MSCI台灣指數成分股變動之異常報酬與公司治理

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Title:	MSCI台灣指數成分股變動之異常報酬與公司治理 Corporate Governance and Abnormal Returns Associated with Changes in Constituent of the MSCI Taiwan Index
Authors:	蘇柏諺
Contributors:	財務金融學系
Keywords:	事件研究法市場模式異常報酬公司治理 MSCI台灣指數 event study market model abnormal returns corporate governance
Date:	2016-06
Issue Date:	2016-08-11 10:23:00 (UTC+8)
Abstract:	本研究將以事件研究法探討MSCI台灣指數成分股的宣告日效果與生效日效果，是否使新增股股價上揚，而剔除股是否造成股價下跌。實證結果表示，MSCI台灣指數成分股的宣告與生效，新增股有顯著正異常報酬且支持價格壓力假說，剔除股有顯著負異常報酬且支持負斜率需求曲線假說與資訊內涵假說。此外，本研究建立多元迴歸模型；以窗期分析決定事件期間，累積異常報酬為應變數，機構投資人持股比例、董事會規模、經理人持股比例、獨立董事席次、職務雙重性、董監持股比例等為自變數，來探討公司治理變數與異常報酬的相關性。在多元迴歸中，MSCI台灣指數成分股之異常報酬與董事會規模和職務雙重性為負向關係，機構投資人持股比例、經理人持股比例、獨立董事席次、董監持股比例等則是呈現正向關係。 This study will explored the impact of the announcement date and effective date of MSCI Taiwan Index via event study method to determine whether the price of the newly issued stocks would increase and the price of excluded stocks would decline. The study findings showed that the announcement date and effective date of MSCI Taiwan Index had a positive effect on the returns of new stocks while supporting the Price Pressure Hypothesis whereas it has a negative effect on the excluded stocks while sup-porting the negative slope of the demand curve hypothesis and information connotation hypothesis. In addition, the study has established multiple regression model, taking window period analysis determining event duration and Cumulative Abnormal Return as dependent variables while taking the shareholding proportion of institutional inves-tors, board size, the shareholding proportion of managers, independent director seats, job duality and the shareholding proportion of directors and supervisors as independent variables, to examine the correlation between corporate governance(as variables)and abnormal returns. The multiple regression model shows a negative correlation between the MSCI Taiwan Index and board size, job duality and abnormal returns and a positive correlation between the shareholding proportion of institutional investors, the share-holding proportion of managers, independent director seats, the shareholding proportion of directors and supervisors and abnormal returns.
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