本研究利用1998年7月21日至2007年3月22日間的台灣加權股價期貨與現貨每日收盤價，探討期貨價格的跳躍行為對現貨價格與波動性的影響。本研究修正Chan and Maheu(2002)的ARJI模型為EGARCH(1,1)-ARJI模型，捕捉期貨價格跳躍行為，再將期貨跳躍行為加入現貨價格與波動性模型中，探討期貨價格跳躍行為對現貨價格與波動性的影響。本研究發現，當期與落後1期的期貨價格跳躍行為顯著影響當期現貨價格，即期貨價格跳躍行為扮演價格發現功能；而當期與落後1期的期貨價格跳躍行為也顯著影響當期現貨波動性。期貨價格跳躍行為發生仍支持具有價格發現功能，此結果可提供投資者決策參考。 This research is to investigate the effects of futures price jump behavior on spot price and volatility. The sample covers the daily prices of TAIEX futures and TAIEX from July 21, 1998 to March 22, 2007. EGARCH-ARJI model, proposed by Chan and Maheu(2002), is modified to be EGARCH(1,1)-ARJI model for capturing futures price jump behavior. Then the effects of futures price jump behavior on spot price and volatility is tested by involving futures price jump behavior. The resultants are not only the futures jump price behavior exists significantly lead-lag relationships on spot price but also on spot volatility, i.e., the futures price jump behavior has played an important role of price discovery on spot’s price and volatility, which can provide a reference to investors for making decision.
