台灣為淺碟型市場，許多文獻證實機構投資人有影響市場的行為，為了解決一般投資人資訊缺乏，本研究選取2009年到2011年期間一般大眾易取得之每日發布之公開資訊，包括台股加權指數、三大法人買賣超張數及金額、波動率指數新(舊)、基差、摩根台指期貨、S&P500指數、NASDAQ等22種變數，利用存活分析建立模型，預測隔日台灣加權股價指數期貨之漲跌。
研究發現預測隔日台指期漲幅的顯著變數，有台股報酬率、自營買賣超張數成長，基差成長，S&P500指數變動比率共四個變數。而預測隔日台指期跌幅的顯著變數，有外資合計買賣超張數成長、自營合計買賣超金額成長、波動率指數-舊、基差成長、摩根台指期貨、摩台指期漲跌比率。實證結果發現本研究漲幅模型預測的正確率為74.47%，且在績效驗證中平均收益有35.73點；跌幅模型預測的正確率為75.32%，且在績效驗證中平均收益有37.99點。若將漲跌幅模型一起考慮，在績效驗證中可知其平均收益為38.68點。

Due to the small size of market in Taiwan, literature confirmed that institutional investments affect the market. The study is to use the daily public information provided by mass media and to apply survival analysis to forecast the price change of TAIEX Futures. The sample period covers from 2009 to 2012. Empirical results indicate that : (1)The significant variables in the model of predicting the rising price are return of TAIEX, the growth of volume in Dealers net buy or sell price, the growth of basis and the growth rate of S&P500. The percentage of correctness is 74.47% and the average return in the performance price is 35.73. (2)The significant variables in the model of predicting the falling price are the net daily trading volume of Foreign Investor, the growth of Dealer net daily trading volume, VOX, the growth of basis, SIMEX index futures and the growth rate of SIMEX index futures. The percentage of correctness is 75.32% and the average return in the performance price is 37.99.

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