This paper uses a long memory model to analyze the MSCI Taiwan StockIndex Futures.We study the lead-lag relationship between Futures andSpots,and the charateristics of futures market.

• 摘要本研究主要是以缓长记忆模式对摩根台指进行实证，以期货与现货的领先--落后关系与期货市场的特性为主题进行探讨。