本研究利用高頻率的日內資料,研究台灣期貨市場中,期貨交易人、國外法人、國內法人和期貨自營商等四類投資人,其買賣交易活動對價格報酬之間的關係。研究中所使用的資料,依據台灣期交所提供的「委託檔」、「交易檔」、「揭示檔」資料三種資料重建台指期貨完整揭示資料,選定Lehman Brothers宣布破產做為事件日,進一步分析金融海嘯期間期貨投資人下單資訊性。實證結果發現,整體而言,國外法人、國內法人、期貨自營商三者的委託單失衡都造成價格正向影響,顯示三者擁有資訊優勢來從事交易。在事件日之前,顯示國外法人擁有短期資訊優勢進行交易。在事件日之後跟國內法人和期貨自營商一樣,只有自身擁有私有資訊較長的資訊優勢才對價格有正向影響。 This paper use high frequency intraday data to discuss the relationship between trading behavior and price return of four kinds of investor: individual investors, foreign investors, domestic institutional investors and futures dealers in Taiwan futures market. We reconstruct the complete display data of Taiwan index futures contracts by using the “entrust”, “transaction” and “display” data from TAIFEX and use “declaration of bankruptcy by Lehman Brothers” as event day to analysis the information content of investors’ trading behavior in the period of financial crisis. The empirical result indicates that the order imbalance of foreign investors, domestic institutional investors and futures dealers have a positive price impact, means that these three kinds of investors have information advantage. The domestic institutional investors have short term information advantage before the event day. After the event day, investors only with long term information advantage have positive price impact.