| Summary: | 碩士 === 東吳大學 === 企業管理學系 === 94 === Taiwan's stock index futures has launched for almost eight years since July 21,1998. The price discovery role of stock index futures was concerned by investors gradually. This paper examined the relationship between each two of Taiwan Stock Index , Taiwan Stock Index Futures and Mini Taiwan Stock Index Futures using Unit Root Test, Cointegration Test, Vector Error Correction Model and Granger Causality Test. The data were every-five-minute price measured from October 3,2005 to February 27,2006. The empirical results are as follows:
1.All the three series are stable series after first difference; therefore, they are I(1) series.
2.There was a long term cointegration vector existing between each two of three series; therefore, there were a long term balance relationship between each two of three series.
3.In the long term, the three series are all adjusted toward the equilibrium. Comparing the adjusted speed of three series, Taiwan Stock Index was the first, Mini Taiwan Stock Index Futures rated after Taiwan Stock Index, and Taiwan Stock Index Futures rated as the last.
4.Taiwan Stock Index Futures and Taiwan Stock Index affected each other. Mini Taiwan Stock Index Futures and Taiwan Stock Index affected each other. Both Taiwan Stock Index Futures and Mini Taiwan Stock Index Futures performed stronger function of price discovery than Taiwan Stock Index did. The power of price discovery function of Taiwan Stock Index Futures is similar to that of Mini Taiwan Stock Index Futures.
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