This article discusses the idea of multivariate GARCH-BEKK model to investigate the relationships of the institutional investors trade activity in TX return volatility, the study also analysis the net open interest in TX return volatility , the period is from January, 2007 to March, 2015.The total samples are1,920. Firstly, the paper employs the ADF and PP unit root test. It finds that the open interest is stationary of Institutional investors. Secondly, the paper use Granger causality test and vector autoregressive, it result show that there is feedback relationships between Foreign investor and TAIEX, It exists lead-lag relationships in Investment trust and dealer. In an addition, the article uses multivariate GARCH-BEKK model to capture volatility in institutional investors, it also finds that the institutional investors have relationship in TX returns volatilities. The result provides investor to understand the institutional investors trade activity in TX return volatility.