本研究探討美國次級房貸問題引發的全球金融危機對台灣股票與期貨市場流動性造成的影響，利用了四個流動性的衡量指標，以台灣股票集中市場與期貨市場中的股價指數期貨為實證對象，計算市場流動性的數值。實證結果發現，衡量指標較一致的顯示股票市場之流動性在全球金融危機發生時有變差的現象，期貨市場流動性則依不同估計方式有不一樣的結果，但臺股期貨與小型臺指期貨在金融危機發生時用不同指標衡量卻多指出其流動性為增加，有較一致的結論，金融危機使台股整體的現貨市場與連結大盤指數的期貨市場產生流動性反向變化之情形。

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