傳統上，台灣發行量加權股指數相關商品市場包括台指期貨及相對應之現貨。指數股票型基金 (又稱為ETF)，是一種指數證券化的衍生性新金融商品。在台灣，首檔指數股票型基金: 臺灣50指數ETF在臺灣證券交易所上市後，投資人除可由購買指數期貨或指數相同成份之股票參與台股指數的報酬率之外，亦可以透過買賣ETF的方式，獲取與台股指數變化同步的報酬。ETF除了有提供交易指數之功能，ETF的交易價格是否亦可以對台股指數水準提供「價格發現」的資訊揭露功能？ETF是否能取代指數期貨成為最具價格發者？ETF的相對價格效率性，可說明資訊交易者在實現其資訊利益時的市場偏好，故而闡明影響市場價格發現功能的關鍵因素。因此，了解各市場價格對於新資訊的反應能力，使實務者能採取更佳的投資策略；管理者亦能研擬設計有助於價格發現的相關市場制度，是一項重要的課題。
本論文採用臺灣50指數ETF上市前 (民國92年1月1日至92年6月29日) 與上市後 (民國92年11月1日至民國93年4月30日) 之日內五分鐘價格資料，分析臺灣50指數ETF、台指期貨與台指現貨的價格發現功能及動態資訊傳遞過程。以向量自我迴歸模型將三市場同時納入考量，並以Granger 因果分析、衝擊反應與變異數分解等方法進行三市場間之短期價格互動關係研究。
樣本期間的實證結果顯示，短期而言： (1) 期貨市場仍最具價格發現的功能，其次為現貨市場，而ETF價格變動之領先效果最不明顯。推論上述結果係因ETF市場相對其他二市場之交易較不熱絡，無法吸引資訊交易者的偏好，故顯示出市場上較不具價格效率性。(2) 臺灣50指數ETF、台指期貨與台指現貨三市場，彼此之間，均有雙向的資訊傳遞，意味市場間資訊相互影響，期貨市場仍需要股票和ETF市場的資訊協助而非獨自發現價格。亦即，衍生性新金融商品ETF亦扮演著揭露台股指數價格資訊的角色。

The TAIEX-related markets have traditionally comprised the TAIEX futures and the TAIEX spot market for their component stocks. This picture has, however, been altered by the advent of the Exchange Traded Fund (ETF): the Polaris Top 50 Tracker Fund (TTT). Has the launch of an ETF provided an index-alternative vehicle with a price discovery property in the short-run, and how can the relative rate of price discovery in this new index-mimicking security shed light on the essential factors regarding the efficiency of price discovery? The issue of comparing the informational efficiency among financial markets is not only important in helping practitioners formulate profitable trading strategies, but it is also useful for both regulators and researchers in designing a securities market.
To investigate the above issues, this study use intraday price changes as an information proxy to analyze the information transfer across the TAIEX-related markets. Specifically, before the listing of the TTT, the sample period runs from January 1, 2003 to June 29, 2003, and consists of the observations for TAIEX futures and the TAIEX. After the listing of the TTT, the sample period spans from November 1, 2003 to April 30, 2004, and consists of the observations for TTT, TAIEX futures and the TAIEX. Based on the VAR model, Granger causality tests, impulse response analysis and forecast error variance decomposition are applied to identify the short-run price discovery efficiency and information transmission dynamics among the markets.
During the sample period, the overall evidence indicates that all three markets contribute to the information transmission process, suggesting an informational role of the ETF in the short-run price discovery. However, the futures market remains the informational leading market, followed by the spot market and only then the TTT. Contrary to findings in U.S. equity index markets, the TTT is less efficient in terms of discovering the information. The reason for this is that, in Taiwan, the newly- established ETF market is traded less heavily, thereby inducing an inferior price discovery function.

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