根據過去實證研究發現金融市場中常見價格群聚的現象，例如Ball et al. (1985)在倫敦黃金市場發現此現象；Harris (1991)在NYSE的實證結果顯示成交價與經紀人報價會集中在某些特定數目的價位上；Aitken et al. (1996)、Hameed and Terry (1998)分別在澳洲股票交易所(ASX)與新加坡證券交易所(SES)得到實證。本研究除了驗證台灣加權股價指數期貨是否存在價格群聚現象外，亦延伸Buler and Loomes(1988)所發現散戶較機構投資者有以整數報價的偏好，將交易者群組分為期貨自營商、本國法人、外國法人及散戶四類，觀察各類型交易者群組的價格群聚程度是否有差異，並從中探討價格群聚於特定數值是否對績效有所影響。
實證結果顯示，台指期貨無論何種類型的交易者，確實有交易者下單偏好集中於尾數0和5的現象，支持Goodhart & Curcio(1991)的偏好假說；而在比較散戶與其他專業機構投資人方面，呼應Buler and Loomes(1988)的結論；在探討買賣方績效部分，實證結果顯示，交易者群組中以散戶報酬最高、外國法人居次、再者為本國法人、期貨自營商則為報酬最低者，此結論與Barber, Lee, Liu and Odean (2008)不同；在下單尾數中以下單於尾數其他者報酬最高、下單於尾數5者居次、再者為下單於尾數0者、下市價單者則為報酬最低者；最後探討尾數、交易者群組分別與下單類型進行ANOVA分析，結果發現，下限價消極單者報酬最高、下限價積極單者居次、下市價積極單者報酬最低。

According to the past researches, such as in Ball et al. (1985) for gold market; Harris for NYSE；Aitken et al. (1996) in ASX, and Hameed and Terry (1998) in SES. In addtion to examine whether the price clustering exists in Taiwan Index Futures of Taiwan Futures Exchange, we also extend the result of Bulet and Loomes(1988) to classfy traders into four groups, that is futures proprietary firms, domestic institutional traders, foreign institutional traders, and individuals. Moreover, we examine how different in their price clustering level and how the price clustering level affect their trading performance.
We finally found all kinds of traders tend to submit limit orders in specific numbers like 0 and 5, which is consistent with Goodhart & Curcio(1991).Furthemore, the extent of price clustering in individuals is greater than institutional traders and futures proprietary firms, which is consistent with Buler and Loomes(1988). The empirical results provide evidence that individuals outperform institutional traders and futures proprietary firms. In addition, traders who prefer to use other numbers apart from 0 and 5 as their limit order price earn higher profits than traders who use 0 and 5 as their limit order price and market orders. Moreover, passive limit orders outperform aggressive limit orders and market orders.

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