Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23302
標題: MSCI成分股調整對同產業內的競爭效果與蔓延效果
Contagion and Competitive Effects to Changes of the Constituents in the International Stock Index: Evidence from Additions to and Deletions from MSCI in Taiwan
作者: 陳人豪
Chen, Jen-Hao
關鍵字: 產業效果;Intra-Industry effect;蔓延效果;競爭效果;宣告日;有效日;累積異常報酬;Contagion Effect;Competitive Effect;Announcement Day;Effective Day;Cumulative Abnormal Returns
出版社: 財務金融系所
引用: 中文部分 黃偉倫、 廖麗娟 (2010),「臺灣注意交易資訊對外資交易行為之影響」。 蘇逸偉 (2001),「初次購併對手公司之異常報酬相關因素分析:以台灣上市公司為例」,國立中正大學企業管理研究所碩士論文 翁鶯娟 (2002),「併購宣告對產業內競爭對手公司股價影響之研究-以台灣上市公為例」,國立成功大學管理學院高階管理碩士在職專班。 林淑娟 (2002) ,「摩根台指成分股調整宣告對現貨市場的影響」,國立成功大學國際企業研究所碩士論文。 游貞旋 (2002),「庫藏股宣告對同業股價影響之實證研究」,國立成功大學國際企業管理研究所碩士論文。 黃冠仁 (2003),「我國上市股票購回宣告與同業股價關聯性研究」,國立中山大學財務管理研究所碩士論文。 謝咏璇 (2005),「公司治理對研發支出增加宣告之財富效果」,國立成功大學國際企業研究所碩士論文。 伍偉榮 (2005),「摩根成分股調整對線股價量的影響」,國立中山大學財務管理學系在職專班碩士班論文。 陸姿樺 (2007),「成分股調整之股價影響:以摩根台指與台灣50指數作比較」,國立政治大學財務管理研究所碩士論文。 許睿芬 (2008),「台灣上市公司為基與購併事件對同產業內其他公司股價之影響」,國立中興大學財務金融學研究所碩士論文。 西文部分 Aharony, J. and I. Swary (1983). "Contagion effects of bank failures: Evidence from capital markets." The Journal of Business 56(3): 305-322. Bae, K. H., G. A. Karolyi. (2003). "A new approach to measuring financial contagion." Review of Financial studies 16(3): 717. Bessler, W. and T. Nohel (2000). "Asymmetric information, dividend reductions, and contagion effects in bank stock returns." Journal of Banking & Finance 24(11): 1831-1848. Caton, G. L., J. Donaldson. "The Effect on Rivals when Firms Emerge from Bankruptcy." Chakrabarti, R. (2002). "Market Reaction to Addition of Indian stocks to the MSCI Index." Icra Bulletin Money & Finance. Chakrabarti, R., W. Huang. (2004). "Do international investors!| demand curves for stocks slope down too." Journal of Banking and Finance. Chakrabarti, R., W. Huang. (2005). "Price and volume effects of changes in MSCI indices-nature and causes." Journal of Banking & Finance 29(5): 1237-1264. Elliott, W. B., B. F. V. Ness. (2006). "What drives the S&P 500 inclusion effect? An analytical survey." Financial Management 35(4): 31-48. Ferris, S. P., N. Jayaraman, et al. (1997). "The response of competitors to announcements of bankruptcy: An empirical examination of contagion and competitive effects." Journal of Corporate Finance 3(4): 367-395. Hernandez, L. F. and R. O. Valdes (2001). "What drives contagion:: Trade, neighborhood, or financial links?" International Review of Financial Analysis 10(3): 203-218. Hsin, C. W. (2004). "A multilateral approach to examining the comovements among major world equity markets." International Review of Financial Analysis 13(4): 433-462. 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. Khan, S. and K. W. K. Park (2009). "Contagion in the stock markets: The Asian financial crisis revisited." Journal of Asian Economics 20(5): 561-569. Liu, S. (2000). "Changes in the Nikkei 500: New evidence for downward sloping demand curves for stocks." International Review of Finance 1(4): 245-267. Lynch, A. W. and R. R. Mendenhall (1997). "New evidence on stock price effects associated with changes in the S & P 500 Index." Journal of Business: 351-383. Shankar, S. G. and D. S. Randhawa (2006). "The effects of Index changes in the Hong Kong and Singapore stock markets." Shiu, C. Y. and J. Y. Wu "Foreign Ownership and Local Market Reaction to Changes of the Constituents in the International Stock Index: Evidence from Additions to and Deletions from MSCI Taiwan Index." Slovin, M. B., M. E. Sushka, et al. (1999). "An analysis of contagion and competitive effects at commercial banks* 1." Journal of Financial Economics 54(2): 197-225. Tai, C. S. (2007). "Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets." Emerging Markets Review 8(4): 264-283. Wang, K. M. and T. B. Nguyen Thi (2007). "Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan." Physica A: Statistical Mechanics and its Applications 376: 422-432.
摘要: 
本研究重點除了探討MSCI在宣告日對於新增成分股和刪除成分股的影響,並根據產業分為傳統產業和電子產業在宣告日的差異,另外檢察在有效日是否有同樣的宣告效果。根據公司的財務特性,利用簡單回歸和多變量分析,討論對競爭對手所產生的競爭效果與蔓延效果。

實證結果和先前研究相似,在新增成分股方面,宣告日有正向異常報酬,在刪除成分股方面,有負向異常報酬。除探討宣告日之外,本研究將有效日的宣告事件也加入,發現新增或刪除成分股的不同,宣告事件的顯著性也不一樣。而本研究也發現傳統產業和電子產業,還有MSCI成分股公司的財務特性,累積異常報酬、產業集中度、產業規模、財務槓桿、相對資產報酬率、相對股東權益報酬率也會分別對整個產業有不同的影響。

This paper focus on the effects to changes of the Constituents in MSCI Taiwan Index. We separate industry into two different sectors to examine the effects of intra-industry in announcement and effective day. Then we use the method of simple regression and multiple regression model to check the effects of financial characteristics to the whole industry.

Empirical result is similar to previous studies. There is a significantly positive abnormal returns in added stocks to MSCI, and a significantly negative abnormal returns in deleted stocks from MSCI. We not only examine the effects of announcement day, but also the effective day. The result we discover is depend on the situation (announcement day or effective day) we have. Based on the different kinds of financial characteristics(Financial Leverage, Return on Equity, Return on Assets, Herfindahl Index, Market Size) they added to and deleted from MSCI Taiwan Index, we still find out there is a significantly difference what we talk about in previous studies.
URI: http://hdl.handle.net/11455/23302
其他識別: U0005-1807201116334700
Appears in Collections:財務金融學系所

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