金融商品存在著各種風險，風險即是對未來產生的不確定性。當投資人預期的報酬率與實際報酬率不相等時，此差距即稱為風險(Risk)。一般而言，期貨可作為一種有效的避險工具，對於股市的投機者來說，增加了其投資組合的複雜度。使市場交易變得更加熱絡，推動金融市場的投資，也增加了投資人的選擇以及資金流動性。因此，期貨之訂價與基差應有許多可因素彼此相互影響，本研究期望找出可以影響兩者之決定性因素，並提供實務上投資之參考，以提升投資人、經理人之投資績效。

The financial product exists in variety risk, and the risk is uncertainty in future. The gap is called risk,
when that is different between expected return and actually return. In general, futures are effective hedge
tool. It increases the complexity of the portfolio to the speculators.
The futures lead market to more active, diverse and more liquidity. Thus,
There are lots of influencing factors between pricing and basis. Therefore, this thesis looks forward to figure
out the decisive factor.

誌謝	I
口試委員審定書	II
中文摘要	III
英文摘要	IV
第一章、緒論	1
第一節、研究動機	1
第二節、研究目的	4
第三節、研究架構	6
第二章、期貨價差文獻探討	9
第一節、期貨價格的理論值與實際值	9
第二節、期貨價格與基差	13
第三章、模型推導與延伸	15
第一節、期貨預期價格模型	15
第二節、基差預期持有成本模型	17
第三節、差異值與基差之關係式	20
第四節、差異值預期價格與持有成本複合模型	21
第五節、分析方法	22
第四章、預期期貨價格模型分析	23
第一節、敘述性統計	23
第二節、迴歸分析	27
第三節、共整合檢定	32
第五章、結論與建議	46
參考文獻	48.
圖目錄
圖1：期貨理論值之時間序列圖	23
圖2：預期持有成本基差之時間序列圖	24
圖3：預期差異值之時間序列圖	25
圖4：期貨理論價之Q-Q圖	26
圖5：預期持有成本基差之Q-Q圖	26
圖6：差異值之Q-Q圖	26
圖7：時間序列圖	33
圖8：時間序列圖（取一階差分）	34
圖9：自我相關	34
圖10：自我相關 (取一階差分)	35
表目錄
表1：敘述性統計	25
表2：線性迴歸分析(Gretl)	27
表3：線性迴歸分析(Gretl)	28
表4：線性迴歸分析(Gretl)	29
表5：複迴歸分析(Gretl)	30
表6：A-NOVA迴歸分析(Gretl)	32
表7：自我相關函數	35
表8：自我相關函數 (取一階差分)	36
表9：ADF檢定(預期期貨價格)	37
表10：預期期貨價格（一階差分）	38
表11：收盤價 KPSS Test	39
表12：收盤價 KPSS Test	40
表13：Engle-Granger test	41
表14：Engle-Granger(一階差分) test	42
表15：VAR 落後期選擇	42
表16：VAR 向量自我回歸	43
表17：Granger Causality Tests	44

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