本文採用事件研究法，探討2008年至2018年間摩根士丹利資本國際公司（MSCI）臺灣指數剔除成分股之資訊內涵，檢測市場投資人對於該項訊息宣告，是否會產生異常股價報酬或是異常周轉率反應。實證結果發現，投資人在剔除股宣告日後，產生出統計顯著之負向異常報酬反應，剔除股則在宣告日前後皆有顯著的正向異常周轉率出現。本文進一步將樣本區分為電子與非電子類股後發現，兩者在異常報酬和異常周轉率方面，皆未有顯著的差異性存在。上述實證結果表示，投資人對於股票遭受MSCI剔除是給予負面評價的，而且在成分股調整宣告日附近有頻繁交易的傾向。 This article uses the event research method to explore Morgan Stanley Capital International from the year 2008 to 2018. The company (MSCI) Taiwan Index removes the information content of the constituent stocks, and detects whether market investors will generate abnormal stock price compensation or abnormal turnover rate response to the announcement. The empirical results after the deletion date, investors produced a statistically significant negative anomalous response, and the elimination of stocks had a significantly positive abnormal turnover rate within the next ten days after the announcement. This article further divides the sample into electronic and non-electronic stocks and there was no significant difference between them in terms of abnormal returns and abnormal turnover rates. The above empirical results indicate that investors are negatively valuing stocks subject to MSCI deletions, and tend to trade frequently around the constituent stock adjustment announcement day.
