本研究以台灣指數期貨市場作為研究對象，以台灣期貨交易所提供之早期日內交易資料來探討投資人是否在台指期貨極短期內急漲急跌時介入，並且有獲利的空間。本研究透過觀察過去期貨每一分鐘的資料來界定四種急漲或四種急跌，並分析上述這些現象出現後之做多或做空的投資策略是否有獲利的契機，此外由於本研究的研究設計乃採行當日平倉策略，是以本研究亦分析三種平倉策略的盈虧分析。在本研究中有由四種急漲介入、四種急跌介入，共有八種介入方式，之後的投資策略也分為做多、做空二種投資策略，之後就做多而言有三種平倉策略，對做空而言，亦有三種平倉策略，共有48 種策略組合的盈虧分析。而本實證結果顯示，某些組合是有獲利的可能性，但若是短期急跌時介入仍採行做多策略，損失可能會加劇。而且分析結果發現在不同的狀況下介入之結果有顯著的差異，是以在不同狀況下所採行的介入策略或平倉策略應有所不同，因此，策略的應用需要謹慎的觀察與判斷，才有較大的機會在期貨市場上獲取利潤。

This study investigates whether investors would profit for trading index futures right after the sudden rising or falling of TAIFEX (Taiwan Futures Exchange) emitted by employing the intraday data in 2011. While observing index futures deliberately, we define four sudden rising or four sudden falling cases for TAIMEX in this study. We take long or short position in TAIMEX after these cases shown, and then close the positions as making profits points hit, cutting losses points touched, or closing the position one minute before the market close. Thus, there are eight intervene cases including four sudden rising and four sudden falling cases, two investing strategies such as taking long or short positions, and three cases for closing the positions. In sum, we then measure whether investors could make profits for 48 combination cases (i.e. 8*2*3 =48). The results reveal that investors would make profits in some combination, but investors might suffer losses even huge losses if the TAIMEX falling considerable points in a minute. In addition, the strategies employed and the positions closed would not be the same for various sudden rising or sudden falling in TAIMEX. Thus, the investors should trade prudently by observing TAIMEX deliberately for enhancing the profitability.