摩根台灣指數成分股調整對台灣股市與外資持股的影響

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：30

、訪客IP：3.14.134.195

姓名

巫怡潔(Yi-jie Wu) 查詢紙本館藏

畢業系所

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)

相關論文

★ 台灣建置碳排放權交易機制之分析	★ 保險業如何建立創造公司、顧客及員工三贏的RFP商業模式 —以全球人壽為例
★ 在IAS 21：「匯率變動之影響」規範下，我國企業如何應用商業模式選擇功能性貨幣之研究-以A公司為例	★ 台灣銀行業如何改變商業模式以因應ECFA下之變局-以個案銀行為例
★ 公司發行可轉債之宣告與長期績效	★ 申請上市櫃過程中股票價格之變化：來自興櫃市場的實證
★ 外資買賣超對個股之影響	★ 文創產業之融資模式探討
★ 私募股權基金入股後對台灣金融業的影響	★ 新舊承銷制度下首次公開發行公司盈餘管理之比較研究
★ 匯率風險與管理策略研究-以個案公司為例	★ 商業銀行併購融資之契機
★ 我國證券商辦理離境證券業務與海外子公司業務之比較：以個案銀行券商為例	★ 借殼公司之探討以台灣市場為例
★ 家族企業接班：專業經理人與家族成員之績效比較	★ 本國銀行Basel III 資本適足率與流動性覆蓋率探討

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

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

Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economic 14, 223-249.
Amihud, Yakov, Haim Mendelson, and Beni Lauterbach, 1997, Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics 45, 365-390.
Beneish, Messod D., and Robert E. Whaley, 1996, An anatomy of the “S&P Games”: The effects of changing the rules, Journal of Finance 51, 1909-1930.
Cai, Jie , 2007, What’s in the news? Information content of S&P500 additions, Financial Management 36 (3), 113-124.
Chen, Honghui, Gregory Noronha, and Vijay Singal, 2004, The price response to S&P 500 Index additions and deletions: Evidence of asymmetry and a new explanations, Journal of Finance 59, 1901-1929.
Denis, Diane, John McConnell, Alexei Ovtchinnikov, and Yun Yu, 2003, S&P 500 index additions and earnings expectations, Journal of Finance 58, 1821-1840.
Dhillon, Upinder, and Herb Johnson, 1991, Changes in the Standard and Poor’s 500 list, Journal of Business 64, 75-86.
Harris, Lawrence, and Eitan Gurel, 1986, Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures, Journal of Finance 41, 815-830.
Huang, Roger D., and Cheng-Yi Shiu, 2009, Local effects of foreign ownership in an emerging financial market: Evidence from Qualified Foreign Institutional Investors in Taiwan, Financial Management 38, forthcoming.
Jain, Prem C.,1987, The effect on stock price of inclusion in or exclusion from the S&P 500, Financial Analyst Journal 43 (1), 58-65.
Lynch, Anthony W., and Richard R. Mendenhall, 1997, New evidence on stock price effects associated with changes in the S&P 500 index, Journal of Business 70, 351-383.
Merton, Robert C., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483-510.
Pruitt, Stephen W., and K. C. John Wei, 1989, Institutional ownership and changes in the S&P 500, Journal of Finance 44, 509-513.
Shleifer, Andrei, 1986, Do demand curves for stocks slope down? Journal of Finance 41, 579-590.
Shankar, S. Gowri, and James M. Miller, 2006, Market reaction to changes in the S&P SmallCap 600 index, Financial Review 41, 339-360.

指導教授

徐政義(Cheng-Yi Shiu)

審核日期

2010-7-7

推文