Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan

Chung Wen Hung, Cheng Yi Shiu

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

This paper examines market reactions to constituent changes in the MSCI Taiwan Index. We find that abnormal returns are significantly positive for additions and significantly negative for deletions. Foreign investors purchase the shares of stocks added to the index, and sell the shares deleted from the index. We also find that individuals and corporate investors provide liquidity to foreign investors. In terms of investment performance around announcement and implement dates, foreign investors have positive returns on additions and small losses on deletions, while individuals suffer losses on additions.

Original languageEnglish
Pages (from-to)49-63
Number of pages15
JournalJournal of Multinational Financial Management
Volume36
DOIs
StatePublished - 1 Sep 2016

Keywords

  • Constituents
  • Index changes
  • Investment performance
  • MSCI Taiwan index

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