本研究資料選取2001~2004年為研究期間，以台灣加權股價指數以及三大法人買賣超為樣本，運用多項時間序列方法探討三大法人買賣超與台灣加權股價指數漲跌之相互關聯性。研究結論發現，在誤差修正模型以及因果關係的分析中，自營商與外資皆領先股價指數，投信與加權股價指數呈雙向因果關係；在衝擊反應函數分析，當加權股價指數受到三大法人投資行為的衝擊時，其中以來自自營商的衝擊反應過程最為顯著，因此對加權股價指數影響的這三各變數裡，自營商對股價指數的影響較為顯著。 This paper investigates the relationship between stock index and the behavior of professional investment institutions. We select the data of net buy-and-sell of three institutional investors and taiwan stock index between year 2001 to 2004 with Granger causality and impulse response function to test the short term impact effect. We find that the local investment institutions and foreign investment institutions play the leader role and the mutual fund plays the follower role. Furthermore, we find that the variation of the trading behavior of local investment institutions has the most obvious impact on Taiwan stock index among these three investment institutions.
