| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 92 === In recently years, the Foreign Capital Enterprises attempt to pull-up or pushdown the price on Spot Market on purpose before Maturity Date of Futures Contract in order to gain profits with their own shares on Index Futures Market. They try to affect the Final Settlement Price of Maturity Date, so that no matter the price of Futures Market and Spot Market is up-convergence or down-convergence, it exists the phenomenon of artificial manipulation. In this article, we took daily data of Futures Market and Spot Market as variables, and daily transaction data of Taiwan Futures Exchange Weighting stock price index of Futures Market and Spot Market between Sep. 3, 2003 and May 24, 2004 as research samples. It shows that:
1. The rate of return between Maturity Date of Index Futures Market and the day before due date, it always shows positive correlation on Futures net positions of Foreign capital.
2. The date of settlement day and due date are price difference expansion but after settlement, it will restrains on price different immediately.It means it is risky at that day, on the other hand, if it is correct on predicting; the return value would be huge.
3. The result of Co-Integration shows Taiwan futures index and spot index really exist co-integration. It means these two markets are on Long-term stable balanced relations.
From error correction model, spot market revise downward the price but futures market is going up and the speed of correct on the future market is faster than spot market.
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