本研究針對指數股票型基金(ETF)的導入期進行價格發現的先期評估。研究期間為2003年6月30日至2003年9月30日，以日內資料分析臺灣期貨市場、現貨市場與指數股票基金的價格發現功能與資訊分享的過程。Johansen的共整合模型顯示，樣本期間中臺灣股指數期貨、臺股指數現貨與EFT的價格間一共長期趨勢，三者呈共整合形式。同時根據Gonzalo and Granger(1995)的永久-暫時模型和Hasbrouck(1995)的訊分享模型，臺股指期貨在價格發現的過程中貢獻最多，其次為ETF，最後為臺股指數現貨。由於臺灣的ETF市場正處於萌芽期，此結果與其他成熟市場相較，ETF領先臺灣股指數現貨的價格發能力並不明顯，期待在其他交量持績放大下，臺灣首支指數股票型基金-TTT有增進價格發能力的空間。

This paper investigates the price discovery and the contribution of each index-related security to the evolution of an implicit optimal forecast“ index price in introducing Exchange Trade Fund (ETF) into Taiwan Stock Market: the index futures, spot index, and EFT. Using matched synchronized intra-day trading data, we find that the index future, spot index and ETF are cointegrated markets with one common stochastic trend. Two well-known common factor models, the permanent-transitory model proposed by Gonzalo and Granger (1995) and the information share model proposed by Hasbrouck (1995) are used to measure the contribution of these markets to price discovery process. This study uses TEJ intra-day data form June 30, 2003 through September 30, 2003. In both models, we find that the index future contributes the most to the price discovery process. ETF has more contribution to the price discovery process than the spot index has, but the contributions of spot index and EFT are not significance.