[[alternative]]The Lead-Lag Relationship Among Taiwan Market Index Commodities Volatilities

[[abstract]] 現貨市場、期貨市場及選擇權市場皆是以市場指數作為交易標的，但由於市場結構的差異，造成市場間的訊息傳遞速度不同，而形成價格發現過程中的領先─落後關係。過去文獻主要利用價格或報酬來檢視價格發現機制，而本研究則以波動度來推論其領先落後關係。本文的主要目的即是探討三個不同市場在波動度表現，何者傳遞資訊的速度最有效率並據此尋找最能準確預測下一期市場價格的波動度指標，以提供投資者參考。根據本文之實證結果，選擇權之隱含波動度指標，其在預測未來波動值相對具有較佳的解釋力，該解釋力在金融風暴期間，仍具有較佳的優勢。[[abstract]] The spot market, the futures market and the option market all use the market index as the subject of the transaction. However, due to the difference in the market structure, the speed of the message transmission between the markets is different, and the Lead-Lag relationship in the price discovery process is formed. In the past, the literature mainly used price or reward to examine the price discovery mechanism, while this study used volatility to infer its leading and backward relationship. The main purpose of this paper is to explore the performance of the three different markets in terms of volatility, which is the most efficient way to transfer information, and to find the volatility indicators that can accurately predict the prices of the next market in order to provide investors with reference. According to the empirical results of this paper, the implicit volatility indicator of the option, which has relatively good explanatory power in predicting the future volatility, still has a better advantage during the financial crisis