我國的交易機制，期貨較現貨提早開盤和較遲收盤，因此本論文的焦點即在探討在這交易時間差距中，是否隱藏著私有訊息及期貨與現貨領先落後關係。本論文利用不對稱EGARCH模型，研究資料為2003年1月1日至2004年12月31日，共484筆台灣指數、台灣指數期貨與美國那斯達克指數日內分鐘資料，實證結果如下：1.預期前期收盤後未預期期貨報酬、當期開盤前未預期期貨報酬、前期那斯達克指數與隔夜現貨報酬之間存在正向關係。2.當期開盤前未預期期貨報酬、前期那斯達克指數與當期現貨報酬之間存在正向關係。 In Taiwan, futures market opens earlier and closes later than spot market, and futures market leads spot market. The purpose of this research is to investigate whether the difference in trading hours contain useful information about spot returns and the lead-lag relation between spots and futures. This research uses asymmetric EGARCH model with total 484 intraday trading data of Taiwan Index, Taiwan Index Futures and NASDAQ Index covers from 2003/1/1 to 2004/12/31. The empirical results are as follows:1. There is a positive relation between NASDAQ index, unexpected futures return during pre-open and past-close extended session and overnight spot return.2. There is a positive relation between NASDAQ index, unexpected futures return during pre-open extended session and regular hours spot return.
