The Prediction of Deletion of MSCI Taiwan Index

• Main Authors: Bo-syun Peng, 彭柏勳
• Other Authors: Cheng-yi Shiu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/65594728758115922300

碩士 === 國立中央大學 === 財務金融學系 === 104 === The previous studies all pointed out that the deleted stocks would have significant negative abnormal returns after the reconstitution of the announcement of MSCI Indices. Stocks deleted from MSCI Taiwan Index gaped down at open price, which is very hard to earn that kind of return. In the sample period from January 2008 to February 2016, we find that the market value is the main cause of deletion. Through the MSCI Global Investable Market Indices Methodology, we can simulate the methodology and predict the deletion list of next reconstitution, which has 64.13 percent of precise rate by predicting the stock which will be deleted and has 99.61 percent of precise rate by predicting the stock which won’t be deleted. Investors can use that method to predict the deletion list in the next reconstitution and sell short the stock to improve the performance of their portfolios.