當現貨與期貨價格偏離長期均衡關係時，在現貨與期貨市場可能存在著套利機會。本研究以1998年7月21日至2015年12月31日台灣指數現貨與期貨每日交易的收盤價格為研究樣本，利用門檻誤差修正模型，探討不同的套利策略的可能性，並且利用共同因子權重，探討現貨與期貨價格發現的角色。此外，本研究設定不同的套利門檻值，進行頑強性分析的探討。 本研究發現，現貨與期貨報酬除了會受到本身與對方前一期或前二期報酬的影響，且皆會受到前一期誤差修正的影響。當進行頑強性分析，儘管存在套利機會，但不同套利策略，亦對現貨與期貨報酬沒有影響。最後，研究發現現貨共同因子權重部分皆大於期貨，表示現貨與期貨在價格發現的過程中，現貨扮演著較重要的角色。 As the stock and futures prices are deviated from long-run equilibrium relations, there might have arbitrage opportunities between the stock and futures markets. This study use the daily closing price of the Taiwan stock and futures for study samples from July 21, 1998 to December 31, 2015. This study apply the threshold error correction model to explore for the possibilities of arbitrage strategies. Meanwhile, this study apply the common factor weight to explore the role of price discovery for stock and futures. In addition, this study investigate the robust analysis for difference threshold values of arbitrage. This resultants find the stock and futures returns which were influenced by itself and the other for lag-one and lag-two period. Also, the stock and futures returns were influenced by lag-one error correction term. Although there have arbitrage opportunities, different arbitrage strstegies don’t affect the stock and futures returns for robust analysis. Finally, the common factor weight of the stock is bigger than the futures, meaning the stock play an important role during the process of price discovery.
