MSCI臺灣指數成分股調整之股價效應

本研究以1999年1月至2020年12月間，MSCI臺灣指數新納入與被剔除成分股票為研究樣本，並運用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，並比較分析電子與非電子產業子樣本；以及不同時段之子期間。結果顯示無論是MSCI臺灣指數新增成分股或剔除成分股，其於調整日前後皆存在顯著異於零平均報酬，其符合資訊內涵假說。新增成分股於納入日前出現顯著正向異常報酬，在納入日後反轉為顯著負向異常報酬，以及剔除成分股在剔除日前出現顯著負向異常報酬，在剔除日後反轉為顯著正向異常報酬，兩者隨後都回歸至正常價格水準，此支持價格壓力假說。同時，電子與非電子業分類和區別前後研究期間，並不會影響新增成分股之研究結論，但是會造成剔除成分股於剔除日後產生不同之異常報酬行為。

關鍵字

MSCI臺灣指數；成分股調整；股票報酬

並列摘要

This study uses the adjusted constituent stocks of the MSCI Taiwan Index from January 1999 to December 2020 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 the subperiods of different time periods. The results show that whether stocks are added to or deleted from the MSCI Taiwan Index, there are significant differences from the zero average abnormal returns before and after the adjustment date, which is consistent with the information content hypothesis. The added constituent stocks have significant positive abnormal returns before the date of addition, and reverse to significant negative abnormal returns after the date of addition. The deleted constituent stocks have significant negative abnormal returns before date of deletion, and reverse to significant positive abnormal returns after date of deletion. Both subsequently return to normal price levels, which support the price pressure hypothesis. In addition, subsamples and subperiods don’t affect the research conclusions of the added constituent stocks, but result in different abnormal return behavior of the deleted constituent stocks after date of deletion.