本研究以市場交易者面臨到的可能交易狀況建立交易樹，建構委託單驅動市場之套利交易機率模型分析資訊交易者及穩定基金績效及其行為。實證部分是以台灣1999 年9 月21 日發生地震時，護盤基金進場事件進行研究。關於資訊交易者及穩定基金的績效和行為，有四個主要發現(1)樣本公司均有顯著的套利交易。其中，護盤樣本公司之套利交易規模並未高於未護盤公司；(2)相較於一般時期，護盤樣本績效僅有流動性較為顯著。同時，護盤樣本與未護盤樣本之績效無顯著差異；(3)護盤期間樣本公司日內套利交易主要集中於開盤期間；(4)相對於未護盤樣本公司，護盤基金樣本公司之套利交易與市場漲跌關係較為密切，反而對各股漲跌反應較不靈敏。

Based on possible situations encountered by market traders, this study constructed a tree of trading process and a probability model of arbitrage trading in order-driven market, and analyzed the behavior and performance of the information trader and stabilization fund through this model. In the empirical study, we analyzed the stabilization fund event during the period of the 921 earthquake. Our four main findings are: (1) there is arbitrage trading in all of the sample companies, in which the arbitrage trading scale of the stabilization fund sample companies is not higher than that of the others. (2) Regarding the performance of the stabilization fund sample companies, only the liquidity is significantly different compared to ordinary period. And there is no significant difference between the performance of the stabilization fund sample companies and that of non-stabilization samples. (3) The arbitrage trading concentrates in the opening during the stabilization period. (4) In contrast to the non-stabilization samples, the arbitrage trading of the stabilization fund sample companies has a remarkable relationship with the performance of the market, but not with that of individual stocks.