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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

成分股調整之股價效應:以摩根台指與台灣50指數作比較 / The Valuation Effect of Stock Addition or Deletion:MSCI Taiwan Index versus Taiwan 50 Index

陸姿樺 Unknown Date (has links)
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.

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