許多前人研究發現在台灣股市中跟隨法人投資是沒有獲利空間的。這篇論文檢視法人日內交易行為，並且跟隨法人日內交易。
我們利用cite{crvhier04}的方法，發現機構投資人喜歡在開盤跟收盤下積極定單交易且從沒有資訊的投資人那獲得報酬。
此外，機構投資人是趨勢交易者，且不喜歡在前期交易量大或是前期波動性大時交易。
我們也發現考慮法人日內資訊是有價值的。

In Taiwan stock market, followiing daily institutional investors'' net-buy (sell) information after close is found not to be profitable in previous literatures.
This paper examines the intraday trading behavior of institutional investors in Taiwan Stock Exchange and the investment strategy following intraday institutional investors.
Using the methodology employed by Campbell et al (2004),we find institutional investors fare more likely to submit aggressive orders at open and close than midday to gain from uninformed traders;besides, institutional investors are momentum traders and do not like to submit aggressive orders when previous traded volume and volatility is large.
We also find intarday institutional information is worth taking into consideration.

References
Barber, Brad M., Yi-Tsung Lee, Yu-Jane Lui, and Terrance Ordean (2004), “Who
Gains From Trade? Evidence from Taiwan”, in The 12th Conference On Theories
and Practices of Securities and Financial Markets.
Campbell, John Y. and S. Kyle Albert (1993), “Smart Money, Noise Trading and
Stock Price Behaviour”, Review of Economic Studies, 60(1), 1–34.
Campbell, John Y., Tarun Ramadorai, and Tuomo O. Vuolteenaho (2004), “Caught
on Tape: Predicting Institutional Ownership With Order Flow”, Discussion Paper
2046, Harvard Institute of Economic Research.
Carhart, Mark M. (1997), “On persistence in Mutual Fund Performance”, The Journal
of Finance, 52(1), 57–82.
Chakravarty, Sugato (2001), “Stealth-trading: Which traders moves stock prices ?”,
Journal of Financial Economics, 61(2), 289–307.
Chiao, Chao-shin, David C. Cheng, and Yun-Ru Shao (2004), “The Informative Content
of the Net-Buy Information of Institutional investors in Taiwan Stock Market:
A Revisit under Consitional Analysis”, in The 3th Management Conference,
NTUST, 2004.
Chuang, Shu-mei, Wan-Hsiu Cheng, and Chien-Liang Chiu (2003), “The Dynamic
Relationship among Foreign Investments, Stock Market and Foreign Exchange Market”,
Journal of Risk Management, 5(1), 45–64.
Fama, Eugene F. and Kenneth R. French (1993), “Common Risk Factors in the
returns on stocks and bonds”, Journal of Financial Economics, 33(1), 3–56.
Grinblatt, Mark and Matti Keloharju (2000), “The Investment Behavior and Performance
of Various Investor Types: A Study of Finland’s Unique Data Set”, Journal
of Financial Economics, 55(1), 43–67.
(2001), “What Makes Investors Trade?”, Journal of Finance, 56(2), 589–616.
33
Kuo, Weiyu and Kuihwa Hu (2003), “An Empirical Study on Informed Trading on the
Taiwan Stock Exchange”, Review of Securities and Futures Markets, 14(4), 39–73.
Lee, Yi-Tsung, Robert C.W. Fok, and Yu-Jane Liu (2001), “Explaining Intraday Pattern
for Trading Volume from the Order Flow Data”, Journal of Business Finance
and Accounting, 28, 199 –230.
Lee, Yi-Tsung, Ji-Chai Lin, and Yu-Jane Liu (1999), “Trading Patterns of Big Versus
Small Players in an Emerging Market: An Empirical Analysis”, Journal of Banking
and Finance, 23, 701 –725.
Lee, Yi-Tsung, Yu-Jane Liu, Richard Roll, and Avanidhar Subrahmanyam (2004),
“Order Imbalance and Market Efficiency: Evidence from the Taiwan Stock Exchange”,
Journal of Financial and Quantitative Analysis, 39(2), 327–341.
Liang, Yu-Li, Ching-Hai Jiang, and Yen-Sheng Huang (2004), “Bid-ask Bounce and
the Intraday Performance of Limit Orders: Evidence from the Taiwan Stovk Exchange”,
Review of Pacific Basin Financial Markets and Policies, 7(2), 191–212.
Lin, Mei-Chen and Li-Ching Ma (2002), “The Interactions between Institutional
Trading Information and Market Returns”, Review of Securities and Futures Markets,
14(3), 113–143.
Ma, Tai and I-Chun Tsai (2005), “A Dynamic Model of Order Execution and the
Intraday Cost of Limit Order”, in Taiwan Financial Association 2005 Conference,
Cheng Kung University, May 13-14,2005.
Neal, Robert and Simon M. Wheatley (1998), “Adverse Selection and Bid-Ask
Spreads: Evidence from Closed-end Funds”, Journal of Financial Markets, 1(1),
121–149.
Tsai, Hung-Kai (2002), A Ttudy of Order Aggressiveness on the Taiwan Stock Market,
Master’s thesis, Graduate Institute of Finance, National Taiwan University,
instructor: Hu, Shing-Yang.
Tsai, Wen-Hsien and Yong-Ren Ke (2000), The Impact of Net-Buy and Bet-Sell Information
of Foreign Investors and Securities Dealers on Taiwan Stock Market,
Master’s thesis, Graduate School of Business, NTU.
34
Wang, Yu-Hsiang (2002), The Empirical Research of Limit Order and Market Depth-
Take TAIEX for Example, Master’s thesis, Graduate School of Technology Management,
NTHU, instructor: Tsay, Jiin-Tarng.
Yu, Chih-Hsien and Yu-Chih Lai (1999), “On the Informational Leading Role of
Foreign Institutional Investors”, Journal of Financial Studies, 7(3), 1–26.