| Summary: | 碩士 === 淡江大學 === 國際貿易學系 === 86 === In recent years, futures contracts have become indispensable
tools in the international financial market. The SIMEX MSCI
Taiwan Stock Index futures contract has been launched on 9
January 1997,since stock index futures are intended to provide
general hedges against risk of selecting stocks with considering
the stock market movements, and TAIEX is the most popular
measurement for Taiwan stock market, its launch attracts the
attention of domestic investors.According to this situation, we
propose this project to observe and analysis the data during the
study to find their differences in characteristics of stock. We
also would like to know the differences in characteristics of
stock between the newbrand financial instrument-Taiwan Stock
Index futures contract and other international Stock Index
futures contracts which have been growing longer and maturer,
and after performance evaluation, if Taiwan Stock Index futures
contract can show the value that investors admire. We use SIMEX
MSCI Taiwan Stock Index futures contract as our research object,
and we select TAIEX as well as S&P500 Stock Index futures
contract for comparison and reference.The study has shown its
result as follow:For the performance of four characteristics of
stock, as compared with stock index cash, stock index futures
contract is a investment tool of high risk, speculative behavior
more thickened, the sharply appreciation and depreciation got
more serious. Similarly, the SIMEX MSCI Taiwan Stock Index is
stronger in these three characteristics of stock in comparison
with maturer S&P500 Stock Index. Besides, we can find the
differences in rate of return, negative basis, and open effect
between SIMEX MSCI Taiwan Stock Index and TAIEX.If we handle the
five indexes discussed in the study as five independent
financial goods, we will find that for entire investment
environment provided by these five financial goods, SIMEX MSCI
Taiwan Stock Index futures contract really has its value of
existence because the investment environment provided by it will
be better than other financial goods.
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