新加坡國際金融期貨交易所(SIMEX)與美國芝加哥商業交易所(CME)已分別於民國八十六年一月九日分別開放台股指數期貨交易。而臺灣期貨交易所(TAIMEX)也於八十七年七月二十一日成立。從國外期貨交易經驗發現,股價指數期貨雖有其正面貢獻,但亦有其負面影響。其中最常被討論的是股價指數期貨對股票價格穩定性的影響。綜觀相關文獻,兩方面各持其論點。本研究以美國S&P500股指期貨與在新加坡SIMEX交易之日經225股指期貨為樣本。實證結果如下:1‧在CME上市的S&P500股價指數期貨不會影響現貨股價的波動。但在新加坡上市的日經225股指期貨交易會影響大阪日經225現貨股價的波動。2‧若同時考慮其他對股價波動有顯著影響的總體經濟因素,則S&P500股價指數期貨交易變動量對股價波動無顯著影響。但新加坡日經225股指期貨交易變動量對大阪日經225現貨波動的正向影響非常顯著。此與Granger因果檢定的結果一致。
Since both SIMEX listed MSCI Taiwan Index Futures and CME listed DJGI Taiwan Futures on January 9, 1997 respectively, there has been a wide spread argument concerning the impact of stock index futures trading on the SIMEX and the CME on the volatility of cash stock prices in Taiwan. The Taiwan Futures Exchange (TFE) has been in operation since July 21, 1998. The present researchers have been motivated to investigate whether the Nikkei 225’s listings on the SIMEX and S&P 500’s listing on the CME affect the volatility of spot stock price in the OSE and the NYSE respectively. The empirical results indicate that during any of the time periods studied, the S&P 500 stock index futures did not affect the volatility of the spot stock market. However, the Nikkei 225 stock index futures traded on the SIMEX significautly affected the spot stock market volatility on the OSE.