從過去的研究當中我們可以發現，金融市場存在著價格群聚和交易量群聚的現象，因為當人類處在一個不確定的狀態下，又被迫需要快速作出決定時，常常需要靠直覺來反應，而人類對於數字的認知能力差異會影響其作出的直覺反應。舉例來說，許多交易者看到螢幕上期貨的價格和交易量一直跳動，便容易在緊張且不理性的情況下去選擇整數點位，例如0和5結尾的數字下單。
本文主要針對交易量和交易價格群聚的現象做研究，實證結果發現台指期的交易價格尾數有群聚於0、5的現象，交易量也常群聚於5的倍數，其中交易量群聚於10的現象又比群聚於5的現象來得明顯。我們接著將交易者群組分為期貨自營商、機構投資人和散戶等三個群組，觀察這三者的交易量群聚程度是否存在差異，結果發現散戶比期貨自營商更容易出現交易量群聚的現象。
由前述之結論可以發現台指期的交易量和價格尾數皆具有群聚效應，因此我們進一步探討兩者之間是否有相關性，我們從台指期樣本期間內的卡方獨立性檢定結果發現，交易量群聚現象和價格群聚現象兩者並非相互獨立。除此之外，本文研究亦發現在比例差異的部分，「倍數量交易中屬倍數價交易的比例」較「非倍數量交易中屬倍數價交易的比例」多1.97%，顯示台指期交易量群聚效應和價格尾數群聚效應存在正向關係。

According to the past researches, we found that the phenomenon of price clustering and the trade-size clustering exist in the financial market. People usually react intuitionally when they are required to make decisions immediately or under an uncertain circumstance. In addition, the differences of people’s cognitive ability toward numbers will affect their intuitive reactions? For instance, many trader will select the integer numbers such as 0 or 5 in an irrational condition when they find the price and trading volume of futures change continuously.
We mainly focus on the phenomenon of trade-size clustering and price clustering in this article. The result indicated that trade-size and trade-price clustered in 0 and 5 on TAIFEX. Furthermore, trade-size clustered in multiples of 10 is more significant than in multiples of 5. Then we divided traders into three groups, including dealers, institutional investors, and individual investors. What’s more, we observe that if there is any difference in these three groups of their trade-size clustering level and the result showed that individual investors have higher level of trade-size clustering than dealers.
In terms of the previous conclusion, it implied that both of the trade sizes and pricing tails have clustering effect on TAIFEX. Therefore, we further explore whether there is a correlation between both of them. Then we obtain the results that both of the price clustering and the trade-size clustering are not independent each other by chi-square test.Besides, this article also indicated that the price clustering and the trade-size clustering have positive correlaion by proportion difference test.

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