在現今金融全球化的浪潮下，資金無國界深深影響各國金融市場。當美國宣布QE減碼時，新興市場資金立即撤出造成股市震盪，流入美國資金大增，這部分可用國際傳導效應解釋；除此之外，美國股市的影響力也隨著資金自由移動而越發彰顯其影響力。台灣為一淺碟型金融市場，深受國際傳導效應影響，因此容易以他國股市的情形做為其投資決策的參考而產生從眾行為，例如：許多投資者都會將美股收盤的表現作為隔日台股是否進出的依據，故美國股市對台灣的影響是最為顯著者。
本研究藉由國際傳導效果進而分析台指期與美國股市的關聯性，並且探討在台指期的投資人是否有開盤時依據美股漲跌建立新部位此一從眾行為的產生；此外，本研究亦說明當台指期投資人具有從眾行為的投資者及在開盤時建立新部位的投資者其投資策略的報酬績效如何。
結果發現：一、台灣期貨市場隔夜價差與美國股票市場隔日價差有顯著正相關；二、本國法人和本國散戶有在開盤時下單之傾向；三、散戶投資人會依據美股漲跌作為其投資決策的依據，即具有從眾行為；四、散戶投資者報酬顯著為負，即散戶投資者無法藉由該行為獲取報酬，外國法人的報酬顯著為正。本研究推論：資訊的篩選能力可能是影響投資績效中重要的部分。

Globalization of finance appeared to be an unstoppable trend in decades. As the world economy became more and more integrated, cross-border capital flow has deeply affected the world's financial markets. Immediate withdrawal in emerging markets has caused the stock market turbulent and capitals flowed to U.S. capital market increasingly. The phenomenon is called international contagion effect. Consequently, the influence of the U.S. stock market has greatly increased along with the rapid growth of cross-border capital flows. Taiwan’s capital market is a “plate-form” market that significantly influenced by the international contagion effect. Therefore, domestic investors usually research other countries’ stock market as reference for their investment decisions.
The purpose of this thesis is to analyze the correlation between TAIEX and the U.S. stock market, and research the herding behavior of the traders. More, the thesis also delves into TAIEX investors’ strategy when they have herding behavior.
Results are as follows:
1.Domestic institutional investors and domestic individual investors have tendency to place orders at the opening of Taiwan Futures market.
2.The phenomenon domestic individual investors will investigate U.S. stocks as reference for their investment decisions is called herding behavior.
3.Domestic individual investors’ investment return are significantly negative. Domestic individual investors can not obtain compensation from herding behavior

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