The Information Effect of Announcement of MSCI Taiwan Index Components

• Main Authors: YI -YU Chen, 陳怡瑜
• Other Authors: Zhong-Zhu Zhuang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/50089928659519219563

碩士 === 淡江大學 === 管理科學研究所企業經營碩士在職專班 === 98 === The research will aim MSCI at the Component Stocks added to or deleted in variation of price and volume effects. Also in actual market concept, using daily data to aim MSCI new and rejecting Component Stocks open-to-close data on next day, confer about price and quantity variable in closing quotation on claim day and after closing quotation data, analyzing close-to-open and judging the pressure in buy and sale. The result of proven on claim day and next day, it has unusual rewards. It found unusual reward on before claim day and two days later in rejecting Component Stocks. It shows the market has bigger response in rejective claim. After executived day, no matter new or reject stocks, it could be found reverse phenomenon no matter new stocks or reject stocks. Besides, the event appeared right accumulative rewards, it also showed in minus accumulative rewards. But in the executed windows, it appeared minus accumulative rewards, and rejective stocks appeared minus accumulative rewards, and rejective stocks also appeared right accumulative rewards. The research’s result conform with price pressure hypothesis.