本研究探討機構投資人股票現貨，期貨，選擇權的交易金額對加權股價指數報酬率及波動率之影響，樣本期間為2007年7月至2017年12月，研究方法為GJR-GRACH，研究結果如下：1.機構投資人在期貨、選擇權、現貨之買賣金額對台灣加權股價指數報酬率皆有影響。2.對於指數報酬率之波動率而言，僅機構投資人現貨之買賣金額有影響。 This study investigates the influences of the transaction amount of stocks, futures, and options of institutional investors on the returns and volatility of Taiwan weighted stock price index. The data sample period is from July 2007 to December 2017. The study uses the GJR-GARCH model. The results of the study are as follows: 1. There are influences of the transaction amount of stocks, futures, and options of institutional investors on the returns of the weighted stock price index.2. For the volatility of the index returns, only the transaction amount of stocks of institutional investors have influences on it.
