本研究以Barclay and Warner (1993)所提出隱藏性交易假說（stealth trading hypothesis）為出發點，探討如何將--內部訊息交易者傾向於選擇成交量大的時間進行交易，藉此其隱藏持有的內部資訊--這種現象加以應用，並形成一種可實行的交易策略。故本研究以民國九十年至民國九十五年間台灣加權股價指數以及指數期貨的每五分鐘交易資料為樣本，設計了一套能夠捕捉內部訊息交易行為的當沖交易策略。
由於台灣股市09：05分以及09：10分的平均成交量顯著大於前半天(09：00至11：15)其他時間的平均成交量，所以本研究以每日開盤後兩筆五分鐘的價格變化作為當日多空判斷的依據，藉此捕捉內部訊息交易者較易在成交量大的時間進行交易的模式。並且搭配停損機制，即使出現內部訊息交易失靈的狀況，亦不至於出現太大的虧損。
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加權指數、電子指數、金融指數等金融商品都能有不錯的績效，甚至應用於美國股市的NASDAQ100指數也能有顯著的效果，代表此套交易策略具有相當程度的一般性。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，如電子指數或是NASDAQ100指數。

This paper starts with the concept of stealth trading hypothesis showed by Barclay and Warner (1993), and discusses the phenomenon of informed traders tending to trade when the market is thick. Then it applies the phenomenon to build a feasible trading strategy. Specifically, this paper uses six years and high frequency data of TAIEX and TAIFEX 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 price and making the long or short decision in the futures market. Then we add the system a stop-loss to avoid the large loss even if the stealth trading is useless.
We find that no matter which index, even the NASDAQ100 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.

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