本研究旨在探討台灣期貨市場中類別交易者之交易行為。由於期貨商品在我國屬於新興金融工具，自從1998年推出後，市場中各類交易者在各類股價指數期貨的成交資料從未對外公開，因此，不同交易者其交易行為與獲利表現，外界均不得而知，本研究藉由台灣期貨交易所提供之各類交易者每日買賣超資料，應用Wang (2003) 所發展的檢視避險者與投機者交易行為與擇時能力之迴歸模型，來檢視台灣期貨市場中各類交易者之交易行為。實證結果顯示，在台股期貨中，自然人與期貨自營帳戶為正向回饋交易者(positive feedback trader)，有較差的擇時能力；外資法人與證券自營帳戶為負向回饋交易者(negative feedback trader)，擁有較佳的擇時能力，在操作上有相互跟進的從眾（herding）行為，在台灣期貨市場中，的確扮演市場指標的角色。本文的發現與大部分的文獻一致(如Bange (2000)、Huang (2000)、Odeam（1999）和Lin and Hsu (2002))，但卻與Wang (2003) 在美國15種期貨市場中的發現不同。

This paper empirically examines the behavior and performance of trader groups in the Taiwan stock index futures. Taiwan began its futures trading in 1998. However, due to the unavailability of the transaction data set of futures-trader types to the public, the trader’s behavior and their performance were not known for the academics and market practitioners. Wang (2003) first developed a theoretical model to examine the behavior and performance of speculators and hedgers in U.S. futures markets, showing that hedgers have a destabilizing impact on futures prices .We used the theoretical model to examine the behavior in the Taiwan stock index futures, by using the unique data provided by the Taiwan Futures Exchange (TAIFEX). The empirical results indicate that individual traders and futures firms are positive feedback traders and have worse market- timing ability, on the contrary foreign investors and security firms are negative feedback traders and have better market- timing ability. Our findings are consistent with earlier studies in equity markets, (see Bange (2000), Huang (2000) and Lin and Hsu (2002)), but inconsistent with the work done by Wang (2003) in 15 U.S. futures markets.

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