成分股變動對個股報酬率及交易量之影響－以元大台灣50為例

基金經理人籌措資金後，透過投資組合進行股票的買賣，這些股票即為基金之「成分股」。基金成分股調整變動時，會對個別成份股的價格與交易量產生巨大的影響。當舊股被剔除後，這些ETF需要大量賣出遭除名的公司持股，導致交易量產生巨大的變動，接著這些ETF又會大量買進新股，由於元大台灣50規模龐大，每支個股的加入或剔除的量都非常大，因此本研究擬從短、長期面之報酬率與交易量之變動來分析個股所受之影響。研究發現0050共有37支成分股從未被剔除過，顯示這些股票近20年來皆有不錯的績效，才能長久成為其成分股，轉換次數最多為三次，共有6支，表示曾二次被納入，後又二次被剔除。在短期異常報酬中，研究發現個股納入前後皆不存在正向的異常報酬，在剔除股部分，剔除的後一天呈負向異常報酬。在長期異常報酬部分，研究發現當股票被納入成分股時，前一季與加入當月之報酬明顯較佳，包括原始報酬及三因子及四因子報酬，顯示股票會被元大台灣50納入，在納入前三個月一定有不錯的績效，才會被其選入，雖然加入後報酬仍為正，但有反轉現象。當股票被剔除時，前一季與剔除當月之報酬明顯較差，但是剔除後二季，這些股開始反彈回升。我們發現新增股的異常報酬幅度顯著大於剔除股，符合非對稱效果假說。研究發現納入當月及下一季有最大的成交量、成交值與週轉率，而剔除股在剔除後一季及後二季之成交量、成交值與週轉率較大。

關鍵字

台灣50指數；成分股調整變動；異常報酬

並列摘要

Fund manager trades the stocks through the portfolio after raising funds, which are the "constituent stocks" of the fund. When the fund constituents adjust and change, it will have a huge impact on the price and trading volume of individual constituent stocks. When the stocks are eliminated, these ETFs need to sell a large number of shares held by the delisted company, resulting in a huge change in trading volume, and then these ETFs will buy a large number of new shares, due to the huge scale of the Yuanda Taiwan 50 (0050), the amount of each individual stock added or excluded is very large. Therefore, this study intends to analyze the impact of individual stocks from the changes in return rates and trading volumes in the short and long term. The study found that 0050 has a total of 37 constituent stocks that have never been excluded, showing that these stocks have had good performance in the past 20 years to become their constituent stocks for a long time, with a maximum of three conversions, a total of 6, indicating that they have been included twice and then excluded twice. In the short-term abnormal return, the study found that there was no positive abnormal return before and after the inclusion of individual stocks, and in the part of excluding stocks, the day after the exclusion showed a negative abnormal return. In the long-term abnormal return, the study found that when the stock is included in the constituent stocks, the return of the previous quarter and the month of joining is significantly better, including the original return and the three-factor and four-factor return, indicating that the stock will be included in the Yuanda Taiwan 50, and there must be good performance before the three months of inclusion, and it will be selected, although the return after joining is still positive, but there is a reversal phenomenon. When stocks were excluded, the previous quarter was significantly worse than the month in which they were excluded, but after the elimination of the second quarter, the stocks began to rebound and recover. We found that the abnormal return of new stocks was significantly greater than that of excluded stocks, which was consistent with the asymmetric effect hypothesis. The study found when stocks were included, the largest trading volume, turnover value and turnover rate in the current month and the next quarter. While the trading volume, turnover value and turnover rate of excluded stocks in the quarter after elimination and the second quarter were larger.