The Lead and Lag Relationship of the Taiwan Stock Index and Index Futures: TAIFEX and SGX-DT

[[abstract]]本研究乃探討台灣股價指數現貨與期貨價格發現功能，以標的為台灣發行量加權股價指數的TAIFEX及SGX-DT市場為研究對象。在本文中，利用單根檢定、共整合檢定與誤差修正模型，並搭配衝擊反應函數與變異數分解，來檢測四市場間的領先／落後關係，並瞭解台灣期交所於89/05/01調降期交稅，是否影響此四市場間的領先／落後關係。 就研究結果可瞭解，此四個市場間以SGX-DT現貨最具領先效果，即SGX-DT現貨最具價格發現功能，而TAIFEX期貨變動之領先效果最不顯著，故投資人可以SGX-DT現貨價格變化為指標，做為其他三個市場投資決策之參考。而臺灣期交所調降期貨交易稅後，有效提高投資人參與期貨市場交易之意願，因而TAIFEX期貨對四個市場的影響力較期交稅調降前為強，但仍以SGX-DT現貨最具領先效果，而SGX-DT期貨最為落後。[[abstract]]This paper investigates the price discovery role between spot and futures markets for Taiwan Stock Index that traded on TAIFEX and SGX-DT. The cointegration test and Error correction model are used to examine the lead-lag relationships between these four markets. In addition, TAIFEX reduced transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. We empirically test the differences in information transmissions between TAIFEX and SGX-DT for the sample period, both before and after the tax reduction. The results show that among the futures, the SGX-DT exhibits price leadership over the TAIFEX futures, among the spot market, the SGX-DT also leads. The reduction in market frictions such as taxes has a great impact on the information transmissions. The price discovery role of TAIFEX futures improved significantly after the tax reduction on TAIFEX