| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === This paper use the method of Cao, Hansch and Wang(2009) for the Taiwan futures market to discuss the information about future price change content of Taiwan Stock Index Option`s limit order book. We construct the original intraday situation of the limit order book for Taiwan Stock Index Option and we get the best five quotes and the open contract information.For the different time interval(5second、15second、30second、60second、120second ),we use limit order book’s information and price change to do regression analysis, investigate the time of market to react limit order book`s information. The evidence shows that the limit order’s information is related to future short-term price changes. And in 5second interval have the best power to predict price change, after interval becomes longer, the information is already responded, and the power to predict price changes will decrease.
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