本研究主要是利用Bessembinder and Seguin（1993）所提出的研究模型，來探討不同類型的交易者對於台灣股市交易量與波動性關係的影響，並利用ARIMA（0,1,6）模型將交易量區分為預期交易量與非預期交易量，以釐清影響股市波動性的真正因素。
由於台灣股票市場在2001年取消外資投資限額的規定，為了比較外資限額開放前後不同交易者對於波動性的影響大小，實證期間分為兩個部分：1997年1月4日至1999年12月28日及2001年1月2日至2003年3月14日。
在外資開放投資限額之前的迴歸結果顯示自營商的非預期交易量、外資的預期交易量，及一般大眾的預期交易量和非預期交易量與波動性有顯著的正向關係。但是，在外資投資限制取消之後，只有外資的非預期波動性和一般大眾的預期交易量與波動性為顯著的正向關係。
研究結果顯示出一般大眾應屬於非訊息交易者（uninformed traders），由於資訊取得不易，對於經由資訊揭露所形成的真實價格缺乏共識，使得信念分散幅度擴大，影響波動性程度較大。反之，三大法人自營商外資投信為訊息交易者（informed traders），藉由專業的技術分析，掌握市場上的資訊，因此對於波動性的影響相較於一般大眾而言不顯著。
另外，在外資開放之後，三大法人中只有外資的交易量對於波動性有顯著的影響，顯示外資對於台灣股市的影響力已隨著限額規定的取消而日趨增加。

This study used the model developed by Bessembinder and Sequin（1993）to test the volume-volatility relation in the Taiwan stock market using volume data categorized by types of trader. This research partitioned each trading activity volume series into expected and unexpected components.
The sample period extends from 2 January 1998 to 14 March 2003. The government relaxed the restrictions on foreign investors in 2001. Therefore, the sample is divided into different periods to compare the difference between two periods. One is from 2 January 1998 to 12 December 2000, and the other is from 2 January 2001 to 14 March 2003.
Results for the period prior to January 2001, when the regulation did not cancel confirm the findings by Bessembinder and Sequin（1993）. A significantly positive relation is found between the general public volume and volatility. The unexpected security dealer volume and the expected foreign investor volume are positive and significant. While in the period from 2 January 2001 to 14 March 2003, the unexpected foreign investor volume and the expected general public volume are positive and significant.
These findings suggest that the general public are uninformed traders and institution investors are informed traders. In addition, the impact of foreign investors is larger than security dealer and mutual funds.

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