自衍生性金融商品上市以來,許多探討現貨與期貨市場關係研究不斷地出現,尤其是在衍生商品的交易對於現貨市場的影響,而當中的蔓延效果便是一個重要課題。根據 Fama(1970)效率市場的定義,具有價格效率(pricing efficiency)的市場,其交易價格將充分反應所有的市場資訊。據此推論以相同資產為標的 但在不同市場交易的有價證券,其價格對新揭露的資訊應同步調整,否則會有套利機會的存在。然而由於市場間存在不同的結構性(market structure)差異,使得訊息在不同市場的傳遞速度不具一致性,形成價格發現過程中的領先—落後關係。一般來說,投資人傾向在具有優勢結構的市場進行交易,使得該市場對訊息的反應較快速,在價格發現的過程中成為領先市場,一般稱這類市場具有價格發現的效率性。故本研究針對台灣現貨與期貨市場進行研究,探討2000年1月1日到2011年12月31日共2715筆日資料,進行分析臺灣期貨對現貨股票市場之蔓延效應分析。
Since the derivatives listed, many explore the cash and futures market relations to emerge, especially in derivatives transactions for the spot market, the spread effect is an important topic. According to Fama (1970) definition of the efficient market, price efficiency, pricing efficiency of the market, the transaction price will fully reflect all market information. Deduce that the same assets as the underlying Securities trading in different markets, the price of the newly revealed information should sync adjustment, otherwise it will the existence of arbitrage opportunities. However, due to the market between the different structural (market structure).Differences, making the message transmission speed in different markets is not consistent, the formation of the price discovery process. Lead - lag relationship. In general, investors tend to trade in the market with a superior structure making the market more rapid response to the message to become the leading market in the price discovery process.That these markets have the efficiency of price discovery. The Taiwan stock and futures market research, to investigate the January 1, 2000 to 31 December 2011, a total of 2715 document date information, to analyze the Taiwan Futures effect of the spread of the cash equities market.