| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === This paper empirically examines the rationality of investors’ behaviors in the Taiwan stock index futures market. We examine the behavior by estimating the relationship between the arbitrage opportunity and the market liquidity. We use the open interest and bid-ask spread as the measurements of liquidity. The data including spot prices, futures prices, open interest, and bid-ask spread are from January 1st, 2000 to December 31th, 2002 gathered from TEJ database. The empirical results are as follows:
1. The investors trading in the TAIFEX market are rational.
2. Future prices are significantly biased when it is bear market.
3. The relationship between market liquidity and biased-equilibrium prices is more significant when it is bear market.
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