指數成分股變動之異常報酬與公司治理

The Abnormal Returns Associated with Changes in Constituent of the MSCI Taiwan Index and Corporate Governance

10.6736/JPSR.201609_13(2).0003

楊馥如(Fu-Ju Yang)；王偉權(Wei-Chuan Wang)；蘇柏諺(Bo-Yen Su)；林惠雪(Huei-Hsieh Lin)

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 ； MSCI Taiwan Index

績效與策略研究

13卷2期（2016 / 09 / 01）

45 - 70

繁體中文

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 explored the impact 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 of the announcement date and effective date. The findings of the study showed that the 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 supporting the negative slope of the demand curve hypothesis and information connotation hypothesis on the announcement date and effective date. In addition, the study has established multiple regression model. The window period analysis is applied to determine the event duration and cumulative abnormal return as dependent variables. The independent variables are the shareholding proportion of institutional investors, board size, the shareholding proportion of managers, independent director seats, job duality and the shareholding proportion of directors and supervisors in order to examine the correlation between the variables of corporate governance and abnormal returns. The multiple regression model showed a negative correlation between the abnormal returns of MSCI Taiwan Index and the variables of board size and job duality. There was a positive correlation between the shareholding proportion of institutional investors, the shareholding proportion of managers, independent director seats, the shareholding proportion of directors and supervisors and abnormal returns.

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