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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34066


    Title: 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
    Authors: 陸姿樺
    Contributors: 徐燕山
    陸姿樺
    Keywords: 摩根台指
    台灣50指數
    成份股
    異常報酬
    價格壓力
    MSCI Taiwan index
    Taiwan 50 index
    constituent stock
    abnormal return
    Date: 2006
    Issue Date: 2009-09-17 19:19:59 (UTC+8)
    Abstract: 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.
    Reference: 伍偉榮(2005)，「摩根成分股調整對現股價量的影響」，國立中山大學財務管理學系碩士在職專班碩士論文
    林淑娟(2002)，「摩根台指成份股調整宣告對現貨市場之影響」，成功大學國際企業研究所碩博士班碩士論文
    袁榮燦（2002），「摩根臺指變更成分股之股價效應研究」，貨幣觀測與信用評等，33，82-91頁
    黃雨溱(2002)， 「 MSCI 指數台灣成分股變動之價量效果與流動性」，輔仁大學管理學研究所碩士論文
    葉銀華（1999），「摩根史坦利事件對股票異常報酬影響之研究」，證券市場發展，11：2，29-65頁

    楊穆郁、盧志高（2000），「透視摩根MSCI成份股」，非凡出版，臺北市
    Dhillon, U., H. Johnson（1991）,“Changes in the Standard and Poor’s 500 list , ”Journal of Business , Vol.64, pp.75-85.
    Daniel Cooper, ”The S&P 500 Effect : Not such good news in the long run”, FEDS Working Paper No. 2002-48. Available at SSRN
    Diane K. Denis, John. McConnell, Alexei V.Ovtchinnikov and Yun Yu(2003), “S&P 500 Index Additions and Earnings Expectations”, The Journal of Finance ,Vol 58, Iss. 5; p. 1821
    Harris, L. and E. Gurel（1986）,“Price and Volume Effects associated with Changes in the S&P 500 list: New Evidence for the Existence of Price Pressures.” Journal of Finance , Vol.41, pp.815-829.
    Honghui Chen, Gregory Noronha and Vijay Singal (2004), “The Price Response to S&P 500 Index Additions and Deletions : Evidence of Asymmetry and a New Explanation” The Journal of Finance ,Vol.LIX, No.4, pp1901-1929
    Katsuhiko Okada , Nobuyuki Isagawa , Kenya Fujiwara, “Addition to the Nikkei 225 Index and Japanese market response: Temporary demand effect of index arbitrageurs” Pacific-Basin Finance Journal 14(2006) 395-409
    Shleifer, A.（1986）, “Do Demand Curves for Stocks Slope Down?” Journal of Finance, Vol.41, pp.579-590.
    S.Gowri Shankar , James M.Miller(2006), “Market Reaction to Changes in the S&P Smallcap 600 Index” The Finance Review pp.339-360
    Description: 碩士
    國立政治大學
    財務管理研究所
    94357007
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094357007
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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