Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan

Chung-Wen Hung and Cheng-Yi Shiu

Journal of Multinational Financial Management, 2016, vol. 36, issue C, 49-63

Abstract: This paper examines market reactions to constituent changes in the MSCI Taiwan Index. We find that abnormal returns are significantly positive for additions and significantly negative for deletions. Foreign investors purchase the shares of stocks added to the index, and sell the shares deleted from the index. We also find that individuals and corporate investors provide liquidity to foreign investors. In terms of investment performance around announcement and implement dates, foreign investors have positive returns on additions and small losses on deletions, while individuals suffer losses on additions.

Keywords: MSCI Taiwan index; Index changes; Constituents; Investment performance (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:36:y:2016:i:c:p:49-63

DOI: 10.1016/j.mulfin.2016.06.002

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