摩根台灣指數成分股調整對台灣股市與外資持股的影響

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巫怡潔(Yi-jie Wu) 查詢紙本館藏

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財務金融學系

論文名稱

摩根台灣指數成分股調整對台灣股市與外資持股的影響
(The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index)

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摘要(中)

摩根台灣指數(MSCI Taiwan Index)是由摩根史坦利資本國際公司所編制，由於其具有高度客觀性及公正性，被視為一國際性投資指標，提供國外投資人投資我國的重要參考及績效衡量基準。本文探討台灣股市對摩根台灣指數成分股調整的反應，以及討論成分股調整對外資持股的影響。研究結果發現指數的新增股有正的顯著異常報酬，而剔除股有負的顯著異常報酬。此外，實證結果也顯示外國投資人會買進新增股股票，但賣出剔除股股票，而外資持股增加的幅度大於其降低的幅度，投資人意識假說可以解釋此一現象。因為投資人對成份股的認識不會因其被剔除指數而馬上消失。

摘要(英)

This study investigates the reaction of the Taiwan stock market to a change in the constituents of the MSCI Taiwan Index. Empirical results suggest that the abnormal returns are significantly positive for added stocks and significantly negative for deleted stocks on the announcement day and the effective day. The results also show that foreign ownership increase in additions and decrease in deletions. Furthermore, the increase in foreign ownership of additions exceeds the decrease in foreign ownership of deletions, the asymmetric investor awareness hypothesis is the best explanation of this results.

關鍵字(中)

★ 摩根台灣指數成分股調整

關鍵字(英)

★ MSCI TAIWAN INDEX

論文目次

1. Introduction 1
2. Literature review 4
2.1 price effect 5
2.2 volume effect 13
2.3 Institutional ownership changes 15
3. A closer look at the MSCI Indices 16
3.1 Construction process of the MSCI indices 17
3.2 Changes in the components of MSCI indices 20
3.3 Announcement policy 22
4. Sample and methodology 23
4.1 Sample 23
4.2 Methodology 24
5. Results 27
5.1 Price results 27
5.2 Trading volume results 30
6. Changes in foreign ownership in response to changes in constituents of MSCI Taiwan Index 32
6.1 Analysis of changes in foreign ownership in the event window 33
6.2 Dynamic analysis of foreign ownership changes for additions and deletions 35
7. Summary and Conclusions
36
Reference 38

參考文獻

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指導教授

徐政義(Cheng-Yi Shiu)

審核日期

2010-7-7

推文