| Summary: | 碩士 === 國立中興大學 === 財務金融系所 === 99 === This paper focus on the effects to changes of the Constituents in MSCI Taiwan Index. We separate industry into two different sectors to examine the effects of intra-industry in announcement and effective day. Then we use the method of simple regression and multiple regression model to check the effects of financial characteristics to the whole industry.
Empirical result is similar to previous studies. There is a significantly positive abnormal returns in added stocks to MSCI, and a significantly negative abnormal returns in deleted stocks from MSCI. We not only examine the effects of announcement day, but also the effective day. The result we discover is depend on the situation (announcement day or effective day) we have. Based on the different kinds of financial characteristics(Financial Leverage, Return on Equity, Return on Assets, Herfindahl Index, Market Size) they added to and deleted from MSCI Taiwan Index, we still find out there is a significantly difference what we talk about in previous studies.
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