經歷過2007年到2008年這段期間是世界百年難得遇到的金融風暴，從次貸、二房危機到雷曼兄弟倒閉，AIG、Citi Bank…等,國際性的百年機構紛傳危機，風暴中心由美國華爾街吹向全世界，甚至危及部份國家亦傳出財政困難，如丹麥…，金融市場一時之間哀嚎遍野，本研究特以2008年之資料來探討此期間之期貨及現貨關聯性探討。
本研究針對台灣指數期貨與台股現貨二個市場，以報酬率與成交量變動率分別代表價量，先利用ADF檢定報酬率與成交量變動率二變數，再利用向量自我迴歸模型(VAR)之衝擊反應分析與預測誤差變異數分解，藉此瞭解價量間的關聯性，並衍生成為交易策略作為實務用途。
由向量自我迴歸(VAR)模型分析得到結論
(一)衝擊反應結果分析：
台指期報酬率對台股現貨報酬之影響有三期(三日);至於台股現貨報酬對台指期報酬率之影響亦有三期(三日)，但台指期報酬率與台股現貨報酬對台指期與股現貨之成交量變動率較無影響。
(二)預測誤差變異數分解結果分析：
雖然台指期與台股現貨報酬率、台指期與台股現貨成交量變動率等的預測誤差變異由自身解釋的程度都相當高(皆大於90%以上)，顯示此四個變數之外生性都很強，但台指期報酬率仍然可看出領先台股現貨報酬率變動。
最後以模擬交易策略來驗證此一期間得到採積極在考量交易成本的情況下，不論是在上漲、盤整與下跌期間其報酬率均為正且高於實際報酬率，可提供投資人在實務上交易的參考。

Though the period between 2007 to 2008 where is one of the unique experience of the financial turmoil in the world, from the Sub prime mortgage crisis, the bankrupt of Lehman Brothers, AIG, Citi Bank ... and so on, an international financial crisis occurred in a century enterprises, including the eye of the storm “Wall Street” by the United States toward the world, and even endanger some countries discovered financial difficulties, such as Denmark, ..., financial markets, a sudden screams everywhere. Thus, this study collect database in 2008 which explore the relation between the volume of futures and spot prices associated each other.
This research is concentrated on Taiwan Index Futures market and TAIEX Spot market, which the database is based on the return rates and turnover rates to present the price and volume. The primary step is to estimate return rates and turnover rates by using ADF. The second step estimate impulse response analysis and forecast error variance decomposition by using VAR. The empirical regression results will analysis the relation between price and volume that will be the purposes for practical trade strategy.
The empirical regression result form VAR regression model:
(1)The result from impulse response analysis:
There are totally three trade days contemporize impact between Taiwan Index Futures market and TAIEX Spot market. However, in spite of the causation in trade volume has coincide influence but not significant.
(2)Estimate and analysis error variance:
The fluctuation returns and trade volume on Taiwan Index Futures market’s and TAIEX Spot markets’ R² bigger than 0.90 it shows that the regression model has excellent interpretation competence and strong exogenous variables, Moreover, the Taiwan Index Futures market’s return has led compare with TAIEX Spot market.
Finally, to simulate the trading strategy to verify that this period be proactive in considering the case of transaction costs, no matter in the rising period of consolidation and the decline rate of their remuneration is higher than the actual rate of return and provide investors in practice reference to the transaction.
Keywords: Taiwan stock market index, stock price index, Taiwan Index Futures, price volume relationship.

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