金融商品的價格變動是投資人用以判斷獲利與否的重要工具，因為價格變動不易精確預測，所以常利用其他變數輔助預測價格變動，其中以交易量最常被投資人用來分析價格變動。本文是利用台灣首檔指數型股票基金「台灣50指數股票型基金，簡稱TTT」，分析基金的價格變動與交易量之間的關係。 由於TTT具有「實物申購╱買回」機制，當TTT發生折溢價現象時，投資者會利用此機制進行策略性的投資。因此，「實物申購╱買回」機制使用，會對TTT交易量產生影響，並且使得基金淨值與價格更為貼進。所以本文也將分析TTT折溢價與交易量之間的關係。 本研究利用Granger因果關係理論檢測變數之間的因果關係，實證結果發現，TTT的交易量與價格變動呈現雙向因果關係，且折溢價對於交易量具有單向因果關係，即折溢價可以解釋和預測交易量變動，並且折溢價偏離的現象在半天之內會消失。因此，歸論「實物申購╱買回」機制能有效發揮其作用。 / This study examines intraday patterns of the Taiwan Top 50 Tracker Fund (TTT), with special emphasis on the causal relationship between trading volume and return, and the causal relationship between trading volume and deviation ratio. We find strong intraday seasonality, namely the W-shaped trading pattern which appeared to be caused by the so-called lunch-break effect. After accounting for this apparent seasonality, and by employing the Granger causality test, we find that there is a causal bi-direction relationship between trading volume and absolute return. However, there only exists a uni-directional causal relationship from the deviation ratio to trading volume, but not vice versa. Also, the deviation is disappeared within half day.