本文探討退休金發展程度與投資策略對股票市場發展的影響，並同時採用「縱橫門檻迴歸模型」（panel threshold model, PTM）及結合縱橫門檻模型與穩健迴歸的「穩健縱橫門檻迴歸模型」（robust panel threshold model, ROPTM）來研究此一議題。我們用退休基金投資證券市場的金額佔總額的比例為分類標準，將樣本分為高投資比例與低投資比例兩部分。對部分OECD國家及台灣的panel data分析後之結果顯示：在股票市場方面，若基金採高投資比例之投資策略，則退休金發展或投資股市比例越高，越能促進股市發展；採低投資比例策略的基金，對股市發展的影響並不顯著。 / This paper analyzes the impact of pension fund investment on securities markets using a panel threshold model (PTM) and a robust panel threshold model (ROPTM) which combines a panel threshold model with a robust regression model. We use panel data for some OECD countries and Taiwan to test the validity of our propositions. The data is divided into low and high investment regions based on the value of securities as a percentage of total financial assets of the pension fund. Our results are the following. In the high stock investment region, pension funds have a positive impact on stock markets. Whereas, in the low stock investment region, the positive impact seems to disappear.