The Analysis of Relationship Between Stock Index Cash and Futures of SIMEX MSCI Taiwan

• Main Authors: Meng-Jane Wu, 吳孟展
• Other Authors: Yuh-Kong Lee
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/06669611243114252385

碩士 === 淡江大學 === 國際貿易學系 === 87 === Title of thesis: The analysis of relationship between Total page: 69 SIMEX stock price index spot and futures Key word: stock price index spot, stock price index futures, causality, characteristics of stock, SIMEX Name of Institute: Graduate Institute of International Business, Tamkang University Graduate Date: June, 1999 Degree Conferred: Master Name of student: Meng-Jane Wu Adviser: Dr. Yuh-Kong Lee 吳孟展 李又剛 博士 Abstract: In recent years, futures contracts have become indispensable tools in the international financial market. The SIMEX MSCI Taiwan Stock Price Index futures contracts have been launched on 9 January 1997. Since stock price index futures are intended to provide general hedges against risk of selecting individual stock which can attract foreign fund to Taiwan stock market, its launch attracts the attention of domestic and foreign investors. In our paper, we propose to observe and analyze the datum during the period of study to find their differences in characteristics of stock, the sluggishness of responding the market information, and the causality pattern between stock price index spot and futures. The study can find following empirical results: For the performance of four characteristics of stock, as compared with stock price index spot, stock price index futures is a investment tool of high investment risk, more speculative behavior, and more sharp appreciation and depreciation. Stock price index spot is also more sluggish in responding the market information. When we use the traditional FPE method , there is feedback causality in spot model, but one-way causality in futures model. Replacing with the modified FPE method, we find there are feedback causality in both spot and futures model. If we regard the number of FPE as the criteria, the traditional model is better than the modified model.