The Hedging Effectiveness Between TWSI Cash Index and Futures of SIMEX MSCI,CME Dow Jones Taiwan Indices

• Main Authors: HSU, CHI-FENG, 徐其峰
• Other Authors: Hwang, Dar-Yeh
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/30181314344536414030

碩士 === 國立臺灣大學 === 財務金融學研究所 === 86 === SIMEX and CME individually introduced the futures based on MSCI and Dow Jones Taiwan Index on January 9 of 1997. The comparison of hedging effectiveness of SIMEX MSCI, CME Dow Jones Taiwan Index futures on TWSI cash index is investigated in Bayesian approach using Gibbs Sampler. The variance ratio test about the two futures price behavior is proceeded. Lead-lag relation and price transmission are also examined. In addition, the effects of the deregulation of Taiwan authorities and depreciation of New Taiwan Dollars are studied. Results show that SIMEX MSCI Taiwan index futures is significantly superior to CME Dow Jones'''', and the hedge ratio and hedging effectiveness are significantly influenced by the deregulation and depreciation. Both the two Taiwan index futures do not follow the random walk process. Negative autocorrelation is found in SIMEX MSCI futures and positive autocorrelation in CME Dow Jones''''. On the aspect of lead-lag relation, we found cash market leads futures market and the cointegration with cash is found in each of the two index futures.