This paper studies the relationship between futures and spot market for individual stocks in the Taiwan stock market. The data includes daily closing prices of the futures and spot market for individual stocks from 2010/1 to 2014/12. We apply unit root test, cointegration test, error correction model (VECM), vector autoregression model (VAR) and causality tests, impulse-response function analysis to examine the lead-lag relationship between price of stocks in the spot and futures markets. The study sampled 16 stocks and found that 10 stocks have spot price leading their futures prices. The study further investigates firm characteristics of the examined single stockin the Taiwan stock market. The results also show that spot price of stocks leads future price of stocks, a result consistent with the literature.
