| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 104 === The Thesis mainly discusses whether added and excluded stocks exist the abnormal returns when MSCI Taiwan Index adjusts constituent stocks at the announcement date and the effectivity date. And I add other independent variables like foreign shareholding、 the change of foreign shareholding to compare the impacts to the abnormal returns. Furthermore, the research also discusses the impacts to the foreign shareholding when MSCI Taiwan Index adjusts the constituent stocks at the announcement date and the effectivity date by using event study.
The research period is from May, 2006 to November, 2015. The number of the adjusted stocks are 39 ─ 106 added stocks and 101 deleted stocks. The research discovers MSCI Taiwan Index constituent stocks have the obvious abnormal returns at the announcement date and the effectivity date. The less foreign shareholding of the added stocks, the bigger abnormal returns. The less foreign shareholding of the deleted stocks, the bigger negative abnormal returns.
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