本研究透過五項流動性指標，探討監視制度對國內股市日內之流動性影響效果。實證結果發現監視制度對於超漲宣告的股票造成「冷卻效應」，即投資人在宣告後會減少交易，使得股票在宣告後的流動性變差。而超跌宣告的股票在宣告後則造成「促進效應」，即投資人在宣告後增加進入市場交易，使得股票在宣告後的流動性效果改善。至於當時期的大盤走勢並不會影響流動性變動的方向，僅影響其變動的幅度；此外開盤時並無顯著的影響效果。 本文進一步探討監視制度的三種處理方式：單一宣告、連續宣告與處置措施對流動性之影響效果，實證結果的差異主要受超漲宣告與超跌宣告的比率影響，其中僅處置措施對於流動性的影響程度較大。此外，「權益市值規模」對 於流動性的影響效果，亦受超漲宣告、超跌宣告的比率影響。其中「權益市值規模大」的股票受注意宣告或處置措施之後，其流動性變動的幅度較大，該結果可藉由“資訊的反應速度”解釋之。

This study examines the effects of surveillance system on market liquidity, evidence from the Taiwan stock exchange for the year of 1998 and 1999. For each stock, we measure five kinds of market liquidity as follows: (1) volume (2) ask-bid spread (3) volume divided by absolute return (4) variance ratio (5) liquidity ratio. The results show that the effects of surveillance system on market liquidity depend on whether the stock price was up or down. ]n the samples, “over appreciate announcement,” reveals a significant cooling off effect, but “over depreciate announcement,” reveals a promote effect. In the course of three methods to investigate surveillance system on liquidity, the main effect depends on whether the ratio was over appreciating announcement or over depreciate announcement. Besides, the stock with large equity value poses large degree of change on liquidity, and also shows that the stock with large equity value responds to information more quickly than small ones. Finally, the relationship between volatility of liquidity and abnormal return shows the same results with theorem expectation, that is, liquidity and abnormal return shows a positive relationship.