| Summary: | 碩士 === 實踐大學 === 企業管理研究所 === 88 === ABSTRACT
This study employed an Error Correction Model （ECM） to test the effect of information transmission between stock price and stock futures of Taiwan. The research is divided into three groups: group one（TSE Electronic Sector Index , Futures and TSE Capitalization Weighted Stock Index Futures）, group two（TSE Banking and Insurance Sector Index , Futures and TSE Capitalization Weighted Stock Index Futures）and group three（TSE Stock Exchange Capitalization Weighted Stock Index , Futures ,and MSCI Taiwan Stock Index Futures）.
The results of the study are listed below：
First, in unit root test, each of the series displayed non-stationary. This supports that the stock index follows a random walk process.
Second, in cointegration test, a cointegration equation is found in each group.
Third, Granger causality test, shows that TSE Electronic Sector Index spot cause futures and Taiwan stock index futures cause electric futures in group one. Finance spots and Taiwan stock index futures have the 「feedback」relation and Taiwan stock index futures cause financial futures in group two. Taiwan stock index futures and Taiwan stock index spots have the 「feedback 」relation and MSCI Taiwan index futures cause Taiwan stock index spots and futures.
Fourth, in forecast error variance decomposition, Taiwan stock index futures volatility has very high explanation power to the volatility of electron spots and futures. Finance spots volatility has very high explanation power to the volatility of finance futures. MSCI Taiwan index futures volatility has very high explanation power to the volatility of Taiwan stock index spots and futures.
Fifth, in impulse response function, the shock of each series has influence on other series when it vibrates, but very small.
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