本研究探討國內散戶、國內機構法人與外資機構法人三類投資人之交易行為與價格發現貢獻之關係，樣本則取2008年1月2日至2009年3月31日中台灣加權股價指數、台指期貨及台指選擇權之日內每分鐘高頻資料。首先利用ADF單根檢定檢視資料序列是否為定態，再藉由Johansen 共整合檢定進一步探討此兩序列之間的共整合關係，確認三種台股指數商品市場的價格都反映相同的基本資訊即長期下具有均衡的關係，而其中台指選擇權之價格序列則來自於利用PCP關係式(Put-Call-Parity)取代傳統研究的B-S模型及二項式模型所反推出的隱含現貨價格。

最後討論各類投資人交易是否與Hasbrouck (1995)所提出的市場資訊比例模型（information share model）之變動有關，並且分別加入開收盤半小時區間虛擬變數做個別觀察。而投資人行為其中包含投資人積極度、各類投資人占總交易比例、流動性、波動率與價格發現之貢獻率進行分析，檢視資訊份額比例是否會因投資人因素而被影響。

本篇之實證結果在選擇權價格發現功能上，又以外資扮演重要幕後推手之職，無論積極或是不積極的外資皆正向帶動選擇權之資訊比例份額，表示握有資訊的外資投資人於開盤交易之活動為顯著具有資訊性。則也因期貨市場領先現貨市場的原因，散戶先於期貨市場交易，事後牽動著現貨市場的資訊比例，此於Fisher(1966)、Cohan et al.(1986)、Lo and MacKinlay(1988)、Stoll and Whaley(1990)之結論相符。 積極散戶也在開盤半小時內於期貨市場進行的交易活動顯著正向影響現貨之資訊比例份額。而國內法人之交易行為則在此較無具資訊性，並無顯著結果。

In this study, we modify the information share (IS) originally proposed by Hasbrouck, J.(1995) to discuss investors behavior which included domestic individual investor, domestic and foreign Institutional Investor.

And this article also covered three markets to give example, such as Taiwan Stock Exchange Weighted Index (TWSE), Taiwan stock index option (TAIEX Options) and Taiwan stock index future(TAIEX Futures). The implied price of option here is using the Put-Call-Parity to replace the traditional B-S model.
We check if there is any connection between those three kinds of investor to the Financial Instruments information share.

The empirical results show that foreign Institutional Investor is taking an important role on the function of option price discovery. Hence, the evidence supports the viewpoints by Fisher(1966)、Cohan et al.(1986)、Lo and MacKinlay(1988)、Stoll and Whaley(1990). On the other hand, the domestic brokers are tending to without information advantage in this research period. And vice versa, the domestic individual investors have contributed to the price discovery function of Taiwan Stock Exchange Weighted Index market.

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