本研究以台灣指數期貨為樣本，實證公開資訊對於預測台指期漲跌幅的效果。資料來源從期交所、證交所以及Yahoo Finance每日公開資訊，包含現貨、期貨、選擇權交易量和未平倉量、S&P500指數等26個變數，利用存活分析建立模型，預測台指期今日收盤到隔日收盤之漲跌幅。
研究結果發現，漲幅模型顯著變數有投信現貨變化量、外資現貨變化量、外資台指期多空淨未平倉變化量、投信台指期多空淨未平倉變化量、外資小台指期多空未平倉淨額變化量、自營商小台指期多空未平倉淨額變化量、五大法人近月買賣超未沖銷部位變化量、十大特定法人近月買賣超未沖銷變化量、十大特定法人買賣超未沖銷變化量、外資台指選多空未平倉淨額變化量、S&P500指數變化量，共11個變數。而跌幅模型顯著變數有大型券商現貨金額變化量、五大特定近月買賣超未沖銷變化量、五大特定近月買賣超未沖銷變化量、散戶多空未平倉口數變化量、外資台指選多空未平倉淨額變化量。實證結果發現，本研究漲幅模型準確率為75.97%，且在績效驗證中平均收益有47.95413點; 跌幅模型準確率為75.1%，且在績效驗證中平均收益有32.15596點。

This study is to estimate the price change of the TAIEX futures by using public information. Where we use public information such as trading volume, open interest, and S&P500 stock index as variables. As well as to use survival analysis to predict the price change.
As the result of our study, the significant variables in the model of predicting the rising price are: change in net buy/sell of Securities Investment Trust Companies in TAIEX, change in net buy/sell of Foreign Institutional Investor TAIEX, net change in Foreign Institutional Investor open interest of TAIEX Futures contract, net change in Investment Trust open interest of TAIEX Futures contract, net change in Foreign Institutional Investor open interest of Mini-TAIEX Futures contract, net change in Dealers open interest of Mini-TAIEX Futures contract, net change in Top 5 Investors open interest of spot month TAIEX Futures contract, net change in Top 10 Investors open interest of spot month TAIEX Futures contract, net change in Top 10 Investors open interest of next month TAIEX Futures contract, net change in Foreign Institutional Investor open interest of TAIEX option contract, change in S&P 500 index. In total of eleven variables. Significant variables in the model of predicting the falling price are: change in net buy/sell of large securities firm in TAIEX, net change in Top 5 Investors open interest of spot month TAIEX Futures contract, net change in Top 10 Investors open interest of spot month TAIEX Futures contract, change in net buy/sell of retail investors in TAIEX, net change in Foreign Institutional Investor open interest of TAIEX option contract. For the model of predicting the rising price the accuracy is 75.97% with the average of earning 47.95413 point; For the model of predicting the falling price the accuracy is 75.1% with the average of earning 32.15596 points.

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