[[alternative]]A STUDY OF THE PRICE DISCOVERY AMONG TAIWAN STOCK INDEX, TAIWAN STOCK INDEX FUTURES AND MSCI TAIWAN STOCK INDEX FUTURES--APPLICATIONS OF THRESHOLD MODELS

[[abstract]] 金融市場上，股價指數期貨為一非常重要的金融商品，因其提供投資者一個避險、投機與套利的空間，所以近來有許多國內外的相關研究針對股價指數期貨與現貨之間的價格關係進行探討，但或許是因為各個市場特性的不同與研究方法的不同，往往得出不大相同的結論。由於傳統線性之共整合分析並無法描述股價指數期貨與現貨兩者間不對稱之非線性調整過程，藉由門檻模型來加以分析較為恰當。希望藉由Enders and Granger (1998)的門檻共整合模型與Tsay(1998)的多元門檻模型的採用，來探討臺指現貨、臺指期貨與摩臺指期貨股價指數期貨與股價指數之間是否存在非線性之價格關聯性。本研究發現，比起傳統的線性誤差修正模型，非線性的門檻模型較能顯示出其長期均衡及短期動態關係而且有比較高的解釋能力。除此之外，在不同的區間裡，三者在長期均衡與短期動態調整有不同的關係，任意兩變數間皆存在雙向回饋關係，亦即三變數的變動會相互影響，在價格發現能力以摩臺指期貨最佳，最差的為臺股現貨。[[abstract]] Previous analyses using linear approach had failed to describe the asymmetrical dynamics between stock index and stock index futures. This study uses the threshold cointegration model and the multiple threshold model to investigate the asymmetry of long-run equilibrium among Taiwan stock index (TS), Taiwan stock index futures (TX), and MSCI Taiwan stock index futures (MX), and to explore the determined process of price discovery. The empirical results indicate a threshold cointegration and a nonlinear relationship exist among TS, TX, and MX. MX is the best indicator in price discovery process while TS is the worst. The finding suggests MX is the leading indicator of price fluctuation and informative in investing or hedging