指數成分股調整效應是行為財務領域的一大研究課題。近年來隨著中國股市不斷發展，各類指數衍生品層出不窮，指數的編制和調整也就產生越來越大的影響。另一方面，中國股市仍屬於新興市場，指數成分股調整的效應相較國外發達市場也許存在其特殊之處。而面對這一重要課題，中國學界和業界的研究卻略顯不足。鑒於此，本文從短期和長期兩個角度來研究對中國股市影響最大的指數——滬深300指數的成分股調整效應。 在滬深300指數成分股調整的短期效應方面，本文從股價和成交量兩個方面進行了研究。實證結果顯示，在股票剛被調入指數後，股價會產生正的異常報酬且成交量上升，而被調出指數的股票成交量會略微上升且產生負的異常報酬。但是與國外的實證結果相比，滬深300指數成分股調整的短期效應並沒有非常明顯，本文認為這可能與中國股市機構投資人占比過少有關。 在指數成分股調整對調入股和調出股的長期影響方面，本文首先研究了指數調整後的長期股價表現，發現調入股的股價累積報酬優於指數，但不如調入指數前自身的股價表現，調出股則與之相反。接著對股東人數、機構投資人數量和股價波動度進行比較分析。研究發現，指數調整之後，調入股的股東人數會顯著上升，調出股的股東會減少，但該因素對指數調整後股票的長期異常報酬沒有明顯影響；指數成分股調整後機構投資人數量和股價波動度也有明顯變化——調入股的機構投資人增加，波動度降低，調出股機構投資人減少，波動度上升——且這兩個因素對股價異常報酬的影響是顯著的。另外，公司規模大小也是影響股價異常報酬的一個顯著因素。 / The effect of stock index composition changes is one of the important subjects in the field of behavioral finance. With the rapid development of Chinese equity market, stock index is playing an increasingly important part. Chinese equity market, on the other hand, is still at emerging stage, the stock index composition changes may have the different effect from that of the developed countries. However，the correlative study in China is far from enough. This paper investigates the CSI 300 which is the most influential stock index in China to find out the the effect of stock index composition changes in both short term and long term. In the short term, the study focuses on the price and volume. The empirical results show that there is a positive abnormal returns and increasing trading volume of added firms, while a negative abnormal returns and slightly increasing trading volume of deleted firms. However, compared with empirical results abroad, short-term effects associated with the change of the CSI 300 index list is not very obvious, which may be accounted for too little institutional investors in the Chinese stock market. In the long term, this paper firstly studies the long-term stock price performance of the index adjustment. For additions, cumulative return after index adjustment is better than that of the CSI 300 index, but is worse than the performance before the adjustment, while the deletions performance is opposite. Secondly, number of shareholders, institutional investors and stock price volatility are analyzed. There is a significant increase in the number of shareholders of added firms and a decline for deleted firms, but this factor has little influence for abnormal stock price returns. Similarly, for additions, institutional investors increases and volatility reduces, deletions are opposite. Abnormal stock price returns are significantly affected by the number of institutional investors and volatility. In addition, the company size is also a significant factor affecting the abnormal returns.

本篇論文以滬深300 指數調整前後期的異常報酬、影子成本、流動性、資訊不稱性及套利風險的變動觀察中國投資者的行為。本研究發現在調整後的短期間中中國股票的報酬與國外文獻的變動方向一致,調入股將上漲而調出股則下跌，但於長期則有十分明顯的相反傾向。本文將影子成本等四個變數加入作前後期變動的觀察。發現調整期前後影子成本、流動性、套利風險和資訊不對稱性的變動都與與文獻變動方向假設一致。最後本文把異常報酬作應變數，其餘各項作自變數去觀察四個變數影響報酬的程度和方向。回歸後發現只有流動性的影響符合前人以S&P500 作指標的研究,其他則是有著不一致的影響。本文認為這個現象與文獻中不同的原因是滬 深300 指數偏向於納入高估的股票而剔除低估的股票。滬深300 指數是以股票前一年的交易量大小作標準，這使得81%交易量為個人投資者提供的滬深300 指數偏向納入高估股票。這可能使得中國市場的指數調整效應與文獻並不一致。 / This paper empirically examines the differences of abnormal return, shadow cost, liquidity effect, information asymmetry and arbitrage risk during the composition change of CSI300 index to observe the behavior of investors in China market. Although this paper examines the short term return of adjusted stock change in the same direction as recent studies, added stocks increase and deleted stocks decrease, the long term return reverse. This paper also computes those four variables to observe their changes during the adjustment. The results show that the movements of these four variables are similar to the previous studies. To observe how these variables affect the return of the stocks, this paper computes a regression analysis with the cumulative abnormal return as the dependent variable. The results show that only the affection of liquidity matches the recent studies of S&P 500, when the others are not. The reason of this phenomenon maybe because of the CSI 300 index intends to include the overestimated stocks and exclude the underestimated stocks. The adjustment is determined by the past one year trading volume, which means that the market, with individual investors provided 81 % of trading volume, may possibly overestimate the included stocks. That maybe the reason why the influence of composition change is not similar to recent studies.

本論文分為兩部分，第一部份探討日經225和摩根台指成分股調整的價格變動效果。第二部份則是探討分析師對於股票被納入日經225和摩根台指的盈餘預測反應和絕對預測誤差。 / Two essays are comprised in this dissertation to examine the effects of changes in price and the analyst responses of earnings forecasts to stocks Indices adjustments. Stock markets vary in nature from one country to another and the characteristic of stock index adjustments also alter significantly. The analytical results can provide better information for investors and management to make better decisions. In the first essay, we examine price effects associated with changes in the composition of the Nikkei 225 Index and MSCI Taiwan Index. The analytical results show the price effects on stocks experiencing adjustments in the Nikkei 225 Index are consistent with the price pressure hypothesis. The price effects of composite stocks changed for the MSCI Taiwan Index are consistent with the downward sloping demand curve hypothesis. Based on classifying the characteristics of composite stocks into three categories, we find that large-scale added stocks dominate the price trend of the whole added sample in the Nikkei 225 Index. Also, added stocks with upwards revision earnings forecasts make more abnormal returns than the added stocks with downwards revision earnings forecasts in the Nikkei 225 Index during the post-announcement period. The electronic stocks earn larger abnormal returns than non-electronic stocks in the MSCI Taiwan Index. That can enable investors to profit by buying electronic stocks and added stocks with upwards revision earnings forecasts. The price reactions for the composite stocks in the Nikkei 225 Index and MSCI Taiwan Index around the Internet bubble burst have significantly difference. In the second essay, we study the earnings forecast changes and absolute forecast errors made by analysts of the Nikkei 225 Index and MSCI Taiwan Index. Depending on the properties of brokerage firms that analysts work for, we divide them into local analysts and foreign analysts to separate who are more accurate than one the other. The results show that in comparison with the matching firms in Japan, the magnitudes of mean forecast revisions and absolute forecast errors are smaller made by analysts focusing on firms newly added to the Nikkei 225 Index. For firms newly added to the MSCI Taiwan Index, the magnitude of changes in analysts EPS forecasts do not differ clearly from those of their peer groups. Absolute forecast errors made by analysts focusing on firms newly added to the MSCI Taiwan Index are smaller than those made by analysts focusing on the matching firms. This phenomenon demonstrates firms that are newly added to the Nikkei 225 Index and MSCI Taiwan index exhibit significantly improved performance. In terms of the relative accuracy of local and foreign analysts, the results display that the forecasts of foreign analysts are less accurate than those of local analysts in Japan and the forecasts of foreign analysts are more accurate than those of local analysts in Taiwan.

大部分的營建工程契約之投資金額龐大、契約內容繁雜，加上履約期限常達數年之久，故在履約過程中時有爭議產生。其中，就營建材料、設備之採購，承攬廠商基於成本控管與實際施工之需要，甚少能夠在開工時一次購足，通常需配合工程進度分次採購，而因為工期長這項營建工程契約之特性，常發生各種不確定因素而導致物價有所波動，造成承攬廠商之成本提高，甚且因無法承擔物價上漲之風險而倒閉無法完成工程，對於業主與承攬廠商皆影響重大。 工程承攬契約之總價在承攬廠商得標或簽訂契約時即已確定，而當廠商依施工計畫於實際施做前購進材料時，與得標或簽訂契約時常距離有數月至數年之久，而其間的物價波動常使得原本約定的價金無法反應承攬廠商購料時之成本，此時承攬廠商得否當然地援引行政院所頒佈的各項物價指數調整處理原則，而要求業主調整契約價額？牽涉到工程承攬契約之性質與各項物價指數調整處理原則之性質與效力，實務上目前尚未有一致的見解；在工程承攬契約中未明訂物價指數調整條款時，承攬廠商是否得向業主請求調整契約價金？若然，則其請求權基礎為何？是前述各項物價指數調整處理原則，又或者是民法第227條之2之情事變更原則？又若在工程承攬契約中約定不予物價調整，則此條款之效力為何？承攬廠商是否得另行主張情事變更原則？縱使在契約中約定有物價指數調整條款，則應採用何種物價指數作為認定之標準？物價漲跌幅到達怎樣的程度，始得調整價金？種種問題不勝枚舉，困擾著工程實務工作者。因此本文擬從法院判決、仲裁、調解等案例中整理出實務的處理模式，並參考學說、外國契約範本與案例，比較其優劣，並嘗試提出解決方法。