本文討論台股指數期貨、台灣50指數與台灣50指數股票型基金(ETF)三者間的價格發現關係，並以2005年5月16日解除台灣50指數成分股放空價格限制事件，觀察該制度的實施是否會影響彼此的動態價格關係。使用的資料型態為日內每5分鐘配對資料，研究期間為2005年2月16日至2005年8月9日，採共整合分析與向量誤差修正模型架構三者長短期關係，並輔以衝擊反應分析與預測誤差變異數分解觀察變數間短期動態過程。實證結果如下：
一、三變數存在共整合現象，顯示具有長期的均衡關係。
二、台股指數期貨是最具價格發現能力的市場，不但具有長期價格主導的地位，短期的價格變化亦對其他兩市場具有顯著的影響能力，領先程度可達20分鐘。
三、於放空價格限制解除前，台灣50指數的價格變動領先台灣50ETF達5分鐘，且僅存在單向影響；在放空價格限制解除後，台灣50指數與台灣50ETF的短期報酬則存在雙向回饋的關係，台灣50現貨市場亦參考ETF前4期(20分鐘)的價格變化調整當期價格，顯示放空價格限制的解除有吸引部分套利者從事台灣50成分股現貨的交易。
四、由衝擊反應分析與預測誤差變異數分解發現期貨對整個系統的影響力最大，而ETF來自於本身的衝擊與預測誤差變異比例均較制度實施前高。

The paper investigates the influence of price discovery among Taiwan Stock Exchange Capitalization Weighted Stock Index futures(TXF), TSEC Taiwan 50 index(T50Index) and Taiwan Top50 Tracker Fund(T50ETF) after exempting the short selling price restriction of Taiwan 50 index constituents on May 16th, 2005. The analysis is using matched 5-minute intraday data during February 16th, 2005 to August 9th, 2005. The conclusion can be summarized as following:
1.There is a cointegration relationship and long run equilibrium among TXF, T50Index and T50ETF .
2.The estimated coefficients of the vector error correction model suggest that price adjustment takes place only in the T50ETF market. In comparison of the long-term and short-term effects, the model designates TXF is the most significant market in price discovery; indeed, its short-term return can out-lead others by about 20 minutes.
3.Before exempting the short selling price restriction of T50index constituents, the return of T50Index leads T50ETF by approximately 5 minutes and only one directional relationship between them. Since the more frequent arbitrages after the event, the lagged returns of T50Index and T50ETF affect each other. The first 20 minutes T50ETF return has a mild positive impact on T50Index return.
4.Impulse response analysis and forecast error variance decomposition indicates TXF has the most influence over the system. Moreover, the impulse and the proportion of forecast error variance come from ETF increase after the event.

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