本文旨在探討台灣指數期貨市場價格變動與交易量的關係，進而設計以交易量做為交易策略的指標。研究期間為2005年1月到2010年12月，以台灣指數期貨市場日內高頻率資料進行實證分析。實證內容包括二部分，首先，應用事件研究法作累積平均異常報酬實證分析。之後，將投資策略設計，分為順勢交易策略及逆勢交易策略兩種。實證結果發現，在不考慮交易成本時，順勢投資策略，一分鐘資料頻率的平均報酬率顯著為正。逆勢投資策略，五分鐘資料頻率的平均報酬率顯著為正。但加入交易成本後，平均報酬率全部為負。This study investigates the relation of price and volume in TAIEX futures market and find the trading strategy based on it. Using the high frequency data of TAIEX futures from January 2005 through December 2010, we first investigate the abnormal returns of TAIEX futures over the period of given events; and then form the momentum and contrarian trading strategies. Our empirical results show the significant profits from momentum strategy constructed with the 1-minute frequency trading data and contrarian strategy constructed with the 5-minutes frequency trading data. However, no significant profit from both strategies after considering the transaction costs.
