一般金融市場中的投資人依據技術分析、基本面分析，或籌碼面分析，擬定自己的交易策略。以 Granger 因果關係的定義而言，若期貨與現貨間存在領先落後關係，則如果能捕捉到一方領先透露的訊息，將增加另一方的預測績效，有助於擬定交易策略。本論文以台股指數現貨與期貨做實證研究，利用VECM檢測領先落後關係，並提出交易策略。結果顯示在不考慮交易成本下，利用統計模型所建構的交易策略比長期投資法以及技術分析法，顯著提高了報酬率，但考慮了交易成本後報酬率卻不如長期投資法，此結論與Brooks,Rew and Ritson(2001)一致。此外現貨對期貨的影響力，隨著期貨市場日趨成熟漸趨式微，反觀期貨對現貨的影響力卻逐漸擴大，預期未來台指期貨的價格發現功能將越來越顯著。

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