| Reference: | Ⅰ. 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。
李智群 (2006)，「高投資績效組合建構之實證研究─以MSCI台股指數與台灣50指數為例」，中興大學會計學研究所碩士論文。
沈中華、李建然 (2000)，事件研究法，華泰文化事業公司。
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博士班碩士論文。
袁榮燦 (2002)，「摩根台指變更成分股之股價效應研究」，貨幣觀測與信用評等第33期，82-91頁。
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」，政治大學財務管理研究所碩士論文。
黃雨溱 (2002)，「MSCI指數台灣成分股變動支價量效果與流動性」，輔仁大學管理學研究所碩士論文。
葉銀華 (1999)，「摩根史坦利事件對股票異常報酬影響之研究」，證券市場發展季刊第11卷第2期，29-66頁。
鍾俊文、林家緯 (2006)，「摩台指與台灣50指數變動成分股的股價效應」，貨幣觀測與信用評等第62期，37-46頁。
Ⅱ. 英文部分
Barberies, N., Shleifer, A., & Wurgler, J. (2004), “Co-movement,” Harvard Institute of Economic research discussion paper, 1953.
Coakley, J., Kougoulis, P. (2004),“Comovement and changes to FTSE 100 index,” Conference paper, presented at European Financial Management Association (EMFA) meetings, Basel 2004.
Corhay, A., & Rad, A. T. (1996),“Conditional heteroscedasticity adjusted market model and an event study,” Quarterly Review of Economics and Finance, 36, 529-538.
Dhillon, J., & Johnson, H., (1991),“Changes in the Standard and Poor’s list,” Journal of Business, 64, 75-85.
Edmister, R., O., Graham, A. S., & Pirie, W. L. (1994), “Excess returns of index replacement stocks: Evidence of liquidity and substitutability,” The Journal of Financial Research, 17, 333-346.
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 pressure,” Journal of Finance, 41, 586-597.
Jain, P. C. (1987),“The effect on stock price of inclusion in or exclusion from the S&P 500,” Financial Analysts Journal, 58-65.
Kaul, A., Mehrotra, V., & Morck, R. (2002),“ Demand curves for stocks do slope down: New evidence from an index weights adjustment,” Journal of Finance, 55, 893-912.
Khelifa, M., & Bharim, S. (2007), “New evidence on the price and liquidity effects of the FTSE 100 index revisions,” International Review of Financial Analysis, 16, 223-241.
Lynch, A. W., & Mendenhall, R. R. (1997),“New evidence of stock price effects associated with changes in the S&P 500 index,” Journal of Business, 70, 351-382.
Makenzie, M. D., Brooks, R. D., &Faff, R. W. (2000),“The use of domestic and world market indexes in the estimation of time-varying betas,” Journal of Multinational Financial Management, 10, 91-106.
Mase, B., (2002),“The impact of changes in the FTSE 100 index,” Working paper: Brunel University.
Ruey S. Tsay (2005), Analysis of Financial Time Series, Second Edition. New York: Wiley, 490-542.
Savickas, R. (2003),“Event-induced volatility and tests for abnormal performance,” The Journal of Financial Research, 26, 165-178.
Shleifer, A. (1986),“Do demand curves for stocks slope down?” Journal of Finance, 41, 579-590. |
