本文為關於台灣期貨市場交易行為、市場情緒、報酬與波動的研究。首先將投資人區分為國外機構投資人、國內機構投資人與個別投資人三類來進行研究探討。以台灣期貨交易所(TAIFEX)之台指期貨2007年至2009年每日成交資料為研究樣本資料。實證結果指出國外機構投資人從事反向動能交易策略，亦即其為負向回饋交易者。而國內機構投資人及個別投資人傾向採取動能交易策略，亦顯示其為正向回饋交易者。且個別投資人為國外機構投資人提供流動性。
另一方面，在市場情緒較恐慌時，個別投資人積極採取動能交易而國內機構投資人及國外機構投資人傾向實行反向動能交易行為。這意味著投資人之交易行為會受市場情緒所影響。
投資人採取動能交易行為容易引發市場震盪，且無法獲得顯著正報酬。反之，投資人採取反向動能交易行為，則有助於期貨市場整體之穩定性並獲得較佳投資績效。
The relationship between trading behavior, market sentiment, return and volatilities of Taiwan futures market is examined in this study. The investors are divided into foreign institutional investors, domestic institutional investors, and individual investors. The data of Taiwan index futures is provided by the Taiwan Futures Exchange (TAIFEX), over the period 2007 to 2009. The empirical results show the foreign institutional investors engage in contrarian trading strategy that is negative feedback trader while domestic institutional investors and individual investors tend to adopt momentum trading strategy that is positive feedback traders. And the existence of individual investors provide liquidity for foreign investors.
On the other hand, the individual investors actively pursue momentum trading while domestic institutional investors and foreign institutional tend to apply contrarian trading behavior over the period of high market sentiment. It implies that the trading behavior of investors is affected by market sentiment.
Investors taking momentum trading strategy can easily lead to increase the market volatility, and destroy market stability. However, investors use contrarian trading strategy that help market with stability. Comparing with momentum trading strategy, contrarian trading strategy has more positive and significant return.
