摩根台灣指數剔除預測之研究;The Prediction of Deletion of MSCI Taiwan Index

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题名:	摩根台灣指數剔除預測之研究;The Prediction of Deletion of MSCI Taiwan Index
作者:	彭柏勳,;Peng,Bo-syun
贡献者:	財務金融學系
关键词:	摩台指數;剔除預測;指數編製;指數重整;MSCI Taiwan Index;prediction of deletion;index compilation;index reconstitution
日期:	2016-05-27
上传时间:	2016-06-04 12:48:43 (UTC+8)
出版者:	國立中央大學
摘要:	過去文獻皆指出摩根指數在宣告後，被剔除的成分股會有顯著的負異常報酬，台灣則是在宣告日隔日開盤時向下跳空反應，投資人難以捕捉到這樣的報酬。在研究期間2008年1月至2016年2月中，本研究發現影響成分股被剔除與否最大的可能因素為市值，而本文利用摩根指數編製手冊複製其編製方法，透過模擬的方式可以提前預測即將被剔除的成分股名單，預測成分股被剔除的準確率達64.13%，預測成分股不會被剔除的準確率達99.61%。投資人可以利用這樣的方式，預測接下來可能被剔除的成分股，並提前借券放空，提升投資組合的整體績效。;The previous studies all pointed out that the deleted stocks would have significant negative abnormal returns after the reconstitution of the announcement of MSCI Indices. Stocks deleted from MSCI Taiwan Index gaped down at open price, which is very hard to earn that kind of return. In the sample period from January 2008 to February 2016, we find that the market value is the main cause of deletion. Through the MSCI Global Investable Market Indices Methodology, we can simulate the methodology and predict the deletion list of next reconstitution, which has 64.13 percent of precise rate by predicting the stock which will be deleted and has 99.61 percent of precise rate by predicting the stock which won’t be deleted. Investors can use that method to predict the deletion list in the next reconstitution and sell short the stock to improve the performance of their portfolios.
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