本文研究期間為1999年至2008年止，共計65件樣本數，探討台灣上市(櫃)公司自MSCI台灣指數踢除後之長期績效。藉由透過買進持有異常報酬法、累積異常報酬法、曆月投資組合法及因子模式曆月投資組合法(CT-FAT)等方法來了解當台灣上市(櫃)公司自MSCI台灣指數踢除後，公司長期投資績效以及長期營運績效。研究結果指出： 1. 台灣上市(櫃)公司自MSCI台灣指數踢除後之長期投資績效： 四種長期異常績效衡量方法結果顯示似乎沒有一致性的結論，可知台灣上市(櫃)公司自MSCI台灣指數踢除後之長期投資績效並不存在一致顯著之平均異常報酬。 2. 台灣上市(櫃)公司自MSCI台灣指數踢除後之長期營運績效： 從衡量長期營運績效比率財務比率得知，以自身移動基準為差異比較，台灣上市(櫃)公司自MSCI台灣指數踢除後1年至第3年，公司平均獲利能力並無顯著變化。在事件當期至第3年，公司經營效率與財務結構並無顯著變化。然而以產業中位數基準為差異比較，台灣上市(櫃)公司自MSCI台灣指數踢除後之平均獲利能力與營運效率顯著低於同產業，但其平均差異隨時間逐漸遞減。至於公司之財務結構相對於同產業並無顯著之差異。 This paper investigates the TSEC & OTC listed companies which deleted from MSCI Taiwan Index from 1999 to 2008 in Taiwan. A total of 65 companies were investigated in this study. A variety of performance measurement methods such as BHAR、CAR、CTAR and CT-FAT were adopted to measure the long-run investment performance and operation performance after deletions from MSCI Taiwan Index. 1. Long-run investment performance of the TSEC & OTC listed companies after deletions from MSCI Taiwan Index：The results of four kinds of long-run abnormal performance failed to make consistent conclusions. Therefore, we seem can conclude that the long-run investment performance after deletions from MSCI Taiwan Index does not consistent, significant average abnormal returns. 2. Long-run operation performance of the TSEC & OTC listed companies after deletions from MSCI Taiwan Index：By comparing the difference with the firm’s own past performance, in profitability ratios, after deletions from MSCI Taiwan Index during one year to three year, the average profitability ratios does not show a significant difference. In efficiency and leverage ratios, during the current year to three year, it does not show a significant difference. However, by comparing the difference with median of the same industry, the profitability and efficiency ratios of sample companies are significantly lower than that of those in the industry-benchmark after deletions from MSCI Taiwan Index, the average difference is gradually decreasing with time. Finally, the results show that the financial structure does not appear significant changes.