在過去探討機構法人的文獻中，通常指出機構法人在市場中可以表現的比散戶更好。在本篇論文中，嘗試利用向量自我迴歸(VAR)模型，去分析不同的機構法人在市場中的交易行為對市場報酬的影響。採用不同類別的法人在股票、期貨和選擇權的交易日資料，藉以分析出不同法人對市場的影響。實證結果發現在所有法人中，外資對股票和期貨市場具有最強的影響力；然而沒有任何法人的選擇權交易量可以顯著的影響股票與期貨報酬。此外，結果也顯示了股票市場領先期貨和選擇權市場，表示資訊傳遞是先由股票市場 向外傳遞出去。在交易行為方面，則顯示了外資和本國投資法人在期貨市場有較明顯的逆向投資策略。 Previous studies indicate that institutional investors perform better than individual investors. This study uses the VAR model to investigate the relationship between institutional investors' trading volume and market returns of Taiwanese markets during the period from December 14, 2000 to December 14, 2005. The results reveal that foreign investors have the largest impact on stock and future return. However, none of the institutional investors' option trading volume can significantly affect stock and future returns. Besides, the results also reveal that stock market lead future market and spill out information. In the analysis of institutional investors' behavior, foreign institutional investors and domestic institutional investors employ contrarian strategy in futures market.
