Standard and Poor’s公司於其發行 S&P 500指數成份股的篩選原則中，即認為成份股應該要能代表美國甚至全球的經濟情況，因此指數成份股的選取原則將是可觀察其篩選成份股的適當性。本文以S&P 500指數新增成份股為樣本，主要觀察S&P500在宣告新增股與剔除成份股前後的效率性變化情況。首先，使用連檢定和一階自我相關方法檢定新增股與剔除股在宣告日前後之報酬序列隨機性和可預測性的變化情況，進一步將樣本區分為集中與店頭市場，以探討兩者報酬序列隨機性的差異；其次，使用市場模型和Fama-French三因子模型估計累積異常報酬，觀察全市場、集中市場和店頭市場是否為半強式效率。
結果發現，在S&P 500指數成分股變動宣告日後，全市場樣本與集中市場的新增股，報酬序列變的較隨機，而店頭市場在宣告日前後的變化情況，沒有顯著性的變化；且剔除股沒有顯著隨機性的改變。而在S&P 500指數成份變更宣告日後，全市場和分類成集中市場和店頭市場的新增股、剔除股，預測能力皆顯著下降。最後我們發現，在指數成份變更宣告日隔天，全市場樣本與分類的集中市場和店頭市場之新增股有顯著正的異常報酬現象，而剔除股則有顯著為負的異常報酬現象。

The paper mainly studies the efficiency on market by the sampling the addition and deletion of S&P 500 index components arrounding pre-/post-announcement day. We use the runs test and the first-order autocorrelation test to check the randomness and predictable of returns series. Furthermore, our samples divided into two subsamples base on trading centralized and OTC markets. We also use the market model and the Fama-French three-factor model to estimate the cumulative abnormal returns and to confirm the semi-strong form efficient market.
Empirical results find that return series become more random for stocks added in entire market and concentrated market, but OTC market is not significant changes. And, deletions are not significant changes. We also find that return series become less predictable for stocks added and deleted in entire market, concentrated market and OTC market. Finally, we find that abnormal returns are positive for stocks added and negative for stocks deleted. In comparison with market model and the Fama-French three-factor model, the Fama-French three-factor model can be ruled out a vision, so addictions (deletions) of stocks have more (less) positive (negative) cumulative abnormal returns.

目錄
謝辭.......................................................I
中文摘要..................................................II
英文摘要.................................................III
第一章 緒論................................................1
   第一節	  研究背景.......................................1
   第二節	  研究動機與目的.................................2
   第三節	  研究架構與流程.................................3
    一、研究架構...........................................3
    二、研究流程圖.........................................4
第二章 文獻探討............................................5
   第一節	  研究指數成分股新增與剔除之文獻.................5
    一、指數調整效應立基之假設.............................5
    二、指數成分股新增與剔除之相關文獻.....................6
    三、小結..............................................16
   第二節	  驗證市場效率性之相關文獻......................17
    一、價格揭露性........................................18
    二、市場流動性........................................20
    三、市場品質：資訊....................................25
    四、指數調整和市場效率性..............................26
   第三節	  以分析師資料驗證市場效率性之相關文獻..........27
   第四節	  新增與剔除成分股驗證使用之模型相關文獻........31
    一、市場模型 (Market Model) ..........................31
    二、Fama and French 三因子模型........................33
第三章 理論與模型.........................................37
   第一節	  理論..........................................37
    一、S&P 500 指數......................................37
    二、S&P 500 成分股新增與剔除的原因....................39
    三、市場效率性........................................42
   第二節	  應用之模型....................................45
    一、市場效率性的驗證..................................45
    二、GARCH模型.........................................46
第四章 研究方法...........................................48
   第一節	  資料..........................................48
    一、樣本..............................................48
    二、樣本篩選原則......................................49
   第二節	  檢測方法......................................54
    一、穩定性檢定........................................54
    二、符號檢定 (sign test) .............................56
    三、隨機性檢測........................................56
    四、可預測性檢測......................................58
    五、事件研究法........................................60
   第三節  敘述統計.......................................64
第五章 實證結果...........................................67
   第一節	  穩定性檢定....................................67
   第二節	  連檢定........................................68
   第三節	  可預測性檢測..................................71
   第四節	  事件研究法....................................73
    一、新增股............................................73
    二、剔除股............................................78
    三、事件窗口之累積異常報酬............................83
第六章 結論...............................................89
參考文獻..................................................91







表目錄
表2.1	研究S&P 500 指數新增與剔除股文獻內容之整理.......9
表2.2	美國股價指數比較................................11
表2.3	Liu 研究內容整理................................13
表2.4	碩士論文研究台灣股價指數新增與剔除文獻之整理....15
表2.5	指數效應調整假說之綜合整理......................17
表2.6	以事件研究法探討指數成份股變動宣告之文獻........35
表3.1	2009/12/31 S&P 500指數之產業比率................38
表3.2	2008年成分股剔除原因比例........................41
表4.1	S&P 500指數成分股變動家數.......................48
表4.2	子期間之指數變動家數............................49
表4.3	S&P 500指數成分股變動之因素.....................51
表4.4	S&P 500新增與剔除的樣本數 (分類集中和店頭市場)..52
表4.5	排除之樣本......................................53
表4.6	研究S&P 500指數成份股新增與剔除之樣本數.........53
表4.7	Fama-French三因子之敘述統計.....................62
表4.8	S&P 500指數新增股之敘述統計.....................64
表4.9	S&P 500指數剔除股之敘述統計.....................65
表5.1	單根檢定........................................67
表5.2	宣告新增與剔除S&P 500指數成份股之隨機性檢定.....69
表5.3	宣告新增與剔除S&P 500指數成份股可預測性檢定.....72
表5.4	宣告S&P 500指數成分股短期累積異常報酬...........83
表5.5	分類樣本下宣告S&P 500指數成分股短期累積異常報酬.84
表5.6	執行宣告不等於執行日不同樣本之短期累積異常報酬..85
表5.7	宣告S&P 500指數成分股長期累積異常報酬...........86
表5.8	分類樣本下宣告S&P 500指數成分股長期累積異常報酬.87
表5.9	執行宣告不等於執行日不同樣本之長期累積異常報酬..87


圖目錄
圖1.1 研究流程圖...........................................4
圖4.1 事件研究法之時間軸..................................60
圖5.1  宣告S&P 500新增成份股之平均異常報酬................74
圖5.2  宣告S&P 500新增成份股之平均累積異常報酬............75
圖5.3  宣告S&P 500新增成份股之平均累積異常報酬 (集中市場).75
圖5.4  宣告S&P 500新增成份股之平均累積異常報酬 (店頭市場).76
圖5.5  宣告S&P 500新增成份股使用市場模型之累積異常報酬....77
圖5.6  宣告S&P 500新增成份股使用Fama-French三因子模型之累積
       異常報酬...........................................77
圖5.7  宣告S&P 500剔除成份股之平均異常報酬................78
圖5.8  宣告S&P 500剔除成份股之平均累積異常報酬............79
圖5.9  宣告S&P 500新增成份股之平均累積異常報酬 (集中市場).80
圖5.10  宣告S&P 500新增成份股之平均累積異常報酬 (店頭市場)80
圖5.11 宣告S&P 500剔除成份股使用市場模型之累積異常報酬....81
圖5.12  宣告S&P 500剔除成份股使用Fama-French三因子模型之累積
        異常報酬..........................................82
圖5.13  執行日不等於宣告日之累積異常報酬差異..............88

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