The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index
碩士 === 國立中央大學 === 財務金融研究所 === 98 === This study investigates the reaction of the Taiwan stock market to a change in the constituents of the MSCI Taiwan Index. Empirical results suggest that the abnormal returns are significantly positive for added stocks and significantly negative for deleted stocks...
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ndltd-TW-098NCU053040102016-04-20T04:17:47Z http://ndltd.ncl.edu.tw/handle/53293798507407591533 The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index 摩根台灣指數成分股調整對台灣股市與外資持股的影響 Yi-jie Wu 巫怡潔 碩士 國立中央大學 財務金融研究所 98 This study investigates the reaction of the Taiwan stock market to a change in the constituents of the MSCI Taiwan Index. Empirical results suggest that the abnormal returns are significantly positive for added stocks and significantly negative for deleted stocks on the announcement day and the effective day. The results also show that foreign ownership increase in additions and decrease in deletions. Furthermore, the increase in foreign ownership of additions exceeds the decrease in foreign ownership of deletions, the asymmetric investor awareness hypothesis is the best explanation of this results. Cheng-Yi Shiu 徐政義 2010 學位論文 ; thesis 49 en_US |
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碩士 === 國立中央大學 === 財務金融研究所 === 98 === This study investigates the reaction of the Taiwan stock market to a change in the constituents of the MSCI Taiwan Index. Empirical results suggest that the abnormal returns are significantly positive for added stocks and significantly negative for deleted stocks on the announcement day and the effective day. The results also show that foreign ownership increase in additions and decrease in deletions. Furthermore, the increase in foreign ownership of additions exceeds the decrease in foreign ownership of deletions, the asymmetric investor awareness hypothesis is the best explanation of this results.
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Cheng-Yi Shiu |
author_facet |
Cheng-Yi Shiu Yi-jie Wu 巫怡潔 |
author |
Yi-jie Wu 巫怡潔 |
spellingShingle |
Yi-jie Wu 巫怡潔 The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index |
author_sort |
Yi-jie Wu |
title |
The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index |
title_short |
The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index |
title_full |
The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index |
title_fullStr |
The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index |
title_full_unstemmed |
The effects of additions and deletions on foreign ownership and local market: evidence from MSCI Taiwan index |
title_sort |
effects of additions and deletions on foreign ownership and local market: evidence from msci taiwan index |
publishDate |
2010 |
url |
http://ndltd.ncl.edu.tw/handle/53293798507407591533 |
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