The Study of The Expiration Effect on MSCI Taiwan Stock Index Futures

• Main Authors: Chen, Cheng-Chu, 陳政助
• Other Authors: 蔡麗茹
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/65388733341719551192

碩士 === 輔仁大學 === 金融研究所 === 96 === With the money market opened to the world, mutual fund becomes the hit of the masses and so as to some financial products, Taiwan’s Stock market, The Weighted Index, which used to be led by individual investors, has transferred into a market governed by some foreign institutional investors. Therefore, futures and some optional, derivative financial products have been formed under the tendency of the liberalization of the financial market. The future market is growing to be mature, that is, the summation in the future market has transcended the stock market. No matter what purpose of common investors is either investment or speculation, it would be essential for them to be aware of the tendency that the structural transformation and the future market have greater influence than the stock market. After the weighted index established in Taiwan, MACI Taiwan Stock Index Future was set up in Singapore in 1997. Because of the liberalization of the money market and certain political factors, foreign investors operated the stock dealing in Taiwan while they had future trading for hedge in Singapore. MACI Taiwan Stock Index Future is settled every month; the recent researches indicated that the “Expiration Effect” of index would influence investor’s operation strategies. This study set N-days by date as the observation period, then to analyze the variable factors during this period. T-test and LOGIT were adopted to examine out the possibility of the reverse from the profit ratio of MACI Taiwan Stock Index Future and the most proper investing timing.