本研究的目的主要是探討台灣期貨市場與股票市場之間的價格領先落後的交互關係，在文中應用一個新的計量模型(ARDL-ECM)更明確的套探討期貨與現貨市場之間的交互關係。應用此一記量方法可以去除先前研究的模擬兩可的因果關係，進一步的釐清期貨與現貨之間的因果關係。在本研究中，可以檢定出期貨與現貨之間的單一方向因果關係，且觀察出期貨價格發現的功能。文中的實證結果顯示出台灣的期貨市場無論是大台指或是小台指都已經進入成熟的市場，並且都明顯的領先現貨達二十分鐘，除了在2004年的第二季中由於總統大選的影響使的在當季的金融期貨市場產生不穩定的現象，也造成了期貨的價格發現的功能失效，此一現象在之前的文獻中亦有此一情形。

The goal of this research is to examine the lead-lag effect between futures and spot markets in Taiwan by employed newly developed econometrics method, ARDL-ECM approach. Such technique avoiding earlier ambiguous causality testing procedure provided more clearly representing of a unique, stable unidirectional price discovery process which may easily explore the dynamics between futures and spot markets. Under intra-day basis, overall findings suggest that the futures prices lead spot markets about thirty minutes during the year 2004. Moreover, during the presidential election period which resulted in political turbulent in Taiwan, the future market which should play the dominated role of price discovery becomes futility. Such interesting findings confirms the economical phenomenon of “surprising election outcomes” (Carfinkel et. al. 1999).

Contents
Chapter1. Introduction
  1.1 Background……………………………………………………………………..1
  1.2 Motivation and Objective……………………………………………………….2
  1.3 Introductions of the futures contracts..……………………………………...…..5
  1.4 The structure of this thesis………………………………………………………8
Chapter2. Theorem and Literature Review
  2.1 Theorem………………………………………………………………………..9
  2.2 Literature Review………………………...………………………………..…..14
Chapter 3 Data………………………………………………………………………18
Chapter 4 Methodology
  4.1 Stationary tests………………………...………………………………………21
  4.2 ARDL Bounding Test on UECM……………………...………………………25
Chapter 5 Empirical Results
  5.1 Stationary test………………………………………………………………….31
  5.2 ARDL Bounding Test on UECM……………………………………………..34
Chapter6 Conclusion Remark…………………………………..…………………41
Reference…………………………………………………………………………….43


List of Tables
Table 1-1 TAIEX Futures contract…………………………………………………….6
Table 1-2 Mini-TAIEX Futures contract………………………………………………7
Table 3-1 Descriptive Statistical of Ten-Minute Price of TAIEX, TAIFEX, and TAIMFEX……………………………………………………………………………20
Table 5-1 The results of various unit root tests based on AIC and Bartlett Kernel…..32
Table 5-2 F-statistics for Testing the Existence of level relationship………..…….…34
Table 5-3 Estimates of ARDL Model for Index and Futures Market………………...35
Table 5-4 Estimated Long Run effects of ARDL Model……………………………..38
Table 5-5 Error Correction Representation of ARDL Model………………………...39


List of Figures
Figure 1-1 Research process…………………………………………………………...8

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