台灣過去的競價制度與行情揭示受到兩檔限制的規範，導致撮合效率與交易公平性受到質疑，而部分未成交的最佳資訊也可能受到隱藏，導致真實資訊無法及時揭露，誤導投資人錯誤解讀資訊，反而有助長殺跌的疑慮。

近年來全球追求資訊透明化的趨勢使得我國的兩檔限制備受爭議，也引發一股改革的風潮。因此，台灣證券交易所於民國91年7月進行交易制度的調整，取消自民國74年來沿用的兩檔限制，而以瞬間價格穩定機制當作穩定股市的措施，並進一步增加未成交價量資訊的揭示，提升整體市場資訊揭示的質與量。

本文以上述的交易制度調整為研究主題，探討市場在面臨穩定機制改變與市場透明度增加的情況下，其價格行為之變化。藉此評估此次交易制度的施行成效，並分別選取市值最高與最低的30支個股為衡量績效指標值的對象，以瞭解新的交易制度對於所有股票皆有相同影響。

結果發現，就第一階段的取消兩檔、輔以瞬間價格穩定措施與揭露一檔的政策而言，整體樣本的波動性為顯著增加，而高低市值的股票則有截然不同的反應。低市值群組在交易制度調整訊息宣告時享有正的顯著報酬，且在市場績效的驗證上發現Hei & Heubel模型衡量的流動性獲得改善，支持流動性改善有助於提升證券價值的說法，顯示取消兩檔限制輔以瞬間價格穩定措施，並提升市場透明度的作法對低市值群組是較有利的。相對的，高市值群組則發現較不利的證據，衡量宣告日的證券異常報酬為不顯著，流動性與波動性指標則明顯轉差。此外，第二階段的揭露五檔將普遍提升市場整體的效率性，其中以低市值群組最為明顯，此外在波動性與流動性方面，發現高低市值有很明顯的對比與抵換關係，高市值為流動性轉差但價格波動減少，低市值則相反，綜合為整體樣本的變化則不明顯。

推論上述實證結果，可能原因在於高低市值群組本身特性不同，導致相同的交易制度變革有不同的影響。高市值本身屬於企業規模大、股價較高，資訊透明度與交易較熱絡的一個族群，而低市值股票為傳統產業股居多，為股市中較不受投資人關愛、流動性較低，資訊不對稱程度也較高的股票。因而，過去在兩檔限制下，揭示代理價格、隱藏真實資訊，導致投資人錯誤解讀資訊者，應屬低市值股票較為嚴重，預期在取消兩檔限制後，資訊不對稱提升的程度相對來的高。此外，從第二階段揭露五檔的效果看來，高低市值的效率性皆改善，但在流動性與波動性方面卻呈現對比的抵換關係，顯示增加市場透明度對於市場績效無絕對的好壞。

中文部分
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4. 李志宏、李怡宗、周行一、劉玉珍 1999，「台灣證券交易所集合競價下兩檔限制的影響」台灣證券交易所
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