本研究根據每分鐘內外盤成交單量之主力單累計值，設計分時大戶買賣力指標，以向量自我迴歸模型(VAR)分析與股價對數報酬率之關聯性。實證分析結果發現分時大戶買賣力與股價對數報酬率具有雙向Granger因果關係，而分時大戶買賣力對股價對數報酬率的衝擊有2期正向衝擊，並於2期後會逐漸趨於平緩，預測誤差變異數分解結果則顯示分時大戶買賣力未來的不確定性，有78.59%來自股價對數報酬率。
基於上述結果，以2021年01月04日至2021年12月30日期間之熱門股做為股池，設計以大戶買賣力D值做為進場訊號之當沖交易策略。結果顯示在加入交易成本後，純做空之交易策略勝率56.64%，賺賠比（獲利因子）1.19，累計總報酬達201.39%，表示使用大戶買賣力統計特徵因子所設計而成的大戶買賣力D值指標，可用於優化當沖空方策略的「進場訊號」，以捕捉大戶出場行為。

Based on the cumulative value of block trading orders per minute in buy and sell trade volume, designing an indicator (Big Shares Bid Ask Power per minute, BSBAP_min), and using vector autoregressive model (VAR) to analyze the correlation between BSBAP_min and the rate of return. The empirical results show that there is a two-way Granger causality between BSBAP_min and the rate of return. Additionally, the result of impulse response function (IRF) of the shock from the rate of return to BSBAP_min is about 2 periods, gradually leveling off after 2 periods. Forecast error variance decomposition (FEVD) results reveal that the future uncertainty of BSBAP_min is composed by rate of return with 78.59%.
From the above results, we take hot issues from January 4, 2021 to December 30, 2021 as the stock pool and design a day trading strategy as the entry signal, which is based on BSBAP_D indicator. After adding transaction cost, the evidences show that the odds of day trading strategy in short selling is 56.64% and the profit factor is 1.19, cumulating total return to 201.39%. Our BSBAP_D can be used to optimize the "entry signal" of the day trading strategy in short selling to capture the selling behavior of larger shareholders.

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