淡江大學機構典藏:Item 987654321/51895
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/51895


    Title: 摩臺指成分股宣告的資訊效果
    Other Titles: The information effect of announcement of MSCI Taiwan index components
    Authors: 陳怡瑜;Chen, Yi-yu
    Contributors: 淡江大學管理科學研究所企業經營碩士在職專班
    莊忠柱;Chuang, Chung-chu
    Keywords: 摩根台灣指數;指數效應價格;壓力假說;MSCI Index;Index Effect;Price Pressure
    Date: 2010
    Issue Date: 2010-09-23 16:15:06 (UTC+8)
    Abstract: 本研究將除針對MSCI摩台指成分股異動中新增成分股與剔除成分股的價量效果，也以市場實際買賣觀點，利用日內資料針對MSCI成分股異動中新增與剔除成分股的隔日開盤與之後的收盤資料（open-to-close）、宣告日收盤與之後收盤資料探討價量變化，剖析隔夜效果（close-to-open）與買賣壓判定。
    實證結果是在宣告日與後一日擁有顯著異常報酬現象，而剔除成分股則在宣告日前一日到後二日發現顯著異常報酬，此表示市場對剔除宣告反應較大。在執行日後，不管是新增成分股或剔除成分股都可發現顯著價格反轉現象。此外，在事件窗口在宣告日後有出現正的累積異常報酬，而剔除成分股也出現負的累積異常報酬；但在執行後窗口，出現負的累積異常報酬，而剔除成分股出現正的累積異常報酬。本研究結果符合價格壓力假說。
    The research will aim MSCI at the Component Stocks added to or
    deleted in variation of price and volume effects. Also in actual market concept, using daily data to aim MSCI new and rejecting Component Stocks open-to-close data on next day, confer about price and quantity variable in closing quotation on claim day and after closing quotation data, analyzing close-to-open and judging the pressure in buy and sale.

    The result of proven on claim day and next day, it has unusual rewards.
    It found unusual reward on before claim day and two days later in rejecting Component Stocks. It shows the market has bigger response in rejective claim. After executived day, no matter new or reject stocks, it could be found reverse phenomenon no matter new stocks or reject stocks. Besides, the event appeared right accumulative rewards, it also showed in minus accumulative rewards. But in the executed windows, it appeared minus accumulative rewards, and rejective stocks appeared minus accumulative rewards, and rejective stocks also appeared right accumulative rewards.
    The research’s result conform with price pressure hypothesis.
    Appears in Collections:[Department of Management Sciences] Thesis

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