本文以摩根台指與台灣50指數成分股調整的股價效應做比較，兩者對於成分股調整的宣告及生效是否存在異常報酬，而異常報酬的不同是否與其指數編制方式有關。實證結果發現摩根台指新增股具有 顯著正報酬、剔除股具有顯著負報酬，且在宣告日二十天後價格呈現反轉，符合價格壓力假說。而台灣50指數新增股異常報酬則不顯著異於零，兩種指數的新增股在宣告成份股調整後皆有超額成交量、流動性持續增加。再者摩根台指的宣告效果比台灣50指數強，且透過加權的方式較能表現出指數成份股調整所帶來的現貨價格影響。 / The study examines both the price and volume effect of stock additions or deletions on both the MSCI Taiwan index and Taiwan50 index. We document significant abnormal returns of stock additions and deletions for the MSCI Taiwan Index both on the announced period or on the effective period. In addition, we also find a significant abnormal return of stock deletions for Taiwan 50 Index either announced period or the effective period. While we do not find any significant abnormal return of stock additions. Further more, both the announced date effect and the effective date effect for MSCI Taiwan Index are stronger than those for Taiwan 50 Index. Our results support the price pressure hypothesis.

本研究旨在探討臺灣中型100 指數成分股調整事件之價量關係以及新聞報導效果。研究樣本分為純粹納入股、向下納入股、純粹剔除股以及向上剔除股，並分別以成份股調整之宣告日與執行日作為事件日，採用事件研究法，分析事件前後之價量變化，同時，進一步探討，宣告日至執行日期間，新聞報導對於成分股調整效果之影響。實證結果顯示，純粹納入(剔除)股於宣告日當天以及執行日前一天具有顯著的正(負)向異常報酬，且短期內皆有反轉的現象產生；向下納入(向上剔除)股，在宣告日與執行日前一交易日享有負(正)向異常報酬，且執行日後五日旋即反轉；此外，此四類個股於宣告日以及執行日附近，皆有異常週轉率生。在新聞效果部分，本研究將純粹納入(剔除)股分為有利多(空)新聞之組別以及無新聞之組別，探討其異常報酬現象。實證結果發現，有利多(空)新聞之純粹納入(剔除)股，相較於無新聞之純粹納入(剔除)股享有較高的正(負)向異常報酬率，顯見在成分股調整事件中，新聞報導亦會影響股價表現。 / This paper examines the effects of Taiwan mid-cap 100 index revision and news coverage on stock price and volume. Using event study method, the sample of this study is divided into four groups: pure additions, downward additions, pure deletions, upward deletions to analyze the changes of stock prices and volume on the announcement day and effective day. Furthermore, the effects of news coverage between announcement day and effective day are also investigated. Results of our analysis suggests that there are significantly positive (negative) abnormal returns (ARs) for pure additions (deletions) on announcement day and the day before effective day but transitory. For downward additions and upward deletions, there are significantly negative ARs for the former and significantly positive ARs for the latter. However, both ARs reverse within five days. Besides, there are abnormal volumes in the entire sample. As for the effects of news coverage, pure additions (deletions) are divided into two groups to examine the existence of ARs, one group with bullish (bearish) news and one group without. Results show that pure additions (deletions) with bullish (bearish) news have higher ARs than those without news coverage, supporting our hypothesis that in the event of index revision, news coverage do affect stock prices