臺灣50指數成分股調整之股價效應

本研究以2003年至2021年3月期間，臺灣50指數調整成分股為研究樣本，藉由事件研究法檢定成分股調整前後10個交易日是否存在顯著異於零之平均異常報酬或累積平均異常報酬，並比較電子與非電子產業子樣本；以及金融海嘯前後之子期間。研究結果顯示，臺灣50指數在新增納入成分股與被剔除成分股前兩日，其股價分別呈現正向及負向等異常反應，待調整日後分別價格反轉及回穩的反應。在電子與非電子不同產業類別部分，兩類產業子樣本股價在新增納入與被剔除前均呈現顯著之正向及負向異常反應，在新增納入後，電子產業在經過短暫的價格反轉後又呈現正向反應，非電子產業則呈現股價持續修正反轉之負向異常反應；在被剔除後，電子產業子樣本仍持續呈現負向反應，而非電子產業則是出現價格修正反轉之正向異常反應。在金融海嘯前後時期，在金融海嘯前，新增納入與被剔除前呈現較不顯著之正向及顯著負向的異常反應，在新增納入日後出現顯著的負向反應，其後出現較不顯著的價格反轉，其在被剔除日後股價回歸至基本面；在金融海嘯後，在新增納入前存在較為顯著正向異常反應，在新增納入日後出現顯著的價格向下修正反轉，隨後再次反轉向上，在被剔除前曾出現短暫的負向異常反應，但在被剔除後之股價反應程度與顯著性相對較在新增納入日後出現顯著的價格向下修正反轉，隨後再次反轉向上，在被剔除前曾出現短暫的負向異常反應，但在被剔除後之股價反應程度與顯著性相對較弱。研究顯示出投資人對新增納入事件會呈現過度反應，以致隨後出現修正價格或是回歸基本面的現象。

關鍵字

台灣50指數；成分股調整；股票價格；事件研究法

並列摘要

This study uses the adjusted constituent stocks of the FTSE TWSE Taiwan 50 Index from 2003 to March 2021 as the research sample. The event study method is used to test whether there is an average abnormal return or cumulative average abnormal return that is significantly different from zero in the 10 trading days around the adjustment of the constituent stocks. Further, this study compares subsamples of electronics and non-electronics industries; and sub-periods before and after the financial tsunami. The study results show that in the two days before the constituents of the FTSE TWSE Taiwan 50 Index being newly added and deleted, the stock prices have positive and negative abnormal effects respectively, and the prices respectively reverse and stabilize after the date of adjustment. In the different industry categories of electronics and non-electronics, the both stock prices of the subsamples of the two industries show significant positive and negative abnormal effects before being newly added or deleted. After being newly added, the electronics industry shows a positive effect after a short-term price reversal while the non-electronics industry shows a negative abnormal effect of continuous stock price correction and reversal; after being deleted, the subsamples of electronics industry continues to show a negative effect while the non-electronics industry shows a positive abnormal effect of price correction and reversal. During the　period before and after the financial tsunami, before the financial tsunami, it shows less significant positive and significantly negative abnormal effects before being newly added or deleted, and a significant negative effect after the date of addition, it is followed by a less significant price reversal, which returned to fundamentals after the date of deletion; after the financial tsunami, there is a relatively significant positive abnormal effect before being newly added, it shows a significant price downward correction and reversal after the date of addition, and then reverses upward again, it shows a brief negative abnormal effect before being deleted, but the level and significance of stock price reaction after being deleted are relatively weak. The study shows that investors will overreact to new addition events, leading to subsequent price corrections or a return to fundamentals.