A股納入MSCI之價量影響－中美貿易戰前後之分析

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题名:	A股納入MSCI之價量影響－中美貿易戰前後之分析 Price and Volume Effects Associated with the Inclusions of A-Shares into MSCI: Evidence before and after the China-United States Trade War
作者:	鄭羽真
贡献者:	財務金融學系
关键词:	MSCI指數中國A股異常報酬異常成交量週轉率分量迴歸 MSCI index China A shares abnormal return abnormal volume turnover quantile regression
日期:	2020
上传时间:	2020-08-06 14:44:04 (UTC+8)
摘要:	A股納入MSCI指數，意味著中國對於資本市場的改革與開放所做的努力逐步得到了國際投資者的認同，預期將來更多的海外投資者、法人進軍中國資本市場。本研究以納入MSCI指數的中國A股為樣本，使用事件研究法，探究在事件公告日與實施日是否產生異常報酬與異常成交量週轉率。並進一步利用分量迴歸，探討中美貿易戰後，影響累積異常報酬的因子。實證顯示，不管是公告日或實施日，皆有顯著的異常報酬與異常成交量週轉率。且透過分量迴歸分析後，發現在中美貿易戰後，被課徵關稅及銷貨收入來自海外此兩項因素，對累積異常報酬皆有影響。故本文可以給予投資人在指數成分股變動時，買進股票或賣出股票的投資建議；也建議政府機關在頒布政策時，能及時提供經濟政策的資訊，並考慮關稅政策對於經濟的影響。 The inclusion of A shares in the MSCI index means that China's efforts to reform and open up the capital market have gradually been recognized by international in-vestors, and more overseas investors and institutional investors are expected to enter China's capital market in the future. The China A-shares that are included into the MSCI Index were chosen as observations. The event study method was applied to ex-plore whether abnormal return and abnormal volume turnover were generated on the announcement date and the effective date. And further the quantile regression was used to explore the factors to the impact of the cumulative abnormal return after Chi-na–United States trade war. This study demonstrated that, no matter the announcement date or the effective date, there are significant abnormal return and abnormal volume turnover. Through the quantile regression, it is also found that the imposition of tariff and sales revenue from overseas have an impact on the cumulative abnormal return after the China–United States trade war. This finding perhaps can give investors in-vestment advice to buy or sell stocks when the index component stocks are changed, and also suggest that government agencies can provide timely information of eco-nomic policies when issuing, and consider the impact of tariff policies on the econo-my.
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