Because of continued integration of the financial markets, it makes the international liquidity improve and the degree of mutual influence in market increase. In the other hand, the investment tools become more innovation and diversification. The scale of Taiwan’s futures market is smaller than other countries. The Financial crisis made our government to cut the tax of futures in October 6, 2008 and change the Futures settle-ment in December 17, 2008. Our government wants to expand the scale of Taiwan’s futures market and increase Taiwan’s futures market’s competitiveness.
This report wants to approach the relevance between Taiwan stock market and fu-tures market after government cut the tax of futures, and set up three main point-in-time, one period is Lehman Brothers collapsed in September 15, 2008, the other period is our government cut the tax of futures in October 6, 2008, another pe-riod is our government changed the Futures settlement in December 17, 2008. We di-vide the period to six sub-periods and Use time series methods to approach tax cuts how to influence the relevance between Taiwan stock market and futures market and come to analysis the change of before and after tariff reduction. Research results show that futures to bring price discovery function after Futures tax cut.
