台灣證交所爲了活絡市場，健全金融體系與考量避險者的需求，遂英國富時公司合作編製一個簡單又具有代表性的「台灣50指數」，其所挑選出的五十檔個股中，包括了電子、金融保險、塑膠、紡織及其他產業等，皆為台灣具有指標性的公司。其後根據此指數推出相關性的商品，如台灣50指數期貨與台灣50ETF等，本研究的目的在利用相關的計量模型作分析工具並找出台灣50ETF、台灣50指數期貨與現貨市場間的價格發現關係，進而提供相關主管機關未來設計新的期貨商品時之參考。 經過實証分析後我們發現，三種商品價格都存在領先與落後的關係，只是在強弱程度可能有不盡相同的地方，但可作為買賣訊號的參考指標，也就是具有價格發現效果。 Taiwan Stock Exchange Corporation wants to increase the liquidity of the market and constructs a healthy financial environment, so cooperating with FTSE to arrange a simple and typical index, called “TSEC Taiwan 50 Index”. The fifty stocks include the representative firms in several industries of Taiwan stock market. Base on this index, Taiwan Stock Exchange Corporation promotes several derivates such as exchange traded funds and futures. The purpose of this thesis is to use time-series model to analyze the price discovery between Taiwan 50 Index Exchange Traded Fund, Taiwan 50 Index and Taiwan 50 Index Future, and to provide information for the Authority in product design in the coming years. In our empirical evidence, there products have lead-lag relationship, but there is little difference in strength. However, it still can be seen as a signal when people decide to invest, so this relationship is so-called price discovery.
