[[alternative]]The Impact of MSCI's Quarterly Adjustment on the Return of Taiwan's New Constituent Stocks

[[abstract]] 本研究運用事件研究法探究MSCI季度調整宣告對台灣新增成分股股票報酬率之影響型態，進而提供投資大眾決策之參考。研究期間為2015年1月1日至2020年9月30日止，以MSCI季度調整台灣新增成分股為研究樣本，總計150家，樣本頻率為週股價報酬率。研究結果顯示MSCI季度調整宣告對台灣新增成分股應該是一個利多消息，但在宣告證實的那一刻便是利多竭盡之時，宣告日當週出現最高點後即回落，即使至執行日當週仍出現顯著負向報酬。因此MSCI季度調整台灣新增成分股於宣告日當週後不適宜長期持有，但可從MSCI季度調整台灣新增成分股中挑選半年度調整中的標準指數新增成分股於宣告日至執行日前作短期交易操作獲取報酬。[[abstract]] This study uses the event research method to explore the impact of the MSCI quarterly adjustment announcement on the return of Taiwan's new constituent stocks, and then provides a reference for the investment public's decision-making. The research period is from January 1, 2015 to September 30, 2020. The MSCI quarterly adjusted Taiwan's new constituent stocks are used as the research sample, a total of 150 companies, and the sample frequency is the weekly stock price return rate. The research results show that the MSCI quarterly adjustment announcement should be a bullish news for Taiwan's new constituent stocks, but the moment the announcement is confirmed is when the bulls are exhausted, the announcement day will fall after the highest point in the week, even until the week of the execution date. Significant negative returns still occur. Therefore, MSCI's quarterly adjustment of Taiwan's new constituent stocks is not suitable for long-term holding after the week of the announcement date. However, the new constituent stocks of the standard index under the semi-annual adjustment can be selected from the new constituent stocks of the MSCI quarterly adjustment in Taiwan for short-term trading operations to obtain rewards from the announcement date to the execution date