指數股票型基金(Exchange Traded Fund, ETF)起源於1990年的加拿大多倫多證交所所推出的TIPS，而過去文獻中，許多學者皆在探討指數現貨、指數期貨、ETF三者間或二者間的關係，大部份著重於價格發現研究。本文探討「台指現貨與台指期貨」及「台指現貨與台灣50 ETF」及「台指期貨與台灣50 ETF」價格之因果關係及領先與落後關係，利用誤差修正模型和Granger因果關係、EGARCH模型探討「台指與台指期」及「台指與台灣50 ETF」及「台指期與台灣50 ETF」價格之因果關係及領先與落後關係。
　　研究發現，ECM模型方面，「台指現貨和台指期貨」在長期關係互有領先關係，在短期關係而言，台指期貨較具領先地位，「台指現貨與台灣50 ETF」方面，台指現貨在長期關係領先台灣50 ETF，在短期關係而言，台指現貨較具領先地位，「台指期貨和台灣50 ETF間」長期關係無顯著的領先關係，在短期關係而言，台指期貨較具領先地位。EGARCH模型方面，發現台指現貨和期貨之間存在領先落後關係、台指現貨和台灣50 ETF之間存在領先落後關係、台指期貨和台灣50 ETF之間存在領先落後關係。
　　彙整上述結果，交易成本假說、交易限制假說、槓桿假說以及市場資訊假說皆會影響價格發現的功能，而本研究實證大多驗證了先前學者所提出的假說，即台指期貨市場領先台指現貨市場以及台指期貨市場領先台灣50 ETF市場。

　　Exchange Traded Fund (ETF) began trading on the TSE (Toronto Stock Exchange) in March 1990 that developed Toronto 35 Index Participation units, also known as TIPs. In the past literature, many scholars investigated the lead-lag relationship among stock index, index futures and ETF. The purpose of this paper is to investigate price discovery and lead-lag relationships in three markets: “Taiwan stock index-Taiwan stock index futures”, “Taiwan stock index-Taiwan Top 50 Tracker Fund”, and “Taiwan stock index futures-Taiwan Top 50 Tracker Fund”. In this study, we examine all data by error-correction models and Granger Causality Test and EGARCH model.
　　The results from ECM show that: (1) In the short-term, Taiwan stock index futures lead spot, Taiwan stock index lead TTT, and Taiwan stock index futures lead TTT. (2) In the long-term, Taiwan stock index and Taiwan stock index futures have a feedback relation, Taiwan stock index lead TTT, and no significant lead-lag relationship exists between Taiwan stock index futures and TTT. The results from EGARCH show that there exists a two-way return volatility effect and a two-way return spillover effect in any two markets.
　　In summary, all the trading cost hypos thesis, the uptick rule, the leverage hypothesis, and the marketwide information hypothesis are explainable for the price discovery. Results of this study show that Taiwan stock index futures lead spot and Taiwan stock index futures lead TTT.

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