股價指數其貨不論在理論或實證研究上，大多預測期貨市場對於新資訊的反應能力較現貨市場快，且可能加速現貨市場反應新資訊速度，亦即隱含若存在明顯的領先落後關係，股指數期貨與股票現貨市場間便具有套利機會，基此本研究選取1998年9月21日至12月19日的交易資料，共2,465組股指數期貨與指數現貨價格之每5分資料，以共整合、誤差修正模型、Granger因果關係，進行研究「TAIFEX臺股」、「SIMEX臺股」之期貨與其現貨價格間之連動情及領先-落後(lead-lag)關係，亦即分別探討臺股期貨市場間對於新資訊之流動方向，及最近期、次近期期貨和現貨間的日內價格發現能力，在價格上何者具有預測另一者的能力。

In the past studies predicted that the stock index futures is more sensitive in responding to a new information than the spot markets, and they may promote the liquidation of spot markets. In other words, it implies the existence of lead-lag relationships, and hence there are arbitrage opportunities over the intermarket transaction. Taiwan stock index future is a new market. Does it exist above relation ships? Therefore, this study picked up 2465 data, every five-minute intraday data on prices of each Taiwan Stock Index future and spot price on the period from September 21st, 1998 to December 19th, 1998, to find the lead-lag relationship and dynamic interaction of futures and spot prices between TAIFEX and SIMEX (Singapore International Monetary Exchange) with cointegration, Error Correction Model (ECM), and Granger Causality test. Meantime, this study explores the flow direction of entrancing information and the intraday price discovery at the spot and futures markets. And which is capable of predicting the other one? The results of this empirical test are: 1. Unstability of all five series. That is, do not reject the unit root null assumption. It is stable after one difference. 2. Cointegration of price series. It means that the relatively prices among SIMAX, TAIMAX, and spot markets are steadily consistent for a long term. 3. Price feedback with each market. Available information held by the investors at one market will reflect into the other market. Both of the markets play the price discovery function. This implies that an arbitrageur have to follow the trends of both intermarkets and intramarkets. 4. For SIMEX, futures lead spot; for TAIFEX, spot leads futures. I discover that, for SIMEX, the next near futures also led the near futures. I explained the results as higher transaction cost and unfamiliarity with TAIFEX. 5. Response never exceeds 45 minutes. As to the responding ability of new information, this study use five-minute interval so that its result also indirectly verified the responding timing of Taiwan Stock Index Futures and sport will not be more than 45 minutes. 6. Spaces do not interfere with the spread of information. Singapore possesses the superiority in information and price lead. It indicates that the information of Taiwan Index Futures prevail very fast and is not bounded with territories. I explain it as (1) an open bid system for SIMEX that help gather people, and it opens 15 minutes earlier than TAIFEX. Moreover, the there is an extra electric transaction system in the afternoon the TAIFEX lacks. Therefore, we must pay attention to the open ask-bid prices of SIMEX that may influence the domestic spot prices, and the closed ask-bid prices of SIMEX that may influence the domestic spot prices of TAIFEX. (2) SIMEX ix contained with 77 basket stocks only. Arbitrageurs profit easier in SIMEX and spot markets All in all, the Taiwan Stock Index Futures and Spot market influenced each other, and the price is a type of feedback relationship. For the price of SIMEX lead the spot market, it can be a target for predicting spot price.