The Analysis of Relationship Between Stock Index Cash and

• Main Authors: Su, Yi-Ping, 蘇逸平
• Other Authors: Lee You-Kong
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/51860514553334937289

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.