股價指數期貨不僅提供股票投資人一最佳避險管道，亦可有效紓解股市投機氣氛，使之轉嫁於期貨市場。然而，值得注意的是，不論在理論或實證上均推測，期貨市場會比現貨市場提早反應市場出現之新資訊，而影響到使用股價指數期貨避險的效果。是以對於股價指數期貨之價格行為所隱含之價格發現及領先效果，實有進行深入了解之必要。為此，本研究使用GARCH時間數列模型及GMM非線性迴歸估計式，檢定日本日經（Nikkei）225股價指數期貨與現貨價格行為之關聯性，並在不同市場狀況下，檢測有關領先效果之速度及其顯著性。實證結果顯示，週末效果及隔夜效果均顯著存在。此外，在領先效果方面，日資料並無顯著的領先或落後關係；五分鐘資料的期貨報酬率及報酬率殘差均領先現貨五分鐘，但報酬率波動之領先落後關係並不存在一定的形式。

　　　　　The use of hedging to reduce risk is a primary reason for trading index futures. However, it is worth noting that the futures market reflects new information before the spot market. This lead-lag effect will both complicate the pricing process and degrade the hedging performance for hedgers. To relieve this puzzle, this study seeks to present a numerical framework, and use generalized autoregressive conditionally heteroscedastic model (GARCH) to fit the time-series data and use generalized method of moments (GMM) estimator of nonlinear regression to investigate if the theoretical prediction that futures prices lead spot prices is supported and, if so, to see how long is the lag before spot prices catch up with futures prices. This study is aimed at providing evidence about the Nikkei 225 index futures contract traded on the Osaka Stock Exchange in response to the widespread interest in Japanese financial markets. The major empirical results are as following: 1. The daily data test rest results indicate that during the periods considered there is no contemporaneous relationship between the Nikkei 225 futures and spot markets. In the returns and return innovations of fiveminutes interval, there is evidence that the futures market leads the spot market about five minutes. But in test return volatility, there is no systematic lead-lag relationship between these two. markets. 2. The weekend effect and overnight effect are both significant.