本文利用Hatemi-J (2012a)方法來檢定三個投資人情緒變數對台灣期貨指數報酬率之非對稱 性因果關係，包括台指恐慌指數等三個變數。結果發現前一期台指恐慌指數及股市週轉率顯著領 先當期期貨市場報酬率，而前一期選擇權賣買權未平倉口數比變大時，當期期貨報酬率也有向上 趨勢。因此我們可將此資訊納入投資策略的規劃中做為買賣時機的參考。

The paper employs the method of Hatemi-J (2012a) to test asymmetrical causality between three investor sentiment variables and Taiwan futures index (TFI), including TFI volatility index, stock market turnover and put-call open interest ratio. The paper finds that the variables of the previous TFI volatility index and stock market turnover significantly lead the current futures market rate of return and when the previous put-call open interest ratio increases, the current rate of return on futures also has upward trend. Therefore, we can incorporate this information into the planning of the investment strategy as a reference for the trading opportunity.