臺灣博碩士論文加值系統

本研究的目的在探討，臺灣中型100指數成分股調整對股票價格行為之影響。本研究將成分股調整分為四類探討，分別是單純新增股、單純剔除股、向下新增股與向上剔除股。實證結果顯示，在宣告日前，單純新增股(單純剔除股)累積異常報酬顯著為正(負)，並在執行日後呈現反轉的現象。至於向下新增股(向上剔除股)則是在執行日後，才出現顯著負(正)的累積異常報酬。此外，本研究亦探討成分股調整前後之累積異常報酬與三大法人累積異常買賣超之關係，研究結果發現，累積異常報酬顯著受到三大法人累積異常買賣超的影響，其中尤以投信與自營商的影響較大。

The purpose of this study examines the impact of changes in Taiwan Mid-Cap 100 Index on stock price behavior. This study divided the sample of changes in Taiwan Mid-Cap 100 Index into four groups: pure additions, pure deletions, downward additions, and upward deletions. The empirical results indicate that, before announcement day, pure additions experience a significant positive cumulative abnormal return while pure deletions experience a significant negative cumulative abnormal return. However, the results are reversed after listing day. Besides, downward additions experience a significant negative cumulative abnormal return and upward deletions experience a significant positive cumulative abnormal return after listing day. Moreover, this study also examines the relationship between cumulative abnormal return and cumulative abnormal buy-sell imbalance of institutional traders. This study finds that the cumulative abnormal return is significantly related to the cumulative abnormal buy-sell imbalance of institutional traders, especially for those of mutual funds and proprietary traders.

第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構與流程 5
第貳章 文獻回顧 6
第一節 臺灣中型100指數編製介紹 6
第二節 國外文獻探討 12
第三節 國內文獻探討 18
第參章 研究方法 22
第一節 研究假說 22
第二節 研究樣本 24
第三節 變數衡量 26
第四節 統計方法 31
第肆章 實證結果分析 32
第一節 樣本分類描述 32
第二節 異常報酬分析 34
第三節 異常交易量與異常報酬之關聯性 37
第四節 三大法人異常買賣超與異常報酬之關聯性 40
第伍章 結論與建議 44
第一節 研究結論 44
第二節 後續研究建議 45
參考文獻 46

英文部分
1.Biktimirov, E.N., A.R. Cowan, and B.D. Jordan, 2004. Do Demand Curves for Small Stocks Slpoe Down? Journal of Financial Research 27(2), 161-178.
2.Demsetz, H., 1968. The Cost of Transacting. Quarterly Journal of Economics 82 (1), 33-53.
3.Denis, D.K., J.J. McConnell, A.V. Ovtchinnikov, and Y. Yu, 2003. S&P500 Index Additions and Earnings Expectations. Journal of Finance 58(5), 1821-1840.
4.Dhillon, U. and H. Johnson, 1991. Changes in the Standard and Poor’s 500 list. Journal of Business 64(1), 75-85.
5.Elliott, W.B. and R.S. Warr, 2003. Price pressure on the NYSE and NASDAQ: Evidence from S&P 500 index changes. Financial Management 32(3), 85-99.
6.Fama, E.F., 1976. Foundation of Finance: Portfolio decisions and securities prices. New York, Basic Books.
7.Gallant, AR., P.E. Rossi and G. Tauchen, 1992. Stock Prices and Volume. Review of Financial Studies 5(2), 199-242.
8.Griffin, J., J. Harris and S. Topaloglu, 2003. The dynamics of institutional and individual trading. Journal of Finance 58(6), 2285–320.
9.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 41(4), 815-829.
10.Jain, P.C., 1987. The effect on stock price of inclusion in or exclusion from the S&P 500. Financial Analysts Journal 43(1), 58-65.
11.Karpoff, J. M., 1987. A relation between price changes and trading volume: a survey. Journal of Financial Quantitative Analysis 22(1), 109-126.
12.Kaul, A., V. Mehrotra, and R. Morck, 2000. Demand curves for stocks do slope down: New evidence from an index weights adjustment. Journal of Finance 55(2), 893-912.
13.Liu, S., 2009. Index membership and predictability of stock returns: The case of the Nikkei 225. Pacific-Basin Finance Journal 17(3), 338-351.
14.Lynch, A.W. and R.R. Mendenhall, 1997. New evidence of stock price effects associated with changes in the S&P 500 index. Journal of Business 70(3), 351-382.
15.Mase, B., 2007. The impact of changes in the FTSE 100 index. Financial Review 42(3), 461-484.
16.Masse, I., R. Hanrahan, J. Kushner, and F. Martinello, 2000. The effect of additions to or deletions from the TSE 300 Index on Canadian share prices. Canadian Journal of Economics 33(2), 341-359.
17.Mazouz, K., and S. Bharim. 2007. New evidence on the price and liquidity effects of the FTSE 100 index revisions. International Review of Financial Analysis 16(3), 223-241.
18.Shankar, G.S. and J.M. Miller, 2006. Market Reaction to Changes in the S&P SmallCap 600 Index. Financial Review 41(3), 339-360.
19.Shleifer, A., 1986. Do demand curves for stocks slope down ? Journal of Finance 70(3), 579-590.
20.Song, Y., Y. Yang, and H. Oh, 2009. Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets. Asian Economic Journal 23(2), 249–267.
21.Woolridge, J.R. and G. Ghosh, 1986. Institutional Trading and Security Prices: The Case of Changes in the Composition of the S&P 500 Index. Journal of Financial Research 9(1), 13-24.
22.Yun, J. and T.S. Kim, 2010. The effect of changes in index constitution: Evidence from the Korean stock market. International Review of Financial Analysis 19(4), 258-269.
中文部分
1.伍偉榮，2005，摩根成分股調整對現股價量的影響，國立中山大學財務管理學系碩士在職專班碩士論文。
2.吳趙紘，2007，股價指數成分股調整對股票之價量效果:以臺灣中型100指數為例，東吳大學國際經營與貿易學系碩士論文。
3.林淑娟，2002，摩根台指成份股調整宣告對現貨市場之影響，國立成奶j學國際企業研究所碩士論文。
4.紀嘉瑜，2008，台灣五十指數成分股變動之價量效果，國立政治大學國際經營與貿易學系碩士論文。
5.陸姿樺，2006，成分股調整之股價效應：以摩根台指與台灣50指數作比較，國立政治大學財務管理研究所碩士論文。
6.簡永明，2004，MSCI新增成分股於不同市場之反應研究：以台灣、香港、中國大陸為例，嶺東技術學院財務金融研究所碩士論文。
7.鐘俊文、林家緯，2006，摩台指台灣50指數變動成分股的價量效應，貨幣觀測與信用評等，第62期，第37-46頁。