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滬深300指數成分股調整效應及其隱含公司額外資訊之探討 / The study of CSI 300 index revision effect and the firms’ extra information contained楊絮茹 Unknown Date (has links)
指數效應是指當股票調入或調出某個指數的時候,該股票的價格及成交量所出現的異常反應。這種有悖於市場有效性的金融現象廣受學者和投資者的關注,國外學者對指數效應的研究已較為成熟,形成了價格壓力假說、流動性假說、向下傾斜的需求曲線假說、資訊含量假說以及市場區隔假說等5種用於解釋這一現象的理論假說。
中國指數的發展較晚,所以學者對其指數效應的研究還不夠完善。本文以2006年至2015年滬深300指數調入和調出股票為研究對象,利用事件窗研究法檢驗股票的價格效應和成交量效應是否存。本文發現滬深300指數調入和調出股票的指數效應顯著,且具有不對稱性。調入股票的正異常報酬長期存在且不反轉,而調出股票出現的負異常報酬短期內會反轉為正,且反轉後在長事件窗內累計異常報酬甚至高於調入股票;調出股票的平均交易比率也要比調入股票更為顯著且活躍。
本文研究指出,歸因於指數基金追蹤行為的價格壓力假說與向下傾斜的需求曲線假說只能部分的解釋滬深300指數效應。因此本文將調入和調出股票價格效應不對稱性與公司基本面的研究相結合,通過分析滬深300指數調整後調入和調出股票的EPS預測值、實際EPS的變動、分析師覆蓋以及機構投資者數量證實了資訊含量假說以及市場區隔假說的解釋力。本文以長期累計異常報酬對流動性假說、資訊含量假說和市場區隔假說中各個經典指標進行多元迴歸分析,發現指數成分股調整前後EPS的變動可以解釋調入股票和調出股票價格效應的存在性和不對稱性,此外資訊含量假說對滬深300指數效應的解釋力度相對較大。由此證明了滬深300指數調整隱含有關公司基本面的額外資訊。
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台灣50指數成分股變動之價量效果紀嘉瑜 Unknown Date (has links)
本研究探討台灣50指數成分股變動造成的異常報酬與超額交易量現象,提供投資人作為選股參考,由於台灣50指數編製依據為總市值,僅使用公開資訊,可以用來檢驗效率市場假說。不同於過去研究的貢獻,本文考慮金融資產報酬的波動群聚現象及模型係數的不穩定性,分別使用卡爾曼濾嘴法及GARCH(1,1) 模型修正,以期獲得較穩健的實證結果。本研究結果發現,新增股及剔除股在宣告日的下一個交易日及生效日的前一個交易日有顯著異常報酬;新增股的累積異常報酬可持續大約兩個工作星期,且新增股有持續的超額交易量情形;而剔除股僅在生效日及生效日的前一個交易日有超額交易量。上述實證結果顯示投資人可利用此公開資訊,獲得異常報酬,不支持效率市場假說。 / We study the price and volume effects following the Taiwan 50 Index revisions. Since the decision to include (exclude) a stock in (from) the index is based merely on market capitalization, it provides a unique opportunity to test the efficient market hypothesis. Our contribution to the existing literature lies in the fact that we employ the Kalman filter approach and the GARCH(1,1) model to allow the parameters instability and time-varying residual variance, and hence to produce more robust empirical results. The results suggest that the newly added stocks and the currently dropped stocks experience significant price changes right after the announcement day and right before the change day; the abnormal returns of the newly added stocks last about two weeks, these stocks also exhibit persistently excessive trading volume while the currently dropped stocks only have excessive trading volume on and right before the change day. These results indicate that investors can earn abnormal returns through public information, and invalidate the efficient market hypothesis.
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MSCI台灣指數成分股調整,對股票報酬率之影響 / The effect on stock returns of inclusion in or exclusion from the MSCI Taiwan index許璋慶, Hsu, Nancy Chang Ching Unknown Date (has links)
MSCI台灣指數成分股的變動,於宣告日及生效日,對於新增股及剔除股的股價的異常報酬的效果;並同時以對照組比較其異常報酬。再者,依成分股加入台灣指數的幾個不同變數:加入台灣指數比重、依自由浮動(free float)調整後的股本,以自由浮動(free float)調整後的權益市值,以及外資持股比率和外資持股比率變動,比較其異常報酬的影響。
依實證結果發現,MSCI成分股的新增股及剔除股,於宣告日和生效日,皆存在明顯異常報酬。相對於對照組,於宣告日和生效日,異常報酬皆不明顯。而以加入台灣指數的比重、依自由浮動調整的股本、依自由浮動調整的權益市值,對異常報酬的影響,於宣告日及收盤後生效日,以及對新增股及剔除股的效果皆不盡相同。新增股於生效日,外資持股率小,異常報酬大;而剔除股於宣告日及生效日,外資持股率大,異常報酬大。由宣告日至生效日當天,新增股的外資持股變動較大,平均累積異常報酬亦較大;剔除股的外資持股減碼較多,平均累積異常報酬亦較大。
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成分股調整之價量關係及新聞報導效果-以臺灣中型100指數為例 / The Effects of Index Revision and News Coverage on Stock Price and Volume :Evidence from Taiwan Mid-Cap 100紀勛虔 Unknown Date (has links)
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
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