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。 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.
