A Study of Intermarket Trading Return for the Mismatch of Maturity
碩士 === 靜宜大學 === 企業管理研究所 === 93 === The research hopes to understand whether the contract maturity of TAIFEX （Taiwan Stock Index Futures） and MSCI Taiwan Stock Index Futures exist the expiration effect. The empirical result are find: In the maturity of TAIFEX, the expiration effect could exist in the...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/m3g255 |
| Summary: | 碩士 === 靜宜大學 === 企業管理研究所 === 93 === The research hopes to understand whether the contract maturity of TAIFEX （Taiwan Stock Index Futures） and MSCI Taiwan Stock Index Futures exist the expiration effect. The empirical result are find: In the maturity of TAIFEX, the expiration effect could exist in the relationship between the return rate of TSE Stock Index, TAIFEX Taiwan Stock Index Futures and MSCI Taiwan Stock Index Futures each other, but in the maturity of MSCI Taiwan Stock Index futures, they couldn’t find.
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