引入QFII交易就带头和波动行为：证据对台湾指数期货市场

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3.方法论
3.1协整检验和向量误差修正模型
首先，我们测试市场效率假说（MEH）在台湾指数期货市场通过检查是否协整关系（即长期均衡关系）之间的期货，现货价格和几个宏观经济因素存在，之前和之后的开放期货市场以QFII 。鉴于五个变量综合一阶，协整检验所提出的约翰森和JUSELIUS （1990）执行。如果有协整关系，期货，现货价格和几个宏观经济因素，那么我们表明，一些市场的低效率存在于台湾指数期货市场。
第二，协整系列， GRANGER因果关系检验，必须执行在相应的VECM的框架内，根据格兰杰表示定理所提出的恩格尔和格兰杰（1987年）。本研究采用VECM研究是否带头滞后之间的关系，期货与现货市场不同，为会前和会后QFII时期。控制的影响，宏观经济因素对之间的关系，期货与现货市场，我们把宏观经济因素纳入VECM。因此，本文采用以下VECM7的框架内与5变量的研究，带头滞后之间的关系，期货与现货市场的前QFII 后QFII ，和整个时期，分别为

Wen-Hsiu Kuo Department of Business Administration National Cheng Kung University and
Department of Finance Ling Tung University 1, Lingtung Road, Nantun 408 Taichung City, Taiwan
Shih-Ju Chan Department of Business Administration Kao Yuan University 1821,Chung-Shan Rd., Lu-Chu Hsiang Kaohsiung County 821,Taiwan
3. Methodology
3.1. Cointegration test and vector error correction model
First, we test the market efficiency hypothesis (MEH) in Taiwan index futures market by examining whether the cointegrated relationship (i.e., long-run equilibrium relationship) among futures, spot prices and several macroeconomic factors exists before and after the opening up of futures market to QFII. Given that the five variables are integrated of order one, the cointegration test proposed by Johansen and Juselius (1990) is performed. If there are cointegrated relationships among futures, spot prices and several macroeconomic factors, then we suggest that some market inefficiency exists in Taiwan index futures market.
Second, for cointegrated series, Granger causality tests need to be performed in the corresponding VECM framework according to the Granger Representation Theorem proposed by Engle and Granger (1987). This study employs the VECM to examine whether the lead-lag relationship between the futures and spot markets differs for the pre- and post-QFII periods. To control effects of macroeconomic factors on the relationship between the futures and spot markets, we incorporate the macroeconomic

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