期貨與現貨市場的價格關聯性受到許多因素的影響，其中Chan (1992)與謝文良(2002)證實了期貨交易頻繁時會增強其價格發現能力，但是標的現貨流動性對此價格連動關係的影響，卻未多見文獻加以探討。如果期貨交易量會影響期貨與現貨的價格關係，那麼現貨交易量是否也會有影響？實證數據已顯示期貨交易量增加有助於其更快反應市場資訊，那麼如果現貨交易量或交易活動相對地改變時，是否也會使期貨價格發現功能變動呢？因此本研究結合雙變量EGARCH模型與誤差修正模型來探討標的現貨交易活動對期貨領先地位的影響，研究樣本為台股指數、電子類股及金融類股，並以每五分鐘之日內成交資料進行實證研究，主要的實證結果顯示電子類股及金融類股在EGARCH模型與誤差修正模型中，均證實標的現貨的交易活動會影響到期貨的領先地位，且標的現貨的交易活動越頻繁則期貨的領先地位會降低，反之則期貨領先地位增加。

　　Past empirical results show that the increase of trading volume of futures contract will result in the increase of its leading position. This study investigates whether the change in the spot trades will have a reverse effect on the price discovery capability of futures. The hypothesis of this work is that, the more active the trade of spot, the less the leading position of futures contracts, and vice versa. The research period is from 2002/8 to 2003/3, in which the relative changes in trading activities of three Taiwanese index spot and futures systems provide the necessary price data to test the hypothesis. By employing ECM and EGARCH to explore the price discovery and the volatility spillover for these three spot-futures systems, this article finds that, during the second study period, the leading capability of TAIEX index futures is decreased, while those of electronic index futures and financial index futures are increased. These results are coincident with the anticipations of the research hypothesis. The empirical finding supports the hypothesis that the trading activity of spot has impact on the price discovery capability of futures contracts.

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