本研究旨從理論與實證角度，檢視台灣期貨市場三大法人交易活動與報酬波動非對稱行為之驗證，本文建構不對稱GARCH 模型，除了分析過去衝擊對波動之影響外，並進一步探討三大法人買賣超淨金額、未平倉量淨口數與報酬波動之不對稱關係。資料期間為2007 年1 月1 日至2015 年3 月25 日期貨市場1920 筆日資料，本文創新重點在於驗證三大法人交易活動對指數期貨報酬波動之影響程度。經實證結果後發現，台灣加權指數期貨日報酬與波動不僅只受到自營商與投信的影響，且隨著外國投資機構的引進，國際間金融資訊與資金流動也在市場上流通，由於外國投資機構的資訊領先與資金雄厚都遠超於國內自營商與投信投顧業，因此台灣加權指數期貨也受到外資進出的影響。本研究經實證結果發現外資未平倉量淨口數與投信買賣超淨金額是影響台灣加權指數期貨日報酬的重要指標，而自營商未平倉量淨口數與投信買賣超淨金額是影響台灣加權指數期貨日報酬波動的重要指標；然而投信未平倉量對於台灣加權股價指數期貨日報酬與波動較無投資的參考價值。

This article discusses the idea of Asymmetrical GARCH model to investigate the relationships of the institutional investors trade activity in TX asymmetric return volatility, the study also analysis the net Buy/Sell and net open interest in TX return volatility, the period is from January, 2007 to March, 2015.The total samples are 1,920. This article focuses on the institutional investors trade activity in TX return volatility. The paper found the TX return volatility not only influenced by dealer and trust, and with open to foreign investment institutions to invest in Taiwan, Because the information leading foreign investment institutions and strong capital are well ahead of dealer and trust, Therefore TX also affected foreign trading activities. After empirical results found foreign open interest and trust net are influences the TX important indicators, as well as dealer open interest and trust net are influences the TX return volatility important indicators; But trust open interest no investment reference value for TX return volatility.