| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === This paper employs smooth transition regression model, derived in Teräsvirta (1998), to investigate the non-linear relationship between spot prices and future prices of the stocks and using basis in stock market as threshold variable. The pre-SETS sample period covers the period from April 18, 1997 to October 17, 1997, and the post-SETS sample period will start on October, 20, 1997 and end on April 20, 1998. The empirical results confirm a sharper change from no adjustment to full adjustment in the post-SETS period than in the pre-SETS period. The transaction costs faced by arbitragers trading the spot and futures markets have been reduced since the introduction of SETS. As such, both markets have become more efficient.
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