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

Chung Wen Hung, Cheng Yi Shiu

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

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.

原文???core.languages.en_GB???
頁(從 - 到)49-63
頁數15
期刊Journal of Multinational Financial Management
36
DOIs
出版狀態已出版 - 1 9月 2016

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