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

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  • Hung, Chung-Wen
  • Shiu, Cheng-Yi

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.

Suggested Citation

  • Hung, Chung-Wen & Shiu, Cheng-Yi, 2016. "Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 49-63.
    • Handle: RePEc:eee:mulfin:v:36:y:2016:i:c:p:49-63
    DOI: 10.1016/j.mulfin.2016.06.002
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    More about this item

    Keywords

    MSCI Taiwan index; Index changes; Constituents; Investment performance;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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