過去研究忽略期貨市場受到情緒變數與現貨市場之群眾行為之影響，本研究分析台灣指數期貨之報酬率如何受到14個金融市場之情緒變數的影響，這些變數涵蓋現貨、期貨、與選擇權市場的變數，進而探討是否在期貨價格上漲或下跌時研究結果皆相似。首先，我們以橫斷面之絕對離散度（CSAD）模型、與狀態空間模型衡量台灣現貨市場的群聚現象，實證結果顯示，台灣現貨市場存在群眾行為。另外，實證結果發現，當現貨市場群聚程度較小時，指數期貨報酬降低，而當現貨市場群聚程度較大時，指數期貨之報酬增加。特別值得注意的是，在期貨報酬大幅下降期間，當現貨市場之群聚程度縮小，期貨報酬降低。此結果反映了在價格下降時，有較大的不確定性。而為考慮在期貨價格上漲或下跌期間，不同程度的群聚行為與其他的解釋變數的關聯性，呈現不同的結果，我們分別在正向、與負向之期貨報酬下，重新衡量前述的模型，而實證結果仍然是被支持的。

This paper addresses the impacts of sentiment variables and herding behavior on spot markets within the context of Taiwan Stock Index Futures. We examine the variance in the rates of return of the Taiwan index futures based on 14 sentiment variables. These 14 variables include the sentiment variables in the spot, futures, and options markets. This paper further examines whether the results are consistent during bear and bull market periods. This study uses the cross-sectional absolute deviation (CSAD) model and the state space model to measure the herding behavior phenomenon in the spot market in Taiwan. Our results reveal that herding behavior is present in the Taiwan stock market, with empirical results showing that the index returns on futures fall when herding behavior mitigates in the stock market and rise when herding behavior is prevalent in the stock market. Notably, sharp decreases in futures returns are associated with decreased herding behavior and lower futures returns. This finding may reflect a higher degree of uncertainty during downward price movements. The present study finds consistency in analysis results during both bull and bear market periods.