Do anticipated changes in the MSCI Taiwan index drive investor behavior?

Yun-lan Tseng and Ging-ginq Pan

International Review of Economics & Finance, 2024, vol. 92, issue C, 563-580

Abstract: Using orders submitted to the Taiwan Stock Exchange (TWSE), we find that foreign investors buy (sell) more additions (deletions) during the event period than individual investors. Domestic institutions do the opposite of foreign investors on the day before the effective day (ED). By grouping foreign investors into indexers, quasi-indexers, and non-indexers and classifying orders into aggressive and conservative, we find that both indexers and non-indexers display a pattern of indexing during the event period and prefer to buy additions through aggressive orders. In particular, indexers cluster their rebalancing activity around ED while non-indexers spread their orders during the event period.

Keywords: Index changes; Portfolio rebalancing; Order submission strategy (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056024001059
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:92:y:2024:i:c:p:563-580

DOI: 10.1016/j.iref.2024.02.031

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().