指數成分股變動之市場反應是指數成分股股價和成交量，因為指數成分股變動而產生大幅上漲或下跌的趨勢。過去文獻多數著重於已開發市場大型股的指數，在新興市場和小型股的指數方面的研究較為缺乏。為了彌補此一研究缺口，本研究將探究臺灣中型100指數成分股的變動，對股票報酬及交易量產生的市場反應。臺灣中型100指數的成分股為臺灣具成長潛力之中型企業代表，透過本研究可以了解中型企業績效對股票市場的影響力。本研究觀察臺灣中型100指數中，被新增及被剔除之股票的長期影響。觀察期為2005年4月至2017年12月，實證結果發現，被加入指數的股票在事件月前為正向異常報酬，被指數剔除的股票在事件月前為負向異常報酬，但被加入和被剔除的股票皆在事件月後反轉。交易量的部分全部被加入、全部被剔除、純粹加入、被迫剔除股交易量均為增加，僅有因市值下降而被迫加入、純粹剔除股之交易量下降。
The market reaction is the rising or declining trend of the price and volume of the constituent stock because of the change of components. Over the past, there has been a considerable emphasis on the large stocks in the developed market. And there is a lack of research on the emerging market and small stocks index. In order to supplement this research gap, this paper will explore the market reaction to the changes of the Taiwan Mid-Cap 100 Index component stocks. The Taiwan Mid-Cap 100 Index is the representative of Taiwan medium-sized enterprises. In this study, constituent stocks of Taiwan Mid-Cap 100 Index were to observe the long-term impact of the added and deleted stocks of the index. The observation period was from April 2005 to December 2017, and it was proved that the stock that had been added were positive abnormal return before the event month, and that the stock that had been deleted were negative abnormal return before the event month. However, the performance of added and deleted stocks were reversed after the event month. The trading volume of all addition, all deletion, pure addition, and forced deletion has been rised. The trading volume of forced addition and pure deletion fell because of the decline in market capitalization, the volume of stock fell.
