本文探討台灣機構投資人買賣超與股價指數報酬率與十二月效應及元月效應之關係，本文使用日資料，研究期間為1997年6月2日到2009年7月10日。研究方法為分量迴歸法。研究結果顯示外資買賣超對加權指數報酬率的影響在十二月和元月及其他月分存在有差異。其中在十二月份，外資買賣超對台灣加權股價指數報酬率影響力為最小。 In this thesis, we consider Taiwan stock market and study the relationship among the Institutional Investors' Net buy-sell Differences, the return of market index and the effects of December and January. The data period is from June 2,1997 to July 10,2009.The methods we used are Quantile regression .The empirical results show there are different affects on the return of market index among December, January and the other months for the Foreign Investors' Net buy-sell Differences. In December, the influences caused by the Foreign Investors' Net buy-sell Differences on the return of market index are the smallest.
