筆日資料。實證結果顯示，此三項變數在一次項會正向顯著影響當日加權股價指數報酬率，在高次項部分至少有一個係數值顯著異於零，代表其存在非線性效果。 This study uses quantile regression to explore the relationship between the first minute order volume and the return of Taiwan stock weighted index. For the variables are chosen, the market capital level, the strength of buyer's ambition and the difference of buyer and seller's intention is proxy by the 20 days moving average of the sell-order volume, the difference of the buy-order volume between Today and the 20 days moving average and order imbalance separately. The sample includes 1975 daily data from January 2 2002 to December 11 2009 in Taiwan stock market. The empirical result shows that the 20 days moving average of the sell-order volume, the difference of the buy-order volume between Today and the 20 days moving average and order imbalance have a positive significant nonlinear effect on the return of Taiwan stock weighted index.
