本研究探討期貨市場台指期貨與小台指期貨之星期、日內與日內星期效應與投資人之關係，將投資人區分為國內、外機構投資人與個別投資人，使用日內資料研究星期效應與不同交易人之關係，加以研究成交量與賣壓對於報酬之影響是否有日內、星期或日內星期效應出現。並且透過本研究瞭解星期效應之產生與不同投資人是否有具有關連性以及成交量與賣壓對於報酬之影響。
本研究顯示報酬與成交量存在星期效應，但不同投資人成交量卻沒星期效應出現，不同投資人賣壓於台指期貨國內、外機構投資人與小台指期貨個別投資人存在星期效應，報酬與成交量皆有日內效應，成交量所有投資人間以及賣壓於台指期貨個別投資人與小台指期貨國內機構投資人與個別投資人存有日內效應。報酬、成交量與賣壓在部分區間內有存在日內星期效應。成交量與賣壓對於報酬影響之實證結果顯示成交量於星期一至星期三有顯著之影響，賣壓則於國內與國外機構投資人星期間存有顯著不同之影響。

The paper conduct the Day-of-the-Week effect, Intraday effect and Intraday-Day-of-the-Week effect on Futures investors of TAIFEX Futures(TXF) and Mini-TAIFEX Futures(MTF) in Taiwan. The data divides into all investors, domestic institutional investors, foreign institution investors and individual investors. This paper conducts an analysis of trading volumes, return, and selling pressures of Day-of-the-Week effect, Intraday effect and Intraday-Day-of-the-Week effect on different investors. Finally, this paper also examines the impact of trading volumes and selling pressures on the returns.
The result shows that Day-of-the-Week effect exists in returns and trading volumes, but different investors’ trading volumes don’t exists Day-of-the-Week effect. The selling pressures exists Day-of-the-Week effect of domestic institutional investors and foreign institutional investors in TXF and individual investors in MTF. Intraday effect exists in return and trading volumes, and all of the different investors have intraday effect. Intraday-Day-of-the-Week effect exists in returns, trading volumes and selling pressures in some of the intervals. The impact of trading volumes on return shows that there have significant exist from Monday to Wednesday. Finally, the impact of selling pressures on returns shows domestic institutional investors and foreign institutional investors have significant different.

目錄
目錄	III
表目錄	V
圖目錄	VII
第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	5
第三節	研究流程	6
第二章	文獻探討	7
第一節	效率市場假說	7
第二節	市場異常相關之文獻	9
第三節	投資人星期效應之相關文獻	21
第三章	研究方法	25
第一節	樣本資料與資處理	25
第二節	實證模型	27
第三節	成交量對報酬之影響	38
第四節	賣壓對報酬之影響	42
第四章	實證結果分析	45
第一節	基本統計量分析	45
第二節	星期效應	53
第三節	日內效應	65
第四節	日內星期效應	75
第五節	成交量對報酬之影響	82
第六節	賣壓對報酬之影響	96
第五章	結論	104
參考文獻	107

表目錄
【表1-1】國內期貨契約例年總成交量統計	2
【表2-1】日內效應之相關文獻整理	13
【表2-2】星期效應之相關文獻整理	18
【表2-2】星期效應之相關文獻整理(續)	19
【表2-2】星期效應之相關文獻整理(續)	20
【表2-3】投資人星期效應之相關文獻整理	24
【表4-1-1】基本統計量分析	45
【表4-1-1】基本統計量分析(續)	46
【表4-1-2】成交量在不同投資人之基本統計量分析	48
【表4-1-3】賣壓在不同投資人之基本統計量分析	52
【表4-2-1】報酬之星期效應	55
【表4-2-2】報酬星期效應之星期間檢定	55
【表4-2-3】成交量之星期效應	56
【表4-2-4】成交量星期效應之星期間檢定	56
【表4-2-5】不同投資人成交量之星期效應	58
【表4-2-6】不同投資人成交量之星期間檢定	59
【表4-2-7】不同投資人賣壓之星期效應	62
【表4-2-8】不同投資人賣壓之星期效應檢定	63
【表4-2-9】星期效應小結	64
【表4-3-1】報酬之日內效應	66
【表4-3-2】成交量之日內效應	68
【表4-3-3】台指期貨不同投資人成交量之日內效應	69
【表4-3-4】小台指期貨不同投資人成交量之日內效應	70
【表4-3-5】台指期貨不同投資人賣壓之日內效應	72
【表4-3-7】日內效應小結	74
【表4-4-1】報酬之日內星期效應	76
【表4-4-2】台指期貨成交量之日內星期效應	77
【表4-4-3】小台指期貨成交量之日內星期效應	78
【表4-4-4】台指期貨賣壓之日內星期效應	80
【表4-4-5】小台指期貨賣壓之日內星期效應	81
【表4-4-6】日內星期效應小結	81
【表4-5-1】成交量對報酬星期間之影響	83
【表4-5-2】不同投資人成交量對報酬星期間之影響	85
【表4-5-3】成交量對於報酬日內間之影響	86
【表4-5-4】台指期貨在不同投資人成交量對於報酬日內間之影響	88
【表4-5-5】小台指期貨在不同投資人成交量對於報酬日內間之影響	89
【表4-5-6】台指期貨成交量對於報酬日內星期間之影響	91
【表4-5-7】小台指期貨成交量對於報酬日內星期間之影響	92
【表4-5-8】台指期貨在不同投資人成交量對於報酬日內星期間之影響	94
【表4-5-9】小台指期貨在不同投資人成交量對於報酬日內星期間之影響	95
【表4-6-1】不同投資人賣壓對報酬星期間之影響	97
【表4-6-2】台指期貨不同投資人賣壓對報酬日內間之影響	99
【表4-6-3】小台指期貨不同投資人賣壓對報酬日內間之影響	100
【表4-6-4】台指期貨在不同投資人賣壓對於報酬日內星期間之影響	102
【表4-6-5】小台指期貨在不同投資人賣壓對於報酬日內星期間之影響	103

圖目錄
【圖1-1】論文架構圖	6

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