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系統識別號 U0002-1706200710164300
中文論文名稱 指數成分股調整效應:以摩根臺灣指數為例
英文論文名稱 Effects of Changes in the Index Composition: Evidence from the MSCI Taiwan Index
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 劉宇澤
研究生英文姓名 Yu-Tse Liu
學號 694490276
學位類別 碩士
語文別 中文
口試日期 2007-05-27
論文頁數 86頁
口試委員 指導教授-謝文良
委員-謝文良
委員-林允永
委員-李進生
委員-鍾惠民
中文關鍵字 摩根臺灣指數  指數效應  三大法人 
英文關鍵字 MSCI Taiwan Index  Index Effect  Institutional Investors 
學科別分類 學科別社會科學商學
中文摘要 本文以事件研究法對於摩根臺灣指數調整成分股進行分析,觀測臺灣證券市場是否存在指數效應,調整股現貨之價量是否有顯著異常現象,並同時檢測不同假說找尋學理上合理的解釋基礎,此外並探究三大法人之交易行為與該效應之關連性。
一. 研究發現新增股在宣告日當天存在顯著超額報酬0.86%,而剔除股在宣告日則出現顯著異常報酬-2.61%,因此摩根臺灣指數調整成分股的確存在指數效應的現象。然而此現象並不具有持續性,且在執行日之後變動股價格便產生反轉,且新增股法人持有比重有增加趨勢而剔除股反之,另外摩根新增股在宣告日後股東人數顯著增加且影子成本顯著下降,以上發現皆支持價格壓力假說與投資人知覺假說的論點。
二. 觀察國外專業機構投資人與指數效應之關連性發現,外資對於新增股之淨買超與推升股價造成超額報酬及對於剔除股之淨賣超促使股價下跌有關;此外在宣告日後至執行日之前三大法人(外資、投信、自營商)對於新增股同為淨買超,而執行日後外資對新增股仍持續為淨買超,投信、自營商轉為淨賣超;反觀剔除股在宣告日後至執行日之前外資、投信為淨賣超而自營商為淨買超,但執行日後三大法人同為淨買超。


英文摘要 This thesis investigates whether the index effect of MSCI Taiwan Index exists or not by applying the Event-Study methodology to index rebalancing activities. The thesis provides rationale for this market anomaly by testing several hypotheses. It also explores whether the trading of institutional investors (namely foreign investors , securities investment trusts and securities dealers) results in the anomaly. The mean abnormal announcement-day return for stock additions is a positive and statistically significant. The stocks that are deleted from the index on the other hand experienced a statistically significant return reduction. The Index effect indeed exists in the Taiwan stock market however, for short-term only. The abnormal returns for both additions and deletions are reversed on the day after inclusion. Further analysis shows that the institutional ownership increases for additions and decreases for deletions. The study also finds increased shareholders and decreased shadow cost after additions. All above are consistent with the price pressure hypothesis and investor awareness hypothesis. The thesis also discovers that foreign Investors’ net buying position is positive relative to the abnormal returns of additions and foreign investors’ net selling position is positive relative to the abnormal returns of deletions. Besides, institutional investors all take a long position and are net buyers of additions between announcement date and the day before inclusion. After inclusion, foreign investors still take long position. In contrast, securities investment trusts and securities dealers take shorter positions. For deletions, foreign investors and securities investment trusts take more short positions between announcement date and the day before inclusion. After inclusion, institutional investors all are net buyers of deletions.
論文目次 目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 指數效應之文獻回顧 6
第一節 闡釋指數效應各別假說之內涵 6
第二節 指數型基金交易行為 11
第三節 不同假說對指數效應之詮釋 12
第四節 多國國際指數之探討 22
第三章 研究資料 24
第四章 研究方法 25
第一節 異常報酬率的估計 25
第二節 異常報酬率的顯著性檢定 27
第三節 異常交易量的估計 28
第四節 異常交易量的顯著性檢定 29
第五節 事件窗口的定義 31
第五章 實證分析 34
第一節 摩根臺灣指數價格效果分析 34
(i) 新增股價格效果分析 34
(ii) 剔除股價格效果分析 38
(iii)買賣差效果分析 43
(iv)價格壓力假說(外資法人持股比重變化)分析 45
第二節 摩根臺灣指數交易量效果分析 47
(i)新增股交易量效果分析 47
(ii)剔除股交易量效果分析 50
第三節 其他假說檢測 54
(i)需求曲線負斜率假說(DSDC) 54
(ii)流動性效果假說 56
(iii)資訊內涵效果假說 59
(iv)投資人知覺假說 60
第四節 外資與指數效應關連 63
第五節 異常報酬與交易量的時間序列橫剖面迴歸 66
第六節 三大機構法人交易行為 68
第六章 研究結論 72
參考文獻 74
附表 79

圖目錄
圖1. 摩根臺灣指數 調整成分股事件窗口示意圖 32
圖2. 摩根臺灣指數新增股之平均異常報酬(MAR) 37
圖3. 摩根臺灣指數新增股之平均交易量比率 (MVR) 37
圖4. 摩根臺灣指數新增股之平均累積異常報酬(MCAR) 37
圖6. 摩根臺灣指數剔除股之平均交易量比率 (MVR) 41
圖7. 摩根臺灣指數剔除股之平均累積異常報酬(MCAR) 41

表目錄
表1. 指數成分股調整宣告之價量效果的相關假說 10
表2. 摩根臺灣股價指數歷年調整明細 24
表3. 各事件日與長天期事件窗口之研究假設 33
表4. 摩根臺灣指數新增股之價格效果 35
表5. 摩根臺灣指數剔除股之價格效果 39
表6. 摩根臺灣指數新增股與剔除股各事件窗口之價格效果 42
表7. 宣告日暨其前一交易日,新增股收盤在買價或賣價的次數 44
表8. 宣告日暨其前一交易日,剔除股收盤在買價或賣價的次數 44
表9. 摩根臺灣指數新增股宣告日前後外資法人持股比重變化 46
表10. 摩根臺灣指數剔除股宣告日前後外資法人持股比重變化 46
表11. 摩根臺灣指數新增股之交易量效果 48
表12. 摩根臺灣指數剔除股之交易量效果 51
表13. 摩根臺灣指數新增股與剔除股各事件窗口之交易量效果 53
表14. 摩根臺灣指數新增股與剔除股DSDC回歸分析 55
表15. 摩根臺灣指數新增股與剔除股事件日前後流動性變化 58
表16. 摩根臺灣指數新增股事件日前後,當年度每股盈餘預測變化 60
表17. 摩根臺灣指數新增股與剔除股事件日前後股東人數變化 62
表18. 摩根臺灣指數新增股與剔除股事件日前後影子成本變化 62
表19. 摩根臺灣指數新增股與剔除股各事件窗口之價格效果(加入QFII與指數效應關連研究) 64
表20. 摩根臺灣指數新增股與剔除股各事件窗口之交易量效果與QFII淨買超 65
表21. 異常報酬與交易量的時間序列橫剖面迴歸 67
表22. 摩根臺灣指數新增股與剔除股各事件窗口之價格效果(加入三大機構法人交易行為研究) 69
表23. 摩根臺灣指數新增股與剔除股各事件窗口交易量效果(加入三大機構法人交易行為研究) 70
表24. 摩根台灣指數新增股暨剔除股三大法人平均買賣超 71
附表1. 摩根臺灣指數新增股之價格效果(宣告日前後) 79
附表2. 摩根臺灣指數新增股之價格效果(執行日前後) 80
附表3. 摩根臺灣指數新增股之交易量效果暨QFII淨買賣超(宣告日前後) 81
附表4. 摩根臺灣指數新增股之交易量效果暨QFII淨買賣超(執行日前後) 82
附表5. 摩根臺灣指數剔除股之價格效果(宣告日前後) 83
附表6. 摩根臺灣指數剔除股之價格效果(執行日前後) 84
附表7. 摩根臺灣指數剔除股之交易量效果暨QFII淨買賣超(宣告日前後) 85
附表8. 摩根臺灣指數剔除股之交易量效果暨QFII淨買賣超(執行日前後) 86


參考文獻 參考文獻
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