本研究應用期貨市場中內部訊息的概念，形成一套可實行的當沖交易策略。而在隱藏性交易假說中指出，內部訊息交易者傾向於在成交量大的時候進行交易，藉此隱藏其持有的內部訊息。本研究將這種現象加以應用，形成一種可實行的交易策略。
　　資料樣本為民國九十一年至民國九十七年六月間台灣金融指數、台灣金融指數期貨與台灣電子指數、台灣電子指數期貨的每五分鐘交易資料。本研究以每日開盤後的前十分鐘價格的變化與變化的幅度作為當日多空判斷的依據，藉此捕捉內部訊息交易者，容易在成交量大的時間裡進行交易的模式。
　　實證結果指出，以隱藏性交易假說為理論基礎的當沖交易策略無論在台灣電　子指數及台灣金融指數等金融商品都能有不錯的績效。另外，敏感性分析結果亦指出此交易策略較適合用在價格波動程度較大的商品上，如台灣電子指數。

　　This study utilizes the information shown in insider trading to develop a profitable trading strategy for day traders. Stealth-trading hypothesis suggests that informed investors prefer trading when the liquidity trading is concentrated. Then it applies the phenomenon to build a feasible trading strategy. Specifically, this paper uses six and a half years high frequency data of Electronic Sector Index futures and Financial Sector index futures, which are written on TAIEX Electronic Sector Index and TAIEX Financial Sector index as a sample to construct a day-trading strategy for capturing the behavior of informed trading.
We use the first and second five-minute trading data for observing the change of spot prices and making the long or short decision in the futures market. We find that no matter which index we trade, we can make profit. Besides, using the sensitive analysis, we find that our trading strategy is more suitable for the futures market which has more volatility.

國內文獻
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黃文彥(2003)，「股價指數期貨市場日內交易型態與變更交易撮合制度對日內交易型態影響之研究」，淡江大學財務金融學系未出版碩士論文。
楊家維(2000)，技術分析用於當沖之有效性研究------台灣股市之實證分析，國立台北大學經濟學研究所碩士論文。
賴慧君(2002)，當日沖銷交易獲利影響因素之研究，國立政治大學企業管理研究所碩士論文。

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