Research on Contract Specifications and Arbitrage Opportunities of US Dollar-Denominated Taiwan Stock Index Futures
碩士 === 國立臺灣大學 === 財務金融學研究所 === 87 === SIMEX introduced MSCI Taiwan index futures on Jan 9 1997,and TAIMEX introduced Taiwan Stock Exchange Capitalization Weighted Stock Index futures (TAIEX Futures) on Jul 21 1998. The sum of Taiwan index futures trading volumes in Taiwan and Singapore is...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/72037886505228373619 |
| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 87 === SIMEX introduced MSCI Taiwan index futures on Jan 9 1997,and TAIMEX introduced Taiwan Stock Exchange Capitalization Weighted Stock Index futures (TAIEX Futures) on Jul 21 1998. The sum of Taiwan index futures trading volumes in Taiwan and Singapore is only 10% of spot market volumes, and we believe that it still has great potential for long-term growth . US dollar-denominated Taiwan stock index futures may act as a partial substitute for NT-dollar foreign exchange futures when NT-dollar foreign exchange futures not be introduced.The main purpose of this study are to discuss the contract specifications and arbitrage opportunities of US dollar-denominated Taiwan stock index futures.
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