Trader activities, Ownership, and Stock Price Reactions to MSCI Standard Index Changes: Evidence from Taiwan

Title	Trader activities, Ownership, and Stock Price Reactions to MSCI Standard Index Changes: Evidence from Taiwan
Creator	徐政義 Shiu, Cheng-Yi;Hung, Chung-Wen
Contributor	國貿系
Key Words	MSCI Taiwan index; Index changes; Constituents; Investment performance
Date	2016-09
Date Issued	2024-10-04
Summary	This paper examines market reactions to constituent changes in the MSCI Taiwan Index. We find that abnormal returns are significantly positive for additions and significantly negative for deletions. Foreign investors purchase the shares of stocks added to the index, and sell the shares deleted from the index. We also find that individuals and corporate investors provide liquidity to foreign investors. In terms of investment performance around announcement and implement dates, foreign investors have positive returns on additions and small losses on deletions, while individuals suffer losses on additions.
Relation	Journal of Multinational Financial Management, Vol.36, pp.49-63
Type	article
DOI	https://doi.org/10.1016/j.mulfin.2016.06.002

dc.contributor	國貿系
dc.creator (作者)	徐政義
dc.creator (作者)	Shiu, Cheng-Yi;Hung, Chung-Wen
dc.date (日期)	2016-09
dc.date.accessioned	2024-10-04	-
dc.date.available	2024-10-04	-
dc.date.issued (上傳時間)	2024-10-04	-
dc.identifier.uri (URI)	https://nccur.lib.nccu.edu.tw/handle/140.119/153838	-
dc.description.abstract (摘要)	This paper examines market reactions to constituent changes in the MSCI Taiwan Index. We find that abnormal returns are significantly positive for additions and significantly negative for deletions. Foreign investors purchase the shares of stocks added to the index, and sell the shares deleted from the index. We also find that individuals and corporate investors provide liquidity to foreign investors. In terms of investment performance around announcement and implement dates, foreign investors have positive returns on additions and small losses on deletions, while individuals suffer losses on additions.
dc.format.extent	108 bytes	-
dc.format.mimetype	text/html	-
dc.relation (關聯)	Journal of Multinational Financial Management, Vol.36, pp.49-63
dc.subject (關鍵詞)	MSCI Taiwan index; Index changes; Constituents; Investment performance
dc.title (題名)	Trader activities, Ownership, and Stock Price Reactions to MSCI Standard Index Changes: Evidence from Taiwan
dc.type (資料類型)	article
dc.identifier.doi (DOI)	10.1016/j.mulfin.2016.06.002
dc.doi.uri (DOI)	https://doi.org/10.1016/j.mulfin.2016.06.002