學術產出-期刊論文
| 題名 | Trader activities, Ownership, and Stock Price Reactions to MSCI Standard Index Changes: Evidence from Taiwan |
| 作者 | 徐政義 Shiu, Cheng-Yi;Hung, Chung-Wen |
| 貢獻者 | 國貿系 |
| 關鍵詞 | MSCI Taiwan index; Index changes; Constituents; Investment performance |
| 日期 | 2016-09 |
| 上傳時間 | 2024-10-04 |
| 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. |
| 關聯 | Journal of Multinational Financial Management, Vol.36, pp.49-63 |
| 資料類型 | 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 |