An Evaluation of the Dynamic Interaction between Spot and Futures Markets for Taiwan Stock Index

[[abstract]]本文目的在探討摩根臺股指數之現貨與期貨市場間，在價格行為上是否已建立長期之均衡關係，以及這兩個市場在價格發現上之貢獻。根據共整合之檢定結果發現摩根臺股指數之現貨與期貨市場間，已具有穩定的長期均衡的關係，其次，誤差修正模型之研究結果則發現臺股指數之現貨與期貨市場間存在雙向的因果關係。然而，為達到均衡的現貨與期貨之價格關係所作的調整，主要是透過期貨市場而非現貨市場之價格變動來完成，而期貨市場為因應現貨市場之價格變動以及為消除偏離均衡之誤差所作的調整也較現貨市場所作調整來的大，顯示現貨對期貨之領先關係較為強烈，其原因可能是：（1）新加坡臺股指數期貨市場之成熟度不足；以及（2）現貨與期貨市場不同交易機制所造成。[[abstract]]The objective of this investigation is to study the stochastic dynamic relationship and the price discovery role between Taiwan stock index and stock index futures traded on SIMEX. The cointegration analysis reveals that there exists a long-run equilibrium relationship between these two nonstationary price series. The error correction model (ECM) representation of the two series suggests that there is a two-way feedback relationship and that the spot lead-to futures relationship appears to be more stronger relative to the futures lead-to spot relationship. The reasons may be due to that: (a) the Taiwan stock index futures contract is a recent innovation and cannot meet the maturity of the principal futures markets, and (b) the trading mechanisms used in spot and futures markets are different