| Summary: | 碩士 === 中國文化大學 === 財務金融學系 === 104 === This study will explored the impact of the announcement date and effective date of MSCI Taiwan Index via event study method to determine whether the price of the newly issued stocks would increase and the price of excluded stocks would decline. The study findings showed that the announcement date and effective date of MSCI Taiwan Index had a positive effect on the returns of new stocks while supporting the Price Pressure Hypothesis whereas it has a negative effect on the excluded stocks while sup-porting the negative slope of the demand curve hypothesis and information connotation hypothesis. In addition, the study has established multiple regression model, taking window period analysis determining event duration and Cumulative Abnormal Return as dependent variables while taking the shareholding proportion of institutional inves-tors, board size, the shareholding proportion of managers, independent director seats, job duality and the shareholding proportion of directors and supervisors as independent variables, to examine the correlation between corporate governance(as variables)and abnormal returns. The multiple regression model shows a negative correlation between the MSCI Taiwan Index and board size, job duality and abnormal returns and a positive correlation between the shareholding proportion of institutional investors, the share-holding proportion of managers, independent director seats, the shareholding proportion of directors and supervisors and abnormal returns.
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