市場上總有保守投資人在進行投資時常考慮納入期貨訊息是否對現貨預測具有幫助，本論文主要是針對此類投資人，利用誤差修正模型進行台股期貨與現貨兩市場之價格發現以及擬定一套有效交易策略。此外也考量現貨市場預期風險效應與訊息不對稱性因此利用GARCH-M、TARCH與EGARCH建模，以及利用狀態空間模型以了解期貨市場對現貨市場之影響程度。實證發現台股期貨市場具有價格發現功能而現貨則無此功能，且現貨市場具有預期波動效應與資訊不對稱性。雖然期貨具有領先現貨之功能，隨著時間推移，市場日趨成熟而逐漸式微。在交易策略部分則建議此類投資人在進行投資分析時，可以考慮納入期貨資訊進行分析。

The thesis studies the relationship between Taiwan stock index and index futures for major conservative investors who are unwilling to use the margin in stock trading. We apply models such as VECM, GARCH-M , TARCH, EGARCH and state space model to demonstrate the impact on expected volatility and asymmetrical volatility for the stock market. The empirical results show that the futures market has the function of price discovery but the stock market does not. By the result of the state space model, we find that the information for the futures will diminish to explain the stock market by the time. For the purpose of trading, the use of the information of futures is suggested.

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