過去已有許多文獻探討股票報酬的可預測性，並發展出許多投資策略，例如反向操作策略（Contrarian strategy）、動量操作策略（Momentum strategy）或技術分析；希望藉由報酬的可預測性來獲利。本文以台灣證券交易所編製的「台灣綜合股價指數」採樣股票為研究對象，探討日內資料形態。
由於台灣股市於開盤前三十分鐘即可進場下單，採集合競價制來決定開盤價與收盤價，其他交易時間則採連續競價方式。基於這種特殊交易的制度，台灣股市在開收盤時可能存在特殊形態。因此本文擬採用探討隔夜報酬與日內報酬之間的關連性，檢驗是否有日內價格反轉現象存在，並就其時間序列特性，進一步探討其成因。
本文研究上述樣本於民國86∼87年間的資料後發現：
（1）採樣股票在研究期間內隔夜報酬普遍為正，也即採樣股票普遍存有開高傾向（2）採樣股票明顯存在日內價格反轉現象，雖然個股普遍在開盤時呈現開高走勢，但是不論開高或開低，開盤後股價都會有一段修正期間，此一修正的方向平均而言均與隔夜報酬的走勢相反。換言之，開高（低）之後日內股價傾向走低（高）（3）指數反轉現象主要導因於個股的負自我相關性，如果以採樣股票建構一個相等權值指數，則指數本身也存在開盤後價格反轉修正的現象，但反轉幅度較小。這是因為個股間存在正向的橫斷面自我相關，會減弱指數本身的負向自我相關性（4）日內價格反轉現象在考慮稅賦的情況下無法進行套利，儘管本文發現採樣股票的反轉性極顯著，但是考慮稅賦限制後，採用Lo & MacKinlay(1990)的反向操作策略並無法獲取正的報酬，也即不存在套利空間；而所獲致的報酬中，主要來源為個股自身的負自我相關性。

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