| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 99 === This paper is on the basis of the global financial crisis incident to compare the relation and impulse response among return, volume and open interest of Taiwan Stock Index Futures and the Msci Taiwan Stock Index Futures in the period of bull and bear market. The empirical conclusions are as follows: 1. The Granger Causality Test reveals that there is a bi-directional feedback relation of return and trade volume between the Taiwan Stock Index Futures and the Msci Taiwan Stock Index Futures in the period of bear market, but there is no relation in the period of bull market. In the period of bull market, we found the return of Msci Taiwan Stock Index Futures lead the trade volume of Taiwan Stock Index Futures, the return of Taiwan Stock Index Futures lead the trade volume of Msci Taiwan Stock Index Futures and the trade volume of Taiwan Stock Index Futures lead that of Msci Taiwan Stock Index Futures. Therefore, there is a one- way causality in the period of bull market, but there is no relation in the period of bear market. 2. In the impulse response analysis, in the period of bull and bear market, every variable, except Msci Taiwan Stock Index Futures impacting greatly on the return of Taiwan Stock Index Futures, has greater impact on itself during the first phase and makes positive response. In addition, the impulse response of Msci Taiwan Stock Index Futures is positive to every variable during the first phase, revealing that the pace of information transmission of return of Msci Taiwan Stock Index Futures is very fast. 3. In the forecast variance decomposition analysis, in the period of bull and bear market, every variable in Taiwan Stock Index Futures is sensitive to the variation of itself. It is not easily affected by Msci Taiwan Stock Index Futures. However, the return of Msci Taiwan Stock Index Futures is affected greatly by that of Taiwan Stock Index Futures.
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