| DC 欄位 |
值 |
語言 |
| DC.contributor | 財務金融學系在職專班 | zh_TW |
| DC.creator | 張芳瑜 | zh_TW |
| DC.creator | Fang-Yu Chang | en_US |
| dc.date.accessioned | 2019-7-20T07:39:07Z | |
| dc.date.available | 2019-7-20T07:39:07Z | |
| dc.date.issued | 2019 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=106458009 | |
| dc.contributor.department | 財務金融學系在職專班 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 本研究係針對MSCI正式於2018年05月15日將中國A股納入其指數編製為事件，檢視該事件的宣告於短期內是否具有資訊內涵而產生異常報酬。實證結果顯示：
1.在平均異常報酬率方面，所有實際選樣股與新增成分股於宣告日平均異常報酬率顯著為正，訊息之宣告對投資人產生正面宣告效果；剔除股於宣告日平均異常報酬率為負值，訊息之宣告對投資人產生負面宣告效果，惟並不顯著。
2.在平均累積異常報酬率方面，所有實際選樣股與新增成分股於宣告日當日皆具有顯著正的平均累積異常報酬率，並於宣告日後1日達到最高點；剔除股於宣告日當日出現顯著負的平均累積異常報酬率，並於宣告日後1日達到最低點。 | zh_TW |
| dc.description.abstract | This research is aimed at MSCI officially on May 15, 2018, the inclusion of China A shares in its index as an event, to examine whether the announcement of the event has information connotation and abnormal returns. The empirical results show that:
1. In terms of the average abnormal return, all actual sample-selected stocks and new constituent stocks have significantly positive average abnormal return rate on the day of the declaration, and the announcement of the message has a positive pronouncement effect on the investor.
2. In terms of the average cumulative abnormal return, all actual sample stocks and new constituent stocks had a significantly positive average cumulative abnormal rate of return on the day of the declaration and reached their highest point on the 1st day after the declaration. | en_US |
| DC.subject | 中國A股 | zh_TW |
| DC.subject | 異常報酬 | zh_TW |
| DC.subject | 事件研究法 | zh_TW |
| DC.subject | China A Shares | en_US |
| DC.subject | Abnormal Return | en_US |
| DC.subject | Event Study | en_US |
| DC.title | 中國A股正式納入MSCI指數之異常報酬探討 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | Study on the Abnormal Return of China A Shares Officially Incorporated into MSCI Index | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |