This study first evaluates the relative hedging effectiveness of the TAIFEX futures and the US dollar denominated SGX-DT Taiwan index futures for managing the MSCI Taiwan index denominated in New Taiwan dollars. Second, this study investigates the impact of hedge duration and time to expiration of the contract on hedge ratios. Finally, the stability of hedge ratios through time is tested. The empirical results show that the SGX-DT futures contract is more effective than the TAIFEX futures contract for managing the MSCI Taiwan index. Second, this study finds that both hedge ratios and hedge effectiveness increase as hedge duration increases. Finally, this study also finds that hedge ratios are stable over time for the TAIFEX and the SGX-DT futures contracts.