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題名 成分股調整之價量關係及新聞報導效果-以臺灣中型100指數為例
The Effects of Index Revision and News Coverage on Stock Price and Volume :Evidence from Taiwan Mid-Cap 100作者 紀勛虔 貢獻者 岳夢蘭
紀勛虔關鍵詞 臺灣中型100指數
成分股調整
價量關係
新聞報導
價格壓力假說
Taiwan mid-cap 100 index
Index revision
Abnormal return and volume
News coverage
Price pressure日期 2017 上傳時間 10-Aug-2017 09:45:18 (UTC+8) 摘要 本研究旨在探討臺灣中型100 指數成分股調整事件之價量關係以及新聞報導效果。研究樣本分為純粹納入股、向下納入股、純粹剔除股以及向上剔除股，並分別以成份股調整之宣告日與執行日作為事件日，採用事件研究法，分析事件前後之價量變化，同時，進一步探討，宣告日至執行日期間，新聞報導對於成分股調整效果之影響。實證結果顯示，純粹納入(剔除)股於宣告日當天以及執行日前一天具有顯著的正(負)向異常報酬，且短期內皆有反轉的現象產生；向下納入(向上剔除)股，在宣告日與執行日前一交易日享有負(正)向異常報酬，且執行日後五日旋即反轉；此外，此四類個股於宣告日以及執行日附近，皆有異常週轉率生。在新聞效果部分，本研究將純粹納入(剔除)股分為有利多(空)新聞之組別以及無新聞之組別，探討其異常報酬現象。實證結果發現，有利多(空)新聞之純粹納入(剔除)股，相較於無新聞之純粹納入(剔除)股享有較高的正(負)向異常報酬率，顯見在成分股調整事件中，新聞報導亦會影響股價表現。
This paper examines the effects of Taiwan mid-cap 100 index revision and news coverage on stock price and volume. Using event study method, the sample of this study is divided into four groups: pure additions, downward additions, pure deletions, upward deletions to analyze the changes of stock prices and volume on the announcement day and effective day. Furthermore, the effects of news coverage between announcement day and effective day are also investigated. Results of our analysis suggests that there are significantly positive (negative) abnormal returns (ARs) for pure additions (deletions) on announcement day and the day before effective day but transitory. For downward additions and upward deletions, there are significantly negative ARs for the former and significantly positive ARs for the latter. However, both ARs reverse within five days. Besides, there are abnormal volumes in the entire sample. As for the effects of news coverage, pure additions (deletions) are divided into two groups to examine the existence of ARs, one group with bullish (bearish) news and one group without. Results show that pure additions (deletions) with bullish (bearish) news have higher ARs than those without news coverage, supporting our hypothesis that in the event of index revision, news coverage do affect stock prices參考文獻 一、英文部分Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of financial Economics, 17(2), 223-249.Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of financial economics, 49(3), 307-343.Beaver, W. H. (1968). The information content of annual earnings announcements. Journal of accounting research, 67-92.Biktimirov, E. N., Cowan, A. R., & Jordan, B. D. (2004). Do demand curves for small stocks slope down?. Journal of Financial Research, 27(2), 161-178.Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31.Cai, J. (2007). What`s in the news? Information content of S&P 500 additions. Financial Management, 36(3), 113-124.Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59(4), 1901-1930.Cooper, D., & Woglom, G. (2003). ’The S&P 500 Effect: Not Such Good News in the Long-Run, Federal Reserve Board, Research and Statistics, Washington DC (No. 2002-48). FEDS Working Paper.Denis, D. K., McConnell, J. J., Ovtchinnikov, A. V., & Yu, Y. (2003). S&P 500 index additions and earnings expectations. The Journal of Finance, 58(5), 1821-1840.Dhillon, U., & Johnson, H. (1991). Changes in the Standard and Poor`s 500 List. Journal of Business, 75-85.Elliott, W. B., & Warr, R. S. (2003). Price pressure on the NYSE and NASDAQ: Evidence from S&P 500 index changes. Financial Management, 85-99.Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21.Gidofalvi, G., & Elkan, C. (2001). Using news articles to predict stock price movements. Department of Computer Science and Engineering, University of California, San Diego.Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815-829.Hegde, S. P., & McDermott, J. B. (2003). The liquidity effects of revisions to the S&P 500 index: An empirical analysis. Journal of Financial Markets, 6(3), 413-459.Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of finance, 54(6), 2143-2184.Hong, H., Lim, T., & Stein, J. C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. The Journal of Finance, 55(1), 265-295.Jain, P. C. (1987). The effect on stock price of inclusion in or exclusion from the S&P 500. Financial Analysts Journal, 43(1), 58-65.Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand curves for stocks do slope down: New evidence from an index weights adjustment. The Journal of Finance, 55(2), 893-912.Lamoureux, C. G., & Wansley, J. W. (1987). Market effects of changes in the Standard & Poor`s 500 index. Financial Review, 22(1), 53-69.Liang, X. (2006), “Mining Associations between Web Stock News Volumes and Stock Prices,” International Journal of Systems Science, Vol. 37, pp. 919-930.Lim, T. (2001). Rationality and analysts` forecast bias. The Journal of Finance, 56(1), 369-385.Lynch, A. W., & Mendenhall, R. R. (1996). New evidence on stock price effects associated with charges in the S&P 500 Index.Masse, I., Hanrahan, R., Kushner, J., & Martinello, F. (2000). The effect of additions to or deletions from the TSE 300 Index on Canadian share prices. Canadian Journal of Economics/Revue canadienne d`économique, 33(2), 341-359.Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The journal of finance, 42(3), 483-510.Shleifer, A. (1986). Do demand curves for stocks slope down?. The Journal of Finance, 41(3), 579-590.Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. The journal of finance, 52(2), 737-783.Woolridge, J. R., & Ghosh, C. (1986). Institutional trading and security prices: the case of changes in the composition of the S&P 500 index. Journal of Financial Research, 9(1), 13-24.二、中文部分伍偉榮(2005)，「摩根成分股調整對現貨價量的影響」，國立中山大學財務管理學系碩士在職專班碩士論文。沈中華、李建然(2000)，事件研究法: 財務與會計實證研究必備。華泰文化。林淑娟(2002)，「摩根台指成分股調整宣告對現貨市場之影響」，成功大學國際企業研究所碩士論文。陸姿樺(2007)，「成分股調整之股價效應：以摩根台指與臺灣50指數作比較」，國立政治大學財務管理研究所碩士論文。許江河(2012)，「投資組合持股調整與績效之實證研究－以台灣50成分股為例」，國立虎尾科技大學學報；30券4期 描述 碩士
國立政治大學
財務管理研究所
104357034資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357034 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.author (Authors) 紀勛虔 zh_TW dc.creator (作者) 紀勛虔 zh_TW dc.date (日期) 2017 en_US dc.date.accessioned 10-Aug-2017 09:45:18 (UTC+8) - dc.date.available 10-Aug-2017 09:45:18 (UTC+8) - dc.date.issued (上傳時間) 10-Aug-2017 09:45:18 (UTC+8) - dc.identifier (Other Identifiers) G0104357034 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111739 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 104357034 zh_TW dc.description.abstract (摘要) 本研究旨在探討臺灣中型100 指數成分股調整事件之價量關係以及新聞報導效果。研究樣本分為純粹納入股、向下納入股、純粹剔除股以及向上剔除股，並分別以成份股調整之宣告日與執行日作為事件日，採用事件研究法，分析事件前後之價量變化，同時，進一步探討，宣告日至執行日期間，新聞報導對於成分股調整效果之影響。實證結果顯示，純粹納入(剔除)股於宣告日當天以及執行日前一天具有顯著的正(負)向異常報酬，且短期內皆有反轉的現象產生；向下納入(向上剔除)股，在宣告日與執行日前一交易日享有負(正)向異常報酬，且執行日後五日旋即反轉；此外，此四類個股於宣告日以及執行日附近，皆有異常週轉率生。在新聞效果部分，本研究將純粹納入(剔除)股分為有利多(空)新聞之組別以及無新聞之組別，探討其異常報酬現象。實證結果發現，有利多(空)新聞之純粹納入(剔除)股，相較於無新聞之純粹納入(剔除)股享有較高的正(負)向異常報酬率，顯見在成分股調整事件中，新聞報導亦會影響股價表現。 zh_TW dc.description.abstract (摘要) This paper examines the effects of Taiwan mid-cap 100 index revision and news coverage on stock price and volume. Using event study method, the sample of this study is divided into four groups: pure additions, downward additions, pure deletions, upward deletions to analyze the changes of stock prices and volume on the announcement day and effective day. Furthermore, the effects of news coverage between announcement day and effective day are also investigated. Results of our analysis suggests that there are significantly positive (negative) abnormal returns (ARs) for pure additions (deletions) on announcement day and the day before effective day but transitory. For downward additions and upward deletions, there are significantly negative ARs for the former and significantly positive ARs for the latter. However, both ARs reverse within five days. Besides, there are abnormal volumes in the entire sample. As for the effects of news coverage, pure additions (deletions) are divided into two groups to examine the existence of ARs, one group with bullish (bearish) news and one group without. Results show that pure additions (deletions) with bullish (bearish) news have higher ARs than those without news coverage, supporting our hypothesis that in the event of index revision, news coverage do affect stock prices en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的與結果 4第二章 文獻回顧 6第一節 成分股調整時股價與週轉率相關文獻回顧 6第二節 新聞報導與股價表現之關係相關文獻回顧 12第三章 樣本介紹與研究方法 14第一節 中型100指數簡介與編製介紹 14第二節 資料來源與樣本介紹 15第三節 研究假說 23第四節 研究設計 26第四章 實證結果 29第一節 敘述統計 29第二節 成分股調整之宣告日效果 35第三節 成分股調整執行日之短期效果 39第四節 成分股調整執行日之長期效果 43第五節 成分股調整之新聞報導與累積異常報酬關係 47第五章 結論與研究建議 50第一節 結論 50第二節 研究建議 51參考文獻 52附錄 臺灣中型100指數編製說明書 57 zh_TW dc.format.extent 1492429 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357034 en_US dc.subject (關鍵詞) 臺灣中型100指數 zh_TW dc.subject (關鍵詞) 成分股調整 zh_TW dc.subject (關鍵詞) 價量關係 zh_TW dc.subject (關鍵詞) 新聞報導 zh_TW dc.subject (關鍵詞) 價格壓力假說 zh_TW dc.subject (關鍵詞) Taiwan mid-cap 100 index en_US dc.subject (關鍵詞) Index revision en_US dc.subject (關鍵詞) Abnormal return and volume en_US dc.subject (關鍵詞) News coverage en_US dc.subject (關鍵詞) Price pressure en_US dc.title (題名) 成分股調整之價量關係及新聞報導效果-以臺灣中型100指數為例 zh_TW dc.title (題名) The Effects of Index Revision and News Coverage on Stock Price and Volume :Evidence from Taiwan Mid-Cap 100 en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、英文部分Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of financial Economics, 17(2), 223-249.Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of financial economics, 49(3), 307-343.Beaver, W. H. (1968). The information content of annual earnings announcements. Journal of accounting research, 67-92.Biktimirov, E. N., Cowan, A. R., & Jordan, B. D. (2004). Do demand curves for small stocks slope down?. Journal of Financial Research, 27(2), 161-178.Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31.Cai, J. (2007). What`s in the news? Information content of S&P 500 additions. Financial Management, 36(3), 113-124.Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59(4), 1901-1930.Cooper, D., & Woglom, G. (2003). ’The S&P 500 Effect: Not Such Good News in the Long-Run, Federal Reserve Board, Research and Statistics, Washington DC (No. 2002-48). FEDS Working Paper.Denis, D. K., McConnell, J. J., Ovtchinnikov, A. V., & Yu, Y. (2003). S&P 500 index additions and earnings expectations. The Journal of Finance, 58(5), 1821-1840.Dhillon, U., & Johnson, H. (1991). Changes in the Standard and Poor`s 500 List. Journal of Business, 75-85.Elliott, W. B., & Warr, R. S. (2003). Price pressure on the NYSE and NASDAQ: Evidence from S&P 500 index changes. Financial Management, 85-99.Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21.Gidofalvi, G., & Elkan, C. (2001). Using news articles to predict stock price movements. Department of Computer Science and Engineering, University of California, San Diego.Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815-829.Hegde, S. P., & McDermott, J. B. (2003). The liquidity effects of revisions to the S&P 500 index: An empirical analysis. Journal of Financial Markets, 6(3), 413-459.Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of finance, 54(6), 2143-2184.Hong, H., Lim, T., & Stein, J. C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. The Journal of Finance, 55(1), 265-295.Jain, P. C. (1987). The effect on stock price of inclusion in or exclusion from the S&P 500. Financial Analysts Journal, 43(1), 58-65.Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand curves for stocks do slope down: New evidence from an index weights adjustment. The Journal of Finance, 55(2), 893-912.Lamoureux, C. G., & Wansley, J. W. (1987). Market effects of changes in the Standard & Poor`s 500 index. Financial Review, 22(1), 53-69.Liang, X. (2006), “Mining Associations between Web Stock News Volumes and Stock Prices,” International Journal of Systems Science, Vol. 37, pp. 919-930.Lim, T. (2001). Rationality and analysts` forecast bias. The Journal of Finance, 56(1), 369-385.Lynch, A. W., & Mendenhall, R. R. (1996). New evidence on stock price effects associated with charges in the S&P 500 Index.Masse, I., Hanrahan, R., Kushner, J., & Martinello, F. (2000). The effect of additions to or deletions from the TSE 300 Index on Canadian share prices. Canadian Journal of Economics/Revue canadienne d`économique, 33(2), 341-359.Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The journal of finance, 42(3), 483-510.Shleifer, A. (1986). Do demand curves for stocks slope down?. The Journal of Finance, 41(3), 579-590.Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. The journal of finance, 52(2), 737-783.Woolridge, J. R., & Ghosh, C. (1986). Institutional trading and security prices: the case of changes in the composition of the S&P 500 index. Journal of Financial Research, 9(1), 13-24.二、中文部分伍偉榮(2005)，「摩根成分股調整對現貨價量的影響」，國立中山大學財務管理學系碩士在職專班碩士論文。沈中華、李建然(2000)，事件研究法: 財務與會計實證研究必備。華泰文化。林淑娟(2002)，「摩根台指成分股調整宣告對現貨市場之影響」，成功大學國際企業研究所碩士論文。陸姿樺(2007)，「成分股調整之股價效應：以摩根台指與臺灣50指數作比較」，國立政治大學財務管理研究所碩士論文。許江河(2012)，「投資組合持股調整與績效之實證研究－以台灣50成分股為例」，國立虎尾科技大學學報；30券4期 zh_TW
