本文以台股加權現貨指數、台股期貨指數與匯率為探討變數，利用VECM與VECM-GARCH藉以探討三者之動態關聯，並把時間分為三部分，結果顯示在VECM模型中，現貨與期貨在三部分時間裡皆互相影響，且期貨在2003年前後對現貨的影響力有所提升。匯率在第一部份時間裡對於現貨與期貨沒有顯著的影響，接著在第二部分中，對於現貨與期貨有顯著性的影響，最後在第三部分中對於現貨與期貨則沒有明顯的影響。可看出匯率對於現貨與期貨在長期下影響不明顯，但在短期下則影響較大。 接著在VECM-GARCH中，結果發現與VECM模型的結論相當，也就是現貨與期貨在長短期下會互相影響，且現貨影響力稍大，在經過2003與2006年期貨對現貨的影響力有所提升。匯率在長期下對於現貨與期貨沒有明顯的影響，在短期下對於期貨則有較明顯的影響。 綜合以上可得出現貨領導地位稍大於期貨，但期貨的在近幾年交易量增加後價格發現的功能有些微的顯現。 This thesis focuses on the Taiwan stock index, stock index futures and the exchange rate as of variables, and the use of VECM VECM-GARCH to examine the correlation among the dynamic, and time is divided into three parts, the results showed that in VECM, the stock and futures in three part-time are affecting each other, and futures influence stock after 2003 has improved. Exchange rate in the first and third part had no significant impact on the stock and futures, and then the second part, the stock and futures are significantly affected. We can see the exchange rate in the long-term has no impact on the stock and futures, but in the short term while the influence larger. Then in VECM-GARCH, the results we found is keeping path with VECM model, which declare an interactive relationship between stock and futures both in short and long-term period, and the stock influence is larger. After 2003 and 2006, futures influenced the stock had improved. Under the long-term, exchange rate has no apparent impact on the stock and futures, but in the short term the influence has more pronounced impact. Based on the above, can be known stock appear to be the informational leading market, but the dominant role of futures becomes more significant after the government policy.
