本論文採用1998年7月21日至2014年12月31日之台灣加權股價指數與指數期貨的日資料進行實證分析，探討台指期貨基差對股票市場流動性的影響。實證結果發現指數基差存在波動群聚的現象(Volatility Clustering)，同時指數基差對股票市場流動性產生負向顯著的影響性。當指數基差愈大，則會顯著地降低股票市場的流動性。 Using daily data on Taiwan Index Futures over 21 July, 1998 to 31 December, 2014, this these empirically investigates the impacts of the Index Futures Basis on liquidity of stock market. Our empirical results indicate that Index Futures Basis presents volatility clustering while Basis has significantly negative impact on stock market liquidity. This implies that the larger basis could significantly reduce stock market liquidity.
