黃達業Hwang, Dar-YehDar-YehHwang2006-07-262018-07-092006-07-262018-07-091999http://ntur.lib.ntu.edu.tw//handle/246246/16234TSE and SIMEX individually introduced the futures based on TAI-Index and MSCI Taiwan Index since July 21, 1998 and January 9 th , 1997 respectively. We first investigate the hedging effectiveness of TSE TAI-Index and SIMEX MSCI Taiwan Index futures on TWSI cash index first in Bayesian approach using Gibbs Sampler. Secondly, we perform the variance ratio test about the two futures price behavior and examine the lead-lag relation and price transmission. The data period covers from July 21, 1998 to July 31, 1999. Our results show that TSE TAI-Index futures is significantly superior to SIMEX MSCI Taiwan index futures and both the two Taiwan index futures do not follow the random walk process. Also, we find that positive autocorrelation in both TSE TAI-Index and SIMEX MSCI futures. On the aspect of lead-lag relation, we find that cash market leads futures market and the cointegration with cash exists in each of the two index futures.application/pdf105737 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所Index futuresBayesian approachGibbs Samplingreporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16234/1/882416H002019.pdf