截至2011年為止，台灣期貨交易所共推出過八項股價指數型期貨商品，然而檢視其交易狀況，發現商品間交易量有懸殊差距，故本研究欲從避險與投機功能的不同角度探討各期貨之存在價值，是否皆能促進金融市場發展。
本研究對存在價值的定義為：期貨商品的交易活動可達到對現貨標的物之避險及投機功能，發揮期貨商品於金融市場上的效能。研究對象為國內六項股價指數型期貨：台股期貨(TX)、電子期貨(TE)、金融期貨(TF)、小型台指期貨(MTX)、非金電期貨(XIF)及櫃買期貨(GTF)。避險功能採用Johnson(1959)的投資組合避險理論，以不同估計期間求得避險比率，計算其避險效率，檢驗各期貨商品的避險功能。投機功能則採用Rutledge (1979)等人的理論基礎，重新定義避險與投機行為，進而求得投機行為成交量，並與基差進行OLS迴歸分析，探討其是否有活絡投機行為的作用。
根據實證結果，各期貨在避險功能的避險比率多小於一，且皆擁有顯著的避險功能，而不同的估計期間與上市期間的長久對於避險效率的變化並無顯著影響。投機功能方面，台股期貨(TX)、小台指期貨(MTX)及櫃買期貨(GTF)具有在期貨與現貨價格脫離時，帶動投機活動增加的作用，而電子期貨(TE)、金融期貨(TF)及非金電期貨(XIF)則否。分析其差異的原因，結合避險與投機功能，台股期貨(TX)、小台指期貨(MTX)及櫃買期貨(GTF)，相較於電子期貨(TE)、金融期貨(TF)與非金電期貨(XIF)擁有較高的存在價值。
最後，根據本研究之觀察，僅提出些許股價指數型期貨商品制度面上的政策建議，或可提升各期貨商品於金融市場上的存在價值。

By the time of 2011, Taiwan Futures Exchange has issued 8 kinds of stock index futures. By taking a closer look at the transaction of the index futures, we found out that, in terms of trading volume, there is a significant difference among each others. Based on the observation, our research focuses on studying the existence value of the index futures in terms of hedging and speculating functions.
The definition of futures’ existence value is that the investors can use the futures to achieve the objectives of hedging and speculating in financial market. The research objects are TX, TE, TF, MTX, XIF, and GTF. The method to measure the hedging function is based on Portfolio and Hedging Theory of Johnson (1959). We estimate the hedging ratio with different data periods to calculate the hedging effectiveness. The method to measure the speculating function is based on the theory of Rutledge (1979) et al. We calculate the speculating trading volume to study the relationship with the basis by using OLS model.
The empirical result shows that, in the hedging function, all of the index futures’ hedging ratios are almost less than 1, and all have high hedging effectiveness. There is no significant influence on hedging effectiveness with different data periods and issuing time. In the speculating function, TX, MTX, and GTF will make speculating activities increase when the basis get bigger but TE, TF, and XIF will not. To sum up, TX, MTX, and GTF have higher existence value than TE, TF, and XIF.
At last, based on the observation from this study, we propose several policy suggestions for enhancing the existence value of the index futures in financial market.

論文審定書 i
摘 要 ii
Abstract iii
圖 次 vi
表 次 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第二章 文獻探討 4
第一節 存在價值 4
第二節 避險功能 6
第三節 投機功能 11
第三章 研究方法 14
第一節 研究對象及研究假說 14
第二節 實證模型 15
第四章 實證結果 20
第一節 避險功能 20
第二節 投機功能 28
第五章 結論與建議 34
第一節 研究結論 34
第二節 政策建議 36
第三節 後續研究建議 38
參考文獻 39

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