摘 要
本研究以2004.7.1~2009.12.31期交所公布的大額交易人未平倉部位資料，和證交所公布的三大法人買賣超、委託單資料，透過向量自我迴歸模型(VAR)、Granger因果關係檢定、衝擊反應函數、與變異數分解等方法，檢驗以上追蹤機構投資人動向的變數與加權指數之間的相關性及影響程度。研究結果顯示，大額交易人淨買超部位和三大法人買超金額對加權指數的影響方向未有一致性或持續性，但二者在落後一期都是顯著正向影響指數，因此用這兩項資訊的落後一期，再搭配美國道瓊指數的變動來追蹤加權指數是可行的，並依此設計一些交易策略模擬比較績效，以供一般投資人參考。

ABSTRACT
This paper aims to investigate the information contents for “Structure of open interest of large futures traders” disclosed by Taiwan Futures Exchange, the three institutional investors’ net buy/sell in the Taiwan stock market, and order book from “Operation statistics of computer automated trading system” disclosed by Taiwan Stock Exchange. The daily data is available since Jul 1,2004 till Dec 31,2009. The study employs Vector Autoregression Model (VAR), Granger causality, Impulse responses function, Variances decomposition to analyze the connection and influence between these variances and Taiwan stock index.
The empirical results reveal the net buy/sell position in large futures traders, or the net buy/sell in three institutional investors’ will also not consistently match the return rate of stock index. But we find the two variances (lag 1) will impact on it positively. So this result could be applied on some trade strategies designed easily by small investors to make profit.

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