| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 104 === Based on the discovery of many domestic and foreign scholars that the constituent stocks of an index usually encounter abnormal returns when news about a reorganization of index is released, this research discusses whether constituent stocks have a signal effect for abnormal returns. In addition, they are compared with the index to see whether there is a significant difference. This research uses the event study method for an empirical study to check whether constituent stocks’ rates of return vary substantially before and after an event is announced. We selected the domestic Taiwan 50 ETF stock index fund as the sample, and the results show that when there is an announcement about an adjustment of the constituent stocks of the index, the dates on which the statistical significant level is reached concentrate in the two weeks before the event date, and sometimes there is a so-called abnormal return and a lasting effect still exists one to two days after the event date. This research suggests that the appearance of an abnormal return is affected by the addition of deletion of constituent stocks. Finally, among the deleted constituent stocks, this research recommends investors to buy electronic stocks.
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