臺灣博碩士論文加值系統

本研究探討台灣50指數成分股變動造成的異常報酬與超額交易量現象，提供投資人作為選股參考，由於台灣50指數編製依據為總市值，僅使用公開資訊，可以用來檢驗效率市場假說。不同於過去研究的貢獻，本文考慮金融資產報酬的波動群聚現象及模型係數的不穩定性，分別使用卡爾曼濾嘴法及GARCH(1,1) 模型修正，以期獲得較穩健的實證結果。本研究結果發現，新增股及剔除股在宣告日的下一個交易日及生效日的前一個交易日有顯著異常報酬；新增股的累積異常報酬可持續大約兩個工作星期，且新增股有持續的超額交易量情形；而剔除股僅在生效日及生效日的前一個交易日有超額交易量。上述實證結果顯示投資人可利用此公開資訊，獲得異常報酬，不支持效率市場假說。

We study the price and volume effects following the Taiwan 50 Index revisions. Since the decision to include (exclude) a stock in (from) the index is based merely on market capitalization, it provides a unique opportunity to test the efficient market hypothesis. Our contribution to the existing literature lies in the fact that we employ the Kalman filter approach and the GARCH(1,1) model to allow the parameters instability and time-varying residual variance, and hence to produce more robust empirical results. The results suggest that the newly added stocks and the currently dropped stocks experience significant price changes right after the announcement day and right before the change day; the abnormal returns of the newly added stocks last about two weeks, these stocks also exhibit persistently excessive trading volume while the currently dropped stocks only have excessive trading volume on and right before the change day. These results indicate that investors can earn abnormal returns through public information, and invalidate the efficient market hypothesis.

第壹章 緒論.................................1
第一節 研究背景與動機........................1
第二節 研究目的.............................3
第三節 論文架構.............................4

第貳章 文獻回顧.............................6
第一節 成分股調整文獻回顧....................6
第二節 研究方法文獻探討......................8

第参章 研究設計.............................9
第一節 研究樣本.............................9
第二節 研究方法.............................9

第肆章 實證結果與分析.......................16
第一節 異常報酬............................16
第二節 超額交易量...........................22

第五章 結論與建議...........................24

參考文獻...................................26

附錄1 摩根台指與台灣50指數之比較.............29
附錄2 台灣50指數成分股調整列表...............30
附錄3 台灣50指數編製方式 31
附錄4 CUSUMS of Squared Residuals 34

Ⅰ. 中文部分
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沈中華、李建然 (2000)，事件研究法，華泰文化事業公司。

林淑娟 (2002)，「摩根台指成分股調整宣告對現貨市場之影響」，成功大學國際企業研究所碩博士班碩士論文。

袁榮燦 (2002)，「摩根台指變更成分股之股價效應研究」，貨幣觀測與信用評等第33期，82-91頁。

陸姿樺 (2007)，「成分股調整之股價效應：以摩根台指與台灣50指數作比較」，政治大學財務管理研究所碩士論文。

黃雨溱 (2002)，「MSCI指數台灣成分股變動支價量效果與流動性」，輔仁大學管理學研究所碩士論文。

葉銀華 (1999)，「摩根史坦利事件對股票異常報酬影響之研究」，證券市場發展季刊第11卷第2期，29-66頁。

鍾俊文、林家緯 (2006)，「摩台指與台灣50指數變動成分股的股價效應」，貨幣觀測與信用評等第62期，37-46頁。

Ⅱ. 英文部分

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