This study first examines the impact on the stock price of Asia Plastic Recycle using an event study method. Based on the event that happened on 24 April 2014 where Qualified Foreign Institutional Investors (QFIIs) lowered the rating for Asia Plastic Recycle. The result shows significant variations in cumulative abnormal returns before and after the event date, suggesting that the Taiwan stock market is not consistent with semi-strong-form market efficiency. Secondly, this study simulates the investment behavior of QFIIs using a program trading model, which is developed based on the Granger (1986) causality test. The result shows that with the incorporation of security lending data, the QFIIs can still profit if extending the optimal investment coefficient from the 30-month period between 3 January 2011 and 27 July 2013 to 27 June 2013. Again, the result supports the hypothesis that Taiwan futures market does not have strongform market efficiency. Further, we conduct the Granger causality model by using the QFII's spot net trading value. The results show that when the security lending information is replaced with the spot net trading data of Merrill Lynch, Merrill Lynch (60144), which has the highest market share, is incorporated as an endogenous variable in the optimal investment strategy by almost half of the QFIIs. The result thus supports hypothesis 3 that QFIIs in Taiwan exhibits positive feedback investment behaviour