| Summary: | 碩士 === 淡江大學 === 國際貿易學系 === 89 === Abstract：
In recent years, futures have become indispensable instruments in the international financial market. The SIMEX MSCI Taiwan Stock Price Index futures have been launched on 9 January 1997 and the TAIFEX Taiwan Stock Price Index futures have been launched on 21 July 1997. Since stock price index futures are intended to provide hedges against risk of selecting individual stock which can attract foreign fund to Taiwan stock market, its launch will attract 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（including rate-of-return, investment risk, speculative behavior and sharp appreciation v.s. depreciation）, the sluggishness of responding the market information, and after performance evaluation, to evaluate SIMEX MSCI Taiwan and TAIFEX Stock Index futures which can show the value of investment, 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 an investment instrument of high rate-of-return, high investment risk, more speculative color, and more sharp appreciation and depreciation. The SIMEX MSCI Taiwan Stock Index futures really has its value of existence because the investment environment provided by it will be better than other financial instruments. In SIMEX MCSI Taiwan Stock price index spot is also more sluggish in responding the market information. When we use the FPE method, there is one-way causality in spot model, feedback causality in futures model. In TAIFEX, there is feedback causality in spot model, one-way causality in the future model. By Chow test, we find TAIFEX and SIMEX stock index futures has wicked structure change.
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