本文分析並檢視台灣證券交易所的兩種交易機制：1) 集合競價一於開盤前，投資人之委託集中至交易所，然後由電腦自動撮合成交，以決定開盤價格；2) 連續競價一於盤中，投資人視揭示價格而決定其委託，成交價格侷限於揭示價格範圍內。由於在台灣證券交易所的連續競價機制下，所有委託均係在特定時點，以成批、同時之方式撮合，而且成交價格係揭示價格範圍內能產生最大成交量之價格，故此連續競價機制在本質上亦屬於定期競價 (Periodic Auction) 系統。 本文首先將交易建構為靜態貝氏賽局 (Static Bayesian Game) 模式，其中投資人之信念與委託之交易量係內生地決定，且投資人將策略性地採取行動。其次，本文亦將分別就此二交易機制之特性，建立足以適當描述價格變動之隨機過程。本文之結果顯示，在二交易機制下，價格變動性均將隨參與競價之人數的增加而減少，而且均衡價格皆反映出市場具半強式效率。但是，股票報酬之期望值將取決於各別機制所引致之價格跳動幅度。再者，連續競價下之報酬變異數通常大於集合競價下之報酬變異數。

This study analyzes and examines two alternative trading mechanisms in Taiwan Stock Exchange: I) Periodic Auction - Prior to market opening, the traders’ orders are accumulated in the exchange, and then are executed automatically by computer, hence the transaction price will be discovered; II) Continuous Auction - During the trading day, the traders specify the mumber of shares to be traded, depending on the displayed bid and ask prices, and the transaction price will be restrained between them. The continuous auction mechanism of Taiwan Stock Exchange can be considered as a periodic auction system in nature, since under which all orders in a trading will be accumulated and then be executed at a specific time, and the transaction price will be the one discovered between the displayed bid and ask prices and will result in maximum trading volume. Firstly, this study models the trading as a static Bayesian game, where the number of shares traded and beliefs are determined endogenously, and the traders act strategically. Then, this study models the price changes as a stochastic process, based on the characteristics of the trading mechanisms, to describe the price behavior adequately. The results show that the price variability in both of the trading mechanisms will decrease with the number of traders submitting the orders, and that the equilibrium prices exhibit that the market is of semistrong form efficiency. But, the expected rate of return of stock will depend on the jump size of stock price incurred in the two trading mechanisms, respectively. Furthermore, the variance of rate of return of stock in continuous auction will generally be larger than that in periodic auction.