指數成份股調整的股價行為：亞太地區的實證; The Price Behaviors of Index Additions and Deletions: Evidence from Asia Pacific Markets

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/48788

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/48788

Title:	指數成份股調整的股價行為：亞太地區的實證;The Price Behaviors of Index Additions and Deletions: Evidence from Asia Pacific Markets
Authors:	邱怡芬;Yi-Fen Chiu
Contributors:	財務金融研究所
Keywords:	價格壓力假說;摩根全球標準指數;超額報酬;MSCI Global Standard Index;Abnormal Return;Price Pressure Hypothesis
Date:	2011-07-08
Issue Date:	2012-01-05 15:06:53 (UTC+8)
Abstract:	本研究旨在探討MSCI亞太指數成分股調整時，對亞洲太平洋區13國調整股股價是否有顯著影響力。分析新增股與剔除股在宣告日、執行日以及不同期間長短的超額報酬，實證結果發現，短期新增股存在顯著正向異常報酬，而剔除股存在顯著負向異常報酬，但不論新增股或剔除股在長期皆發生價格反轉現象，結果符合學者所提出之「價格壓力假說」(Price Pressure Hypothesis)。本研究在市場報酬上取用兩種不同市場指數作為市場報酬之代理變數，一為各國指標性指數，另一為MSCI編列各國指數，實證上發現，不同市場指數並未對所得結論造成影響。 This study examines the price effects of changes to the MSCI AC Asia Pacific Index, and analyzes. The empirical results show that additions experience positive abnormal return and deletions have negative abnormal return around the announcement and effective days. However, these price effects are temporary. Price reversals are observed for both of additions and deletions when days after the effective day. Empirical results are robust using different market indices. The results from this study support the “Price Pressure Hypothesis”.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	920	View/Open

社群 sharing

Loading...