本文採用台灣加權股價指數選擇權與期貨商品日內交易資料，機構法人之日內改單行為作為資訊變數，提出法人改單量確實與未來現貨報酬率有顯著之相關性，本研究首先採用改單後積極下單行為更進一步確認機構法人之資訊交易動機，證實台指選擇權與期貨市場之機構法人為資訊交易者，其改單後之積極下單行為對於未來現貨報酬率有顯著之預測能力。

In this article we use daily trading data to calculate order revisions of institutional investors as our information variable. We propose that order revisions of institutional investors have strong relationship with future return of spot index. We use aggressive order revisions to confirm institutional investors’ incentive of informed trading and we can conclude institutional investors in the TAIFEX index options and futures markets are informed traders. Their aggressive order revisions have predictability of future return of spot index.

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