本研究應用Barclay & Warner(1993)所提出之方法，並將研究樣本依據交易額、交易者群組、交易時段、買/賣方發動及追價單之種類，予以分類，加以探討在台灣期貨市場上，推動價格波動之交易型態為何。本研究利用自2006年3月27日至2008年7月31日之日內交易資料作公開訊息假說及特定市場力量假說之檢定，結果顯示，一般而言，通常會拒絕公開訊息假說且認為推動價格波動之因素，除了內部訊息外，特定市場力量亦是可能原因。例如:國內法人在市場為漲市的情況下，以小額交易且下市價單平倉的方式，推動價格波動最為顯著。
再者，過去文獻鮮少探討有關跌市及下何種追價單來推動價格波動，因此本研究可讓讀者對推動市場價格之交易型態有更深一層的瞭解。

Applying the method of Barclay and Warner (1993), this study aim to explore what kind of trades moves price changes in Taiwan futures market. The categories of trades include trade sizes, trader groups, trading time intervals, buyer/seller initiated, limit/market orders, and new/covered positions. Using transaction data from March 27, 2006 to July 31, 2008, this study test public information hypothesis and specific market power hypothesis. In general, results show that public information hypothesis is rejected and price changes are due to not only inside information, but also some specific market power. For example, domestic institutional traders seem to excel in moving the up market in the right direction by submitting small-sized settled market orders between the opening and closing period.
Furthermore, little is known about the driving force in the down markets and the impacts of order types on the price changes. This study may have a contribution to our growing understanding of what type of trades move the market.

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