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研究生:林宏志
研究生(外文):LIN, HONG-CHIH
論文名稱:MSCI剔除股的股價效應
論文名稱(外文):The Price Response to MSCI Index Deletions
指導教授:蔡秋田蔡秋田引用關係
指導教授(外文):TSAI, CHIU-TIEN
口試委員:趙雅儀蕭哲芬
口試委員(外文):CHAO, YA-YIXIAO, ZHE-FEN
口試日期:2017-06-29
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:會計資訊系碩士班
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:中文
論文頁數:43
中文關鍵詞:摩根士丹利異常報酬法人持股融券
外文關鍵詞:MSCIabnormal returninstitutional ownershipshort selling
相關次數:
  • 被引用被引用:1
  • 點閱點閱:215
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  • 下載下載:0
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本研究探討摩根士丹利資本國際公司 (Morgan Stanley Capital International,簡稱MSCI) 編制的MSCI台灣指數 (MSCI Taiwan Index) 剔除股的股價效應。使用事件研究法進行研究,檢測MSCI指數剔除股公布時是否會產生負向的異常報酬。進一步地,本研究探討法人持股及獲利能力等公司特性是否會影響負向異常報酬的幅度。實證結果發現,MSCI指數剔除股公布時會產生負向的異常報酬,而法人持股比率越低、獲利能力越差的公司其負向異常報酬越大。此外,額外分析的結果顯示,專精的投資人可能提前預測到MSCI指數剔除股,從而進行融券及借券賣出的放空投資策略,藉以從中獲取利益。
This paper examines the stock price response to MSCI index deletions. Furthermore, this paper investigates whether the institutional ownership and profitability will affect the extent of negative abnormal returns. The empirical results of this study showed that companies which are deleted from MSCI index will bear with the negative abnormal returns. Furthermore, the negative abnormal return will be more apparent in the stocks of lower institutional ownership and poor profitability. According to additional analysis, the tests provide evidence that sophisticated investors can establish short positions in the stocks of firms they expect to be deleted from the MSCI index.
摘要................................................................................................................................... I

Abstract............................................................................................................................. II

致謝................................................................................................................................. III

目錄................................................................................................................................. IV

表目錄............................................................................................................................. VI

圖目錄............................................................................................................................ VII

1. 導論............................................................................................................................. 1

1.1 研究動機與研究問題....................................................................................... 1

1.2 論文架構........................................................................................................... 2

2. 文獻探討與假說......................................................................................................... 4

2.1 MSCI 指數介紹 ................................................................................................. 4

2.2 MSCI 成分股調整剔除公布 ............................................................................. 8

2.3 法人持股........................................................................................................... 9

2.4 獲利能力......................................................................................................... 10

3. 研究方法................................................................................................................... 12

3.1 樣本資料之選取............................................................................................. 12

3.2 事件研究法..................................................................................................... 13

3.3 實證模型......................................................................................................... 15

4. 實證結果與分析....................................................................................................... 18

4.1 敘述性統計..................................................................................................... 18

4.2 事件日前後各 20 日帄均異常報酬............................................................... 20

4.3 單變量檢定...................................................................................................... 23

4.4 相關係數分析................................................................................................. 27

4.5 迴歸分析結果................................................................................................. 28

5. 額外分析................................................................................................................... 31

6. 結論與建議............................................................................................................... 36

附錄一 證券借貸制度與信用交易融券制度之比較................................................ 37

參考文獻........................................................................................................................ 41
沈中華與李建然,2000,事件研究法,財務與會計實證研究必備,第一版,台北:泰華文化。
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