摘要： •Abnormal returns are positive for additions and negative for deletions.•Foreigners purchase the shares of additions and sell the shares of deletions.•Individuals and corporate investors provide liquidity to foreign investors.•Foreigners have a positive return on additions.•Individuals suffer losses on additions. This paper examines market reactions to constituent changes in the MSCI Taiwan Index. We find that abnormal returns are significantly positive for additions and significantly negative for deletions. Foreign investors purchase the shares of stocks added to the index, and sell the shares deleted from the index. We also find that individuals and corporate investors provide liquidity to foreign investors. In terms of investment performance around announcement and implement dates, foreign investors have positive returns on additions and small losses on deletions, while individuals suffer losses on additions. 出版者： Elsevier B.V 出版日期： 2016-09-01 出處： Journal of multinational financial management, 2016-09, Vol.36, p.49-63 版權： 2016 Elsevier B.V. 識別號： ISSN: 1042-444X 識別號： EISSN: 1873-1309 識別號： DOI: 10.1016/j.mulfin.2016.06.002
