本研究從整體市場面，首先探討台灣方向性期貨市場交易活動對未來標的資產價格變動的資訊內容，以驗證EOS理論的共同和分開均衡假說；其次，檢視期貨市場超額正、負交易活動對標的資產市場的價格效果是否存在不對稱性。
本研究實證結果顯示：發現台指期貨、小台指期貨、電子指期貨市場方向性交易活動對未來標的資產價格變動具有資訊內容，支持EOS 理論的共同均衡假說，此發現符合衍生性金融市場是資訊交易的一個管道之預期。相反地，金融指期貨市場交易活動對未來金融股指數變動不具有資訊內容，接受EOS 理論的市場分開均衡假說，Chan, Chung, and Fong (2002)認為此現象的可能理由是即使資訊優勢交易者在金融指期貨市場交易，但並沒有積極地交易，而是較消極交易，或者是研究期間金融指期貨市場的低流動性。整體上，發現整體期貨市場交易量的超額正交易(長部位)影響大於超額負交易(短部位)，顯示這些期貨市場投資人可能對正面訊息的反應較負面訊息敏感。

This study was investigated from the whole market perspectives. First of all, to explore the information content for trading activities of Taiwan's directional futures market to future underlying asset price movements and to verify the equilibrium hypothesis of pooling and separating in EOS model. Secondly, to review that does asymmetry for the price effect of positive over-trading and negative over-trading activities to underlying asset market exist in futures market.
The empirical results of this study show that: the market directional trading activities of Taiwan Stock Index Futures, Mini Index Futures and Electronic Index Futures have information contents to future underlying asset price movements. The hypothesis of pooling equilibrium in EOS model has been supported. It was found that it is in line with the anticipation that the derivatives market is channel of Information transactions. On the contrary, the futures market trading activities have no information contents to the changes of future financial index. The hypothesis of market separating equilibrium in EOS model was accepted. Chan, Chung, and Fong (2002) considered that the possible reason for this phenomenon may be that even there is trader with information advantages in financial futures market transaction, but he/she did not trade actively and be more negative. Or during study period, it is low liquidity in the futures market. On the whole, we found that the influences of overall trading volume of futures market for positive over-trading (long positions) are greater than those for negative over-trading (short positions). It revealed that the investors in futures market may react more sensitively to positive messages than negative messages.

目 錄
中文摘要……………………………………………….……….i
英文摘要…………………………………………….………….ii
目 錄………………………………………………….………..iii
表目錄.……………………………………………….…………iv
圖目錄……………………………………………….………….v
第一章 緒 論………………………………….……………….1
第一節 研究背景與動機………………………….…………..1
第二節 研究目的…………………….………………….…….2
第三節 研究架構………………………….…………………..4
第二章 文獻探討…………………………….…………………5
第一節 期貨市場概論……………………………….………..5
第二節 文獻探討……………………………….………………24
第三章 研究方法……………………………………………...36
第四章 實證結果與分析………………………………….…..42
第五章 結論與建議…………………………….……………..54
第一節 結 論…………………………………………………..54
第二節 後續研究方向與建議…………………….……………56
參考文獻…………………………………………………………57
表目錄
【表2-1】2006年全球交易所衍生性商品成交量概況.………6
【表2-2】期貨商品概述和比較期貨交易業務…….………..20
【表2-3】台灣期貨交易所期貨契約規格……….…………..21
【表4-1】台指期貨市場落後交易活動對現貨報酬影響…….45
【表4-2】小台指期貨市場落後交易活動對現貨報酬影響….45
【表4-3】電子期貨市場落後交易活動對現貨報酬影響…….46
【表4-4】金融期貨市場落後交易活動對現貨報酬影響…….46
【表4-5】台指期貨市場交易活動和股價變動的因果迴歸結果表..47
【表4-6】小台指期貨市場交易活動和股價變動的因果迴歸結果表48
【表4-7】台指期貨市場超額正負交易活動對現貨報酬影響......50
【表4-8】小台指期貨市場超額正負交易活動對現貨報酬影響....51
【表4-9】電子期貨市場超額正負交易活動對現貨報酬影響………52
【表4-10】金融期貨市場超額正負交易活動對現貨報酬影響…….53
圖目錄
【圖1-1】研究架構流程圖…….…….………………………………4

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