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研究生:黃富綉
研究生(外文):Huang, Fu-Shiou
論文名稱:台灣地區摩根指數選樣股異常報酬之實證研究
論文名稱(外文):An Empirical Study of Abnormal Returns of Selected Stocks of EMF Index in Taiwan
指導教授:謝明瑞謝明瑞引用關係
指導教授(外文):Hsigh, Ming-Jui
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:1997
畢業學年度:85
語文別:中文
論文頁數:120
中文關鍵詞:摩根指數異常報酬
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  隨著金融自由化及國際化的潮流及建立台灣面為亞太營運中心的大目標下,政府放寬外資的行動愈趨積極。民國八十五年四月二日證管會披露台股指數將納入MSCI中之EMF指數,而根據亞洲其他國家納入EMF之經驗,其市場均呈現大小不一之異常報酬。
  因此,國內股票納入指數之訊息和股價變動間之關係乃成為本文研究之主題。
  本研究以民國八十四年十二月至八十五年七月台灣股票市場摩根選樣股之78家上市公司之日報酬資料為樣本,透過市場模式及移動β值預估均衡報酬,並以AR、CAR分析訊息之發布對股價變動之影響。文中將樣本依1.資本額;2.外資持股比例;3.外資持股變動張數;4.變動張數比;5.題材多寡等因素分組,分別探討其異常報酬之差異。以驗證資訊之價格效果、資訊內涵及市場之效率性。
  研究結果發現,在研究期間內:一、均衡報酬之β值係數並非穩定,故運用移動之β值作預估均衡報酬之調整。二、消息發布日時,摩根選樣股呈現異常報酬,惟其效果並不顯著,故推論此加入EMF指數之訊息對該股價並無明顯之價格效果。三、分組分析之結果僅外資之持股變動張數和變動比率等分組因素導致其異常報酬不同。四、就此納入EMF指數訊息對選樣股之影響,雖經檢定並不顯著,但由其反應之情形及均衡股價之調整,可以推論台灣股票市場在本研究期間內,並非一效率性市場。
  Developing Taiwan into Asia-Pacific Regional Operation Center as well as following the world trend of financial liberalization and internationalization, our government have liberalized the regulations of foreign capital investment gradually.
  The R.O.C.'' SEC announced that Taiwan stock index would be included in EMF index which is prepared by MSC On April 2,1996, According to the experiences of Asia countries, the stock market appeared apparent changes while entering into EMF index. Whether the same situation happens in Taiwan or not is a matter for discussion.
  The empirical study is conductd o a sample of 78 firms selected by MSCI from December, 1995 to July, 1996 in the Taiwan Stock Exchange. First of all this paper discusses about the impact of announcement by SEC and then divided them into some different portfolio according to capital, holding rate of foreign institution investor, variable volume, variable ratio and information factor. Each portfolio used CAR, AR methods to observe these changes of stock he variety during study period. The purpose of this thesis is to be sure the price effect of information content and the market efficiency.
  The empirical findings of this study from december, 1995 to July, 1996, summarized as below:
  1. Around SEC announcement event, this study finds that systematic risk (Beta) of all samples are changed, so we apply the Moving Beta Model to this study.
  2.At the data of SEC announcement. “Morgan Effect”is positive but not significant. It revealed the stock price wasn''t effect by the information.
  3. The result about the divided porfolio show that only the foreign capital variable volum, variable ratio have caused the different AR and CAR, the F-statistic value are significent.
  4. According to the stock price reaction of SEC announcement event, Taiwan stock market isn''t efficient enough.
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