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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/153838

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153838

Title:	Trader activities, Ownership, and Stock Price Reactions to MSCI Standard Index Changes: Evidence from Taiwan
Authors:	徐政義 Shiu, Cheng-Yi;Hung, Chung-Wen
Contributors:	國貿系
Keywords:	MSCI Taiwan index;Index changes;Constituents;Investment performance
Date:	2016-09
Issue Date:	2024-10-04
Abstract:	This paper examines market reactions to constituent changes in the MSCI Taiwan Index. We find that abnormal returns are significantly positive for additions and significantly negative for deletions. Foreign investors purchase the shares of stocks added to the index, and sell the shares deleted from the index. We also find that individuals and corporate investors provide liquidity to foreign investors. In terms of investment performance around announcement and implement dates, foreign investors have positive returns on additions and small losses on deletions, while individuals suffer losses on additions.
Relation:	Journal of Multinational Financial Management, Vol.36, pp.49-63
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.mulfin.2016.06.002
DOI:	10.1016/j.mulfin.2016.06.002
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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