臺灣博碩士論文加值系統

本文主要探討台灣50、中型100指數與富櫃50指數成分候補股票未納入調整宣告對異常報酬之影響，利用事件研究法分析宣告日前後期間之股價是否產生異常報酬，並比較對不同規模成分股指數影響之差異。
實證結果發現：一、 台灣50、100指數與富櫃50成分候補股未納入調整宣告在事件期之累積異常報酬率符合價格壓力假說，其中，台灣50在宣告日前第四天達到最高之正累積異常報酬，隨後遞減至宣告日後第12天起轉為負值；而中型100指數在宣告日後第一天達到最高之正累積異常報酬，而後開始減少至宣告日後第24天起轉為負值；另富櫃50在宣告日前第17天達最高之正累積異常報酬，隨即下降至宣告日前1天起已轉為負值。
故比較結果可知，富櫃50指數成分候補股未納入調整宣告之價格反應效率較快，其次為台灣50，最後為中型100，故成分股規模和成分股個數都可能對結果造成影響。二、 由結果可知，累積異常報酬較高者為中型100，故對投資人的建議為買進中型100之候補股票，若下次成分股調整宣告未被納入，則有較充裕的時間出脫持股。

This paper mainly discusses the changes in index component candidate stocks which are not included in the adjusted declaration between Taiwan 50, Taiwan Mid-Cap 100 and Gretai 50 index, where it declared to the impact on abnormal remuneration. Using the event study approach in analyzation whether the stock price yields a cumulative abnormal return or not by comparing its different index during the period that constitutes before and after of the announcement day.
The conclusion comes as follows: above all, the event of the cumulative abnormal return rate consistent with price pressure hypothesis, which are included in the index component candidate stocks between Taiwan 50, Taiwan Mid-Cap 100 and Gretai 50 index. Among them, Taiwan 50 index obtained the highest positive cumulative abnormal returns before the fourth day of declaration, and then down to 12 days from the announcement turned negative in the future. Taiwan Mid-Cap 100 index also reached the highest positive cumulative abnormal returns after the first day of declaration, and then began to decrease progressively down to 24 days from the announcement turned negative. Another Gretai 50 index got the highest positive cumulative abnormal returns before the seventeenth day of declaration, and then turned negative before the first day of declaration.
Therefore, the comparison result shows that the Gretai 50 index component candidate stocks performed faster reaction efficiency in price, followed by Taiwan 50 index, and the last one is Mid-Cap 100 index. Moreover, the scope and the number of constituent stocks may have an effect on the results. Second, the higher the cumulative abnormal returns from the Mid-Cap 100 index based on the results, the proposal is recommended to investor to buy Mid-Cap 100 index component candidate stocks, due to there is more time to sell off holdings if those stocks are not included in the declaration for next constituent adjustment.

第一章 緒論
第一節 研究背景及動機
第二節 研究目的
第三節 研究架構

第二章 文獻回顧
第一節 台灣指數編列介紹
第二節 文獻探討

第三章 研究方法
第一節 研究樣本
第二節 實證模型

第四章 實證結果
第一節 實證結果分析
第二節 影響異常報酬因素分析

第五章 研究結論與建議
第一節 研究結論
第二節 研究建議

參考文獻

附錄

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