| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 98 === This article use event study analysis to discusses in Chinese SSE 50 index announce distribute stocks added to or deleted, creates the abnormal return to the stock price, will provide the investor to invest reference in the future the Chinese Shanghai Stock Market. The empirical findings of this research are as follows:
1.Becomes distribute stocks announcement of the added to (or deleted) obviously to have positive (negative) the abnormal return.
2.The distribute stocks of the added to(or deleted) had positive (negative) is the short-term phenomenon, it’s to support Price Pressure Hypothesis. And distribute stocks of the deleted had continues of effective to negative, but will be becoming effective positive will have the remarkable accumulation average abnormal return in the future.
3.By the company characteristic variance analysis, the part of distribute stocks of the added, only the financial insurance and excavation industry company had positive abnormal return is more obvious. And distribute stocks of the deleted, the market value low company, the earnings per share low company and the non-financial insurance excavation's industry company has the obvious negative abnormal return, and continues to the effective date up to; moreover these three category's company will be becoming effective will have in the future the remarkable positive of accumulation average abnormal return. This result and the whole distribute stocks of the deleted examination is the same, showed that the investor may use this public information to obtain the abnormal return.
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