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    题名: 台灣50指數成分股變動之價量效果
    作者: 紀嘉瑜
    贡献者: 林信助
    紀嘉瑜
    关键词: 成分股變動
    事件研究法
    卡爾曼濾嘴法
    index revision
    event study
    Kalman filter
    GARCH
    日期: 2007
    上传时间: 2009-09-18 19:58:55 (UTC+8)
    摘要: 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.
    參考文獻: Ⅰ. 中文部分
    伍偉榮 (2005)，「摩根成分股調整對現貨價量的影響」，國立中山大學財務管理學系碩士在職專班碩士論文。
    李智群 (2006)，「高投資績效組合建構之實證研究─以MSCI台股指數與台灣50指數為例」，中興大學會計學研究所碩士論文。
    沈中華、李建然 (2000)，事件研究法，華泰文化事業公司。
    林淑娟 (2002)，「摩根台指成分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)，「摩根台指變更成分股之股價效應研究」，貨幣觀測與信用評等第33期，82-91頁。
    陸姿樺 (2007)，「成分股調整之股價效應：以摩根台指與台灣50指數作比較」，政治大學財務管理研究所碩士論文。
    黃雨溱 (2002)，「MSCI指數台灣成分股變動支價量效果與流動性」，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」，證券市場發展季刊第11卷第2期，29-66頁。
    鍾俊文、林家緯 (2006)，「摩台指與台灣50指數變動成分股的股價效應」，貨幣觀測與信用評等第62期，37-46頁。
    Ⅱ. 英文部分
    Barberies, N., Shleifer, A., & Wurgler, J. (2004), “Co-movement,” Harvard Institute of Economic research discussion paper, 1953.
    Coakley, J., Kougoulis, P. (2004),“Comovement and changes to FTSE 100 index,” Conference paper, presented at European Financial Management Association (EMFA) meetings, Basel 2004.
    Corhay, A., & Rad, A. T. (1996),“Conditional heteroscedasticity adjusted market model and an event study,” Quarterly Review of Economics and Finance, 36, 529-538.
    Dhillon, J., & Johnson, H., (1991),“Changes in the Standard and Poor’s list,” Journal of Business, 64, 75-85.
    Edmister, R., O., Graham, A. S., & Pirie, W. L. (1994), “Excess returns of index replacement stocks: Evidence of liquidity and substitutability,” The Journal of Financial Research, 17, 333-346.
    Harris, L., & Gurel, E. (1986), “Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressure,” Journal of Finance, 41, 586-597.
    Jain, P. C. (1987),“The effect on stock price of inclusion in or exclusion from the S&P 500,” Financial Analysts Journal, 58-65.
    Kaul, A., Mehrotra, V., & Morck, R. (2002),“ Demand curves for stocks do slope down: New evidence from an index weights adjustment,” Journal of Finance, 55, 893-912.
    Khelifa, M., & Bharim, S. (2007), “New evidence on the price and liquidity effects of the FTSE 100 index revisions,” International Review of Financial Analysis, 16, 223-241.
    Lynch, A. W., & Mendenhall, R. R. (1997),“New evidence of stock price effects associated with changes in the S&P 500 index,” Journal of Business, 70, 351-382.
    Makenzie, M. D., Brooks, R. D., &Faff, R. W. (2000),“The use of domestic and world market indexes in the estimation of time-varying betas,” Journal of Multinational Financial Management, 10, 91-106.
    Mase, B., (2002),“The impact of changes in the FTSE 100 index,” Working paper: Brunel University.
    Ruey S. Tsay (2005), Analysis of Financial Time Series, Second Edition. New York: Wiley, 490-542.
    Savickas, R. (2003),“Event-induced volatility and tests for abnormal performance,” The Journal of Financial Research, 26, 165-178.
    Shleifer, A. (1986),“Do demand curves for stocks slope down?” Journal of Finance, 41, 579-590.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    95351018
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095351018
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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