Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/111739
|
| Title: | 成分股調整之價量關係及新聞報導效果-以臺灣中型100指數為例
The Effects of Index Revision and News Coverage on Stock Price and Volume :Evidence from Taiwan Mid-Cap 100 |
| Authors: | 紀勛虔 |
| Contributors: | 岳夢蘭
紀勛虔 |
| Keywords: | 臺灣中型100指數
成分股調整
價量關係
新聞報導
價格壓力假說
Taiwan mid-cap 100 index
Index revision
Abnormal return and volume
News coverage
Price pressure |
| Date: | 2017 |
| Issue Date: | 2017-08-10 09:45:18 (UTC+8) |
| Abstract: | 本研究旨在探討臺灣中型100 指數成分股調整事件之價量關係以及新聞報導效果。研究樣本分為純粹納入股、向下納入股、純粹剔除股以及向上剔除股，並分別以成份股調整之宣告日與執行日作為事件日，採用事件研究法，分析事件前後之價量變化，同時，進一步探討，宣告日至執行日期間，新聞報導對於成分股調整效果之影響。實證結果顯示，純粹納入(剔除)股於宣告日當天以及執行日前一天具有顯著的正(負)向異常報酬，且短期內皆有反轉的現象產生；向下納入(向上剔除)股，在宣告日與執行日前一交易日享有負(正)向異常報酬，且執行日後五日旋即反轉；此外，此四類個股於宣告日以及執行日附近，皆有異常週轉率生。在新聞效果部分，本研究將純粹納入(剔除)股分為有利多(空)新聞之組別以及無新聞之組別，探討其異常報酬現象。實證結果發現，有利多(空)新聞之純粹納入(剔除)股，相較於無新聞之純粹納入(剔除)股享有較高的正(負)向異常報酬率，顯見在成分股調整事件中，新聞報導亦會影響股價表現。
This paper examines the effects of Taiwan mid-cap 100 index revision and news coverage on stock price and volume. Using event study method, the sample of this study is divided into four groups: pure additions, downward additions, pure deletions, upward deletions to analyze the changes of stock prices and volume on the announcement day and effective day. Furthermore, the effects of news coverage between announcement day and effective day are also investigated. Results of our analysis suggests that there are significantly positive (negative) abnormal returns (ARs) for pure additions (deletions) on announcement day and the day before effective day but transitory. For downward additions and upward deletions, there are significantly negative ARs for the former and significantly positive ARs for the latter. However, both ARs reverse within five days. Besides, there are abnormal volumes in the entire sample. As for the effects of news coverage, pure additions (deletions) are divided into two groups to examine the existence of ARs, one group with bullish (bearish) news and one group without. Results show that pure additions (deletions) with bullish (bearish) news have higher ARs than those without news coverage, supporting our hypothesis that in the event of index revision, news coverage do affect stock prices |
| Reference: | 一、英文部分
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of financial Economics, 17(2), 223-249.
Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of financial economics, 49(3), 307-343.
Beaver, W. H. (1968). The information content of annual earnings announcements. Journal of accounting research, 67-92.
Biktimirov, E. N., Cowan, A. R., & Jordan, B. D. (2004). Do demand curves for small stocks slope down?. Journal of Financial Research, 27(2), 161-178.
Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31.
Cai, J. (2007). What`s in the news? Information content of S&P 500 additions. Financial Management, 36(3), 113-124.
Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59(4), 1901-1930.
Cooper, D., & Woglom, G. (2003). ’The S&P 500 Effect: Not Such Good News in the Long-Run, Federal Reserve Board, Research and Statistics, Washington DC (No. 2002-48). FEDS Working Paper.
Denis, D. K., McConnell, J. J., Ovtchinnikov, A. V., & Yu, Y. (2003). S&P 500 index additions and earnings expectations. The Journal of Finance, 58(5), 1821-1840.
Dhillon, U., & Johnson, H. (1991). Changes in the Standard and Poor`s 500 List. Journal of Business, 75-85.
Elliott, W. B., & Warr, R. S. (2003). Price pressure on the NYSE and NASDAQ: Evidence from S&P 500 index changes. Financial Management, 85-99.
Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21.
Gidofalvi, G., & Elkan, C. (2001). Using news articles to predict stock price movements. Department of Computer Science and Engineering, University of California, San Diego.
Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815-829.
Hegde, S. P., & McDermott, J. B. (2003). The liquidity effects of revisions to the S&P 500 index: An empirical analysis. Journal of Financial Markets, 6(3), 413-459.
Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of finance, 54(6), 2143-2184.
Hong, H., Lim, T., & Stein, J. C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. The Journal of Finance, 55(1), 265-295.
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.
Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand curves for stocks do slope down: New evidence from an index weights adjustment. The Journal of Finance, 55(2), 893-912.
Lamoureux, C. G., & Wansley, J. W. (1987). Market effects of changes in the Standard & Poor`s 500 index. Financial Review, 22(1), 53-69.
Liang, X. (2006), “Mining Associations between Web Stock News Volumes and Stock Prices,” International Journal of Systems Science, Vol. 37, pp. 919-930.
Lim, T. (2001). Rationality and analysts` forecast bias. The Journal of Finance, 56(1), 369-385.
Lynch, A. W., & Mendenhall, R. R. (1996). New evidence on stock price effects associated with charges in the S&P 500 Index.
Masse, I., Hanrahan, R., Kushner, J., & Martinello, F. (2000). The effect of additions to or deletions from the TSE 300 Index on Canadian share prices. Canadian Journal of Economics/Revue canadienne d`économique, 33(2), 341-359.
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The journal of finance, 42(3), 483-510.
Shleifer, A. (1986). Do demand curves for stocks slope down?. The Journal of Finance, 41(3), 579-590.
Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. The journal of finance, 52(2), 737-783.
Woolridge, J. R., & Ghosh, C. (1986). Institutional trading and security prices: the case of changes in the composition of the S&P 500 index. Journal of Financial Research, 9(1), 13-24.
二、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: 財務與會計實證研究必備。華
泰文化。
林淑娟(2002)，「摩根台指成分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士論文。
陸姿樺(2007)，「成分股調整之股價效應：以摩根台指與臺灣50指數作比較」，國立政治大學財務管理研究所碩士論文。
許江河(2012)，「投資組合持股調整與績效之實證研究－以台灣50成分股為例」，國立虎尾科技大學學報；30券4期 |
| Description: | 碩士
國立政治大學
財務管理研究所
104357034 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104357034 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 703401.pdf | 1457Kb | Adobe PDF2 | 22 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
