此篇研究目的為檢視台灣市場期貨與現貨之日內報酬領先落後關係，研究期間為2007-2012年包含三個主要現貨指數與其對應之期貨商品，因台灣市場間交易成本與交易機制的落差可能造成比其他國家之金融市場更大的領先落後效果。並利用不同面相去解釋領先落後效果存在的原因。分別為 (1) 市場制度的改變(e.g. 現貨禁放空的限制、期貨稅率的降低以及期貨皆是速度的增快) (2) 市場品質的影響(e.g.市場波動、成交量(成交口數)、流動性以及基差) (3) 投資人結構。最後建立依市場品質所形成的交易策略試剝削領先落後效果的存在。
本文發現期貨市場領先現貨市場約9-18分鐘，相較於近年其他國家市場來說領先更久。而制度改變方面，現貨禁放空的限制、期貨稅率降低以及期貨揭示速度變快皆會使兩市場接收資訊的能力差距擴大，導致期貨領先的程度更大。市場品質方面，當期貨市場波動、成交量(成交口數)及流動性越高時期貨領先強度也會跟著越強，而基差會隨著時間而改變其影響效果，認為當市場波動、成交量大時表示資訊的發生，而流動性高時可使資訊快速進入市場，使得兩市場資訊能力產生差距。投資人結構方面，認為外資的委託與成交是最具有資訊性的，當外資的參與增加時其期貨領先程度也會增強，其次是法人和散戶。最後，剝削領先效果的策略只能在市場極端情況下獲取獲利，於平常期間此獲利會被現貨市場的高交易成本所稀釋甚至為負。

The aim of this study is to examine the lead-lag effect between the futures and spot markets in the Taiwan financial market and three types of major indexes, over the period 2007 to 2012, using intraday data. We use different aspects to discuss the causes of lead-lag effect: (1) The changes of exchange rules (the restriction of short-selling in the spot market, tax-reduction, and speed-up information disclosure in the futures market); (2) market quality (volatility, volume, and liquidity in the futures market and basis); and (3) investors structure. Last, we establish trading strategies using market qualities to exploit the existence of lead-lag effect.
This study finds that the leading ability of the futures market in Taiwan, which is about 9-18 minutes, is stronger than in other countries. In the aspect of exchange rules, these three changes enlarge the information gap between the futures and spot markets, which makes the leading ability of futures stronger. In the aspect of market quality, the leading ability of futures is stronger when the futures market has higher volatility, volume (number of contracts), and liquidity. The effect of basis will change over time. We believe that there is more information content in the market when there is higher volatility and higher volume, and higher liquidity allows information to enter the market quickly. In the aspect of investor structure, the order and trading of foreign investors holds the most information. The leading intensity of futures strength is directly proportional with participation of foreign investors, followed by institutional investors and individuals. Last, the strategy, which is to exploit lead-lag effect, can only earn profit under extreme market conditions. In normal a market, profit will be diluted by the high transaction costs of the spot market.

摘要 ii
ABSTRACT iii
I. INTRODUCTION 1
1.1. Background Information 1
1.2. Research Purpose 6
1.3. Research Results and Contribution 7
II. LITERATURE REVIEW 10
2.1 The cost-of-carry theory 10
2.2 The lead-lag effect between futures and spot 11
2.3 Model selection 12
2.4 The effect of changes to exchange rules 14
2.5 The relationship between quote change of different investors in futures and spot index return 14
2.6 The possibility to exploit lead-lag effect 15
III. METHODOLOGY 17
3.1 Data and sample period 17
3.2 The choice of threshold variables 24
3.3 VAR model、ECM model and threshold model 26
3.4 Short-selling restriction and exchange rules changed 28
3.5 The lead-lag effect and investor types 30
3.6 The possibility to exploit lead-lag effect 32
IV. EMPIRICAL RESULTS 34
4.1 The dynamic relationship between futures return and spot return 34
4.2 Interpretation on lead-lag effect – exchange rules 40
4.3 Interpretation on lead-lag effect – Market quality 47
4.4 Interpretation on lead-lag effect – Investors structure 56
4.5 The strategy to exploit lead-lag effect 60
V. Conclusion and Suggestions for Further Research 69
References 72

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