| Summary: | 碩士 === 真理大學 === 經濟學系財經碩士班 === 104 === This paper mainly discusses the changes in index component candidate stocks which are not included in the adjusted declaration between Taiwan 50, Taiwan Mid-Cap 100 and Gretai 50 index, where it declared to the impact on abnormal remuneration. Using the event study approach in analyzation whether the stock price yields a cumulative abnormal return or not by comparing its different index during the period that constitutes before and after of the announcement day.
The conclusion comes as follows: above all, the event of the cumulative abnormal return rate consistent with price pressure hypothesis, which are included in the index component candidate stocks between Taiwan 50, Taiwan Mid-Cap 100 and Gretai 50 index. Among them, Taiwan 50 index obtained the highest positive cumulative abnormal returns before the fourth day of declaration, and then down to 12 days from the announcement turned negative in the future. Taiwan Mid-Cap 100 index also reached the highest positive cumulative abnormal returns after the first day of declaration, and then began to decrease progressively down to 24 days from the announcement turned negative. Another Gretai 50 index got the highest positive cumulative abnormal returns before the seventeenth day of declaration, and then turned negative before the first day of declaration.
Therefore, the comparison result shows that the Gretai 50 index component candidate stocks performed faster reaction efficiency in price, followed by Taiwan 50 index, and the last one is Mid-Cap 100 index. Moreover, the scope and the number of constituent stocks may have an effect on the results. Second, the higher the cumulative abnormal returns from the Mid-Cap 100 index based on the results, the proposal is recommended to investor to buy Mid-Cap 100 index component candidate stocks, due to there is more time to sell off holdings if those stocks are not included in the declaration for next constituent adjustment.
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