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研究生:林淑娟
研究生(外文):Shih-Chuan Lin
論文名稱:摩根台指成份股調整宣告對現貨市場之影響
論文名稱(外文):The Effect on Stock Price of Inclusion in or Exclusion from the MSCI Taiwan Index
指導教授:江明憲江明憲引用關係
指導教授(外文):Min-Hsien Chiang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:國際企業研究所碩博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:47
中文關鍵詞:異常報酬成份股摩根台指外資持股交易量
外文關鍵詞:foreign shareholdingtrading volumeabnormal returnconstituent stockMSCI Taiwan Index
相關次數:
  • 被引用被引用:43
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  • 評分評分:
  • 下載下載:251
  • 收藏至我的研究室書目清單書目收藏:4
本研究旨在探討摩根台指成份股新增或剔除變動對於現貨市場之影響。首先分析新增股與剔除股的累積異常報酬率與累積異常交易量率之宣告效果,再者探討公司特性與外資持股比率調整對股票異常報酬的影響。實證結果發現,新增股及剔除股確實存在顯著的正異常報酬與負異常報酬,且宣告後股價會呈現逆轉的現象,符合價格壓力假說(PPH)。而累積異常交易量率於事件日當月是增加,而次月是下降,應為投資者持股調整變動增減所導致。公司特性方面,權益市值較高者與公司規模較高者的累積異常報酬率也愈高,而每股盈餘與負債比率則無影響。再者,外資持股比率高者之股票,其累積異常報酬率也愈高,而外資持股比率調整變動與累積異常報酬率則呈現顯著的正相關。
This study examines the common stock valuation and liquidity effects of firms being added to and deleted from the MSCI Taiwan Index, and analyzes the influence of firm characteristics and change of the shareholding of foreign investors on abnormal returns. The empirical result shows that stocks added to (deleted from) the MSCI Taiwan Index experience a significant positive (negative) announcement day excess return. And after announced, this increase (decrease) is nearly fully reversed. The findings support the Price Pressure Hypothesis(PPH). An analysis of common stock liquidity around added to (deleted from) the Index reveals that while relative trading activity increases in the month of addition, it actually declines in subsequent months. Since these changes due to some investors adjust their holdings of the affected securities. In firm characteristics, only high market value and high firm size have high cumulative abnormal returns, and earning per share and debt ratio are no effects. Besides, we do find that the stocks with increasing shareholding by foreign investors would accompany with an increase in cumulative abnormal returns. And changes in foreign shareholdings in response to cumulative abnormal returns in additions or deletions from the MSCI Taiwan Index are indeed positively correlated.
第壹章 緒論1
第一節 研究背景與動機1
第二節 研究目的2
第三節 論文架構3

第貳章 文獻回顧5
第一節 MSCI指數編製簡介5
第二節 成份股調整變動理論研究9
第三節 成份股調整變動之文獻探討10
第四節 公司特性差異對股價之影響11
第五節 外資持股變動之文獻探討11

第參章 研究方法13
第一節 資料來源與研究樣本…13
第二節 實證模型15
第三節 研究方法17

第肆章 實證結果與分析21
第一節 宣告後股價表現21
第二節 宣告後是否有異常交易量產生25
第三節 公司特性差異與異常報酬26
第四節 外資持股變動與異常報酬34

第伍章 結論與建議40
第一節 結論40
第二節 建議41

參考文獻42
附錄44
中文部分:
袁榮燦(2002),「摩根臺指變更成分股之股價效應研究」,貨幣觀測與信用評等,33,82-91頁

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,11:2,29-65頁

楊穆郁、盧志高(2000),「透視摩根MSCI成份股」,非凡出版,臺北市

劉建中(2000),「摩根士丹利國際資本公司分三階段調整臺股權值取樣列計比重及倫敦金融時報指數公司將臺股納入指數之經過與影響」,證券暨期貨管理,18:8,20-27頁

英文部分:
Brown, Stephen J., Warner, Jerold B.(1985), “Using Daily Stock Returns: The Case of Event Studies.” Journal of Financial Economics, Vol.14, Iss.1, pp.3-31.

Dhillon, U., H. Johnson(1991), “Changes in the Standard and Poor’s 500 list,” Journal of Business, Vol.64, pp.75-85.

Edmister, R., A. Graham, and W. Pirie(1994), “Excess returns of index replacement stocks: Evidence of liquidity and substitutability.” The Journal of Financial Research, Vol.17, Iss.3; pp. 333-346.

Erwin, G. R. and J. M. Miller(1998),“The Liquidity Effects Associated with Addition of a stock to the S&P 500 Index: Evidence from Bid/ask Spreads.” The Financial Review, Vol.33, pp.131-146.

Fama, E. F.(1976), Foundation of Finance (New York, Basic Books)

Fama, E. F., L. Fisher, M. Jensen and R. Roll(1969), “The Adjustment of Stock Price to New Information,” International Economic Review, Vol.10, No.1, pp.1-21.

Handjinicolaou, George, Kalay and Avner(1984), “Wealth Redistributions or Changes in Firm Value: An Analysis of Returns to Bondholders and Stockholders Around Dividend Announcements.” Journal of Financial Economics, Vol.13, Iss.1, pp.35-63.

Harris, L. and E. Gurel(1986),“Price and Volume Effects associated with Changes in the S&P 500 list: New Evidence for the Existence of Price Pressures.” Journal of Finance, Vol.41, pp.815-829.

Jain, P. C.(1987),“The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500.” Financial Analysis Journal, Vol.43, pp.58-65.

Lamoureux, Christopher G.; Wansley, James W.(1987), “Market Effects of Changes in the Standard & Poor’s 500 Index.” Financial Review, Vol.22, Iss.1, pp.53-69.

Merton, Robert C.(1980), “On Estimating the Expected Return of the Market: An Exploratory Investigation.” Journal of Financial Economics, Vol.8, Iss.4; pp. 323-361

Pruitt, Stephen W., Wei, K. C. John(1989), “Institutional Ownership And Changes In The S&P 500.” Journal of Finance, Vol.44, Iss.2, pp.509-513.

Sanger, Gary C.; McConnell, John J.(1986) “Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ.” Journal of Financial and Quantitative Analysis, Vol.21, Iss.1; pp.1-25.

Shleifer, A.(1986), “Do Demand Curves for Stocks Slope Down?” Journal of Finance, Vol.41, pp.579-590.

Woolridge, J. Randall and Ghosh Chinmoy(1986), “Institutional Trading and Security Prices: The Case of Changes in the Composition of the S&P 500 Index.” Journal of Financial Research, Vol.9, Iss.1, pp.13-24.

Scholes, M.(1972), “The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Price.” Journal of business, Vol.45(April), pp.179-211
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