本研究旨從理論與實證角度，檢視台灣期貨市場機構投資者交易活動與報酬波動之驗證，本文建構雙變量GARCH模型(BEKK模型)，除了分析過去衝擊對波動之影響外，並進一步探討機構投資者未平倉量淨口數與台灣加權指數日報酬波動之關係，資料期間為2007年1月1日至2015年03月25日期貨市場1920筆日資料。首先，實證結果顯示使用ADF與PP單根檢定法，得知機構投資者未平倉量為定態型式，其次，經由因果關係檢定分析結果，發現台灣加權指數期貨報酬與外資存在互為因果的回饋關係，自營商、投信未平倉量則明顯領先台灣加權指數期貨報酬。此外，本文採用向量自我迴歸模型分析探討各國股價指數報酬率短期互動關係，發現台灣加權指數期貨日報酬分別與外資、自營商與投信未平倉量淨口數有互動的關係。最後，利用多變量GARCH-BEKK模型，發現機構投資者未平倉量對台灣加權股價指數期貨報酬率波動互有短期衝擊與長期持續之現象。本研究實證結果有於投資者瞭解機構投資者交易活動與波動關聯性。

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.