本研究為探討在台灣期貨市場中，三大法人（自營商、投信、外資）的臺股期貨和臺指選擇權的投資從眾行為關係，選取2014年7月15日到2015年4月28日共198個交易日的三大法人各自多空交易契約金額淨額的日資料進行研究探討。本研究將時間段劃分成循環期、空頭期和多頭期三種情況。看看在不同的情況下，三大法人的臺股期貨和臺指選擇權的從眾關係如何。本研究首先使用ADF單根檢定，對每一個法人變量資料的平穩性做出分析。接著以AIC準則確定最佳落後期數。變量資料穩定 和最佳期數確定後，建立向量自我回歸（VAR）模型進行從眾關係探討。最後會做Granger因果關係的輔助檢定，確定其領先落後關係。由於本研究數據量不夠大，所以，結果以VAR模型結果為主。
本研究結果顯示：以循環期為例。在期貨間，自營商臺股期貨與外資臺股期貨有相互跟隨買賣的投資關係。在選擇權間，自營商臺指選擇權與外資臺指選擇權也有相互跟隨買賣的投資關係；同時自營商臺指選擇權會跟隨投信臺指選擇權進行買賣投資。在期貨和選擇權間，則存在複雜的投資從眾關係。但在空頭期和多頭期中，結果卻不完全一樣。綜合來看，三大法人期貨或選擇權跟隨自己其他兩期貨或選擇權進行投資的機率不大，且選擇權投資受期貨影響等。

This study examined the herding behavior of TX and TXO trading from the major institutional traders (Dealers, Investment Trust and Foreign Institutional Investors) in Taiwan Future market. It chosed each of major institutional trader’s daily net amount from 15th July 2014 to 28th April 2015, total 198 trading days. This period was divided into three sub-periods: whole period, contraction period and expansion period. The study wanted to see more details of each of major institutional trader’s investing herding relationship in different situation. First we needed to analyze whether the data is stationary by ADF Unitroot Test and then to confirm the best lag period by AIC Standard. After getting the stationary data and the best lag period, we can build up the Vector Autoregressive (VAR) model to get the result. At last the study will perform the Granger Causality Test to assist to confirm the lead-and-lag relations. Because the chosen data are not big enough. The result of VAR is adopted.
According to the empirical results: for instance in the whole period, in TX, DF and FF. In TXO, it showed the same results that DO and FO impacted each other with TX. There is a comlex relations when combining TX and TXO. But in the other two periods, the empirical results are not the same completely. Totally the posibility of futures and options followed itself to invest is not high and TXO followed TX.

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