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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/101071
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/101071


    Title: 台灣50指數成分股調整對價量與法人持股的影響
    The Effects of Taiwan 50 Index Revision on the Stock Price and Volume and Corporate Ownership
    Authors: 吳怡儒
    Contributors: 盧敬植
    吳怡儒
    Keywords: 台灣50指數
    成分股
    異常報酬
    交易量
    法人持股
    價格壓力
    Date: 2016
    Issue Date: 2016-09-01 23:44:21 (UTC+8)
    Abstract: 本研究主要探討台灣50指數成分股調整事件中,新增股、剔除股及非變動成分股在宣告日與實際執行日前後的價量變化,並深入研究成分股調整對三大法人持股比率的影響。實證結果發現,短期下新增股有顯著正向異常報酬、剔除股存在顯著負向異常報酬,且新增股及剔除股皆有價格反轉的現象,符合學者提出的價格壓力假說(Price Pressure Hypothesis);但長期下新增股及剔除股的累積異常報酬皆呈現反向變化。再者新增股有持續的異常成交量存在,剔除股僅在執行日及執行日前後有異常成交量。本研究亦發現投信在台灣50指數成分股調整後會顯著提高新增股的持股及降低剔除股的持股,且投信持股比率變動對於新增股及剔除股的異常報酬皆有顯著影響;外資及自營商在事件期間的持股變化則與投信反向。
    Reference: 一、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,華泰文化事業公司。
    巫怡潔 (2010),「摩根台灣指數成分股調整對台灣股市與外資持股的影響」,國立中山大學財務金融研究所碩士論文。
    林淑娟 (2002),「摩根台指成份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博士班碩士論文。
    紀嘉瑜 (2007),「台灣50指數成分股變動之價量效果」,國立政治大學國際經營與貿易學系碩士論文。
    陸姿樺 (2007),「成分股調整之股價效應: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。
    葉銀華 (1999),「摩根史坦利事件對股票異常報酬影響之研究」,證券市場發展季刊十一卷二期,頁29-66。
    二、英文部分
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    Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 42(3), 483-510.
    Pruitt, S. W., & Wei, K. J. (1989). Institutional Ownership and Changes in the S&P 500. The Journal of Finance, 44(2), 509-514.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    103357030
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103357030
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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