為了探討臺灣期貨交易者之獲利及交易量與期貨市場之報酬及波動性關聯，本研究分別藉由不同交易族群之獲利來解讀是否對於期貨市場的報酬具有預測能力，以及藉由不同交易族群之交易量來判斷是否顯著影響期貨市場之波動性。此研究資料由臺灣期貨交易所提供，使用2006年至2007年日交易者之日資料，透過散戶以及外資兩種不同類型投資人，分別探討此研究結果；除此之外，此研究進一步將交易者區分為男性散戶與女性散戶，以及專業散戶與非專業散戶，再深入探討不同族群的散戶之預測能力與影響期貨市場波動性之程度。
研究結果顯示散戶預測能力較外資弱勢，原因或許與散戶缺乏資訊優勢以及好的擇時能力有關；而男性與女性之結果亦是對大盤指數期貨預測能力較差；然而，專業的散戶對於大盤指數期貨報酬有顯著的預測能力，而非專業散戶卻是沒有專業的報酬預測能力，由於非專業散戶無法準確預測大盤指數期貨價格，因此持有部位型態與市場價格變動方向相反。
而影響市場波動性方面，結果顯示無論散戶或是外資的交易均會造成市場波動，然而由於外資的持有部位平均來說比散戶多，因此在當日結清時會造成市場較大之波動。結果亦顯示，在2006年景氣不斷下滑的年度，非專業投資人較不敢投入市場，因此交易量少的情況下較不易引起市場波動；整體來說，專業與非專業之散戶均會造成市場波動。

In this thesis, we only consider day traders, and use a unique dataset from TAIFEX to examine how well individuals and foreign institutions predict index futures returns and which type of investors cause more dramatic volatility of the index futures market in the period from 2006 to 2007. In addition, the thesis also analyze the differences between male and female, and further analyze sophisticated and less sophisticated individuals based on the disposition effect.
The results show that the predictive power of foreign institutions is better than that of individuals due to informational advantages or good timing ability. In addition, male and female groups do not have predictive power for the index futures return. Furthermore, we find that professional investors can predict current and the subsequent futures prices, and they will possess a short position to gain profits when they become aware that the index futures price will go down.
From the perspective of volatility, this thesis indicates that regardless of which type of investors’ trade in the futures market, their trades will generate significant volatility on the index futures market. However, owing to holding large positions within one day, foreign institutions’ trades may result in the futures market becoming more volatile when they close out their positions in one day.

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