| Summary: | 碩士 === 東吳大學 === 會計學系 === 93 === The TSEC Taiwan 50 Index（"TW50"）was launched on October 29, 2002. The first tradable index for the Taiwan market was created in collaboration with Taiwan Stock Exchange Corporation ("TSEC") and FTSE International Limited ("FTSE"). This Index covers the top 50 companies by total market capitalization. It provides investors with another instrument to take part in the Taiwan market. The derivative products of TW50 are TW50ETF and TW50 Futures, they are following the movements of TW50 making people interested in the changes of its rise and fall.
In the Taiwan market, the Taiwan Stock Exchange Capitalization Weighted Stock Index ("TAIEX"), Electronics index and Finance index are well known. There were only two partially set indices, i.e. Composite Stock Price Average index ("Composite") and Industrial Price Average index("Industrial ") until TW50 was launched. Therefore, there were 417 trading days from October 29, 2002 to June 30, 2004 to research the following topics：（1）differences of TW50 & the above-mentioned indices , （2）analysis of basic statistics of the aforesaid indices, （3）test of correlation, unit root, cointegration ＆ causality among the foregoing indices,（4）changes of TW50 constituents, and（5）effects of TW50ETF vs TW50 Futures.
The following result is to be achieved： （1）TW50 is representative of blue chip stocks; however, the replacement of its constituents seems too frequent.（2）TW50ETF has done fairly well; however, the trading of TW50 Futures has not been active enough and is gradually shrinking. （3） use of the test of correlation , unit root & causality. TW50 links with the above-mentioned indices（ TAIEX, Composite, Industrial, Electronics index and Finance index）, and it deserves to be introduced to investors for high correlation and feedback causality with TAIEX .
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