[[alternative]]Effects of the Revision of Component Stocks in TWSE CG 100 Index on Shareholder's Fortune

[[abstract]] 近年來台灣日益重視公司治理的課題，包含金融監督管理委員會持續關注並推動公司治理評鑑，本文採用臺灣公司治理100指數成分股審核結果做為研究的資料，並探討臺灣公司治理100指數成分股異動對股東財富之影響，每當成分股被納入或剔除於指數的採計範圍，市場是否受此訊息的影響而對個股產生異常報酬，若一家公司被納入為指數新成分股時，應有正向的異常報酬；反之，遭剔除於指數之外的公司，亦應有負向的異常報酬。 本文運用事件研究法估計異常報酬率，並對臺灣公司治理100指數在2016年至2020年異動之成分股進行研究，觀察成分股異動的股價效應與成交量的變化。實證結果發現，新增股在事件生效前1日有顯著的正異常報酬率，表示新增股的宣告仍具有宣告效果。至於剔除股方面，雖於生效日出現不顯著的負異常報酬率，惟生效日後7日內的累積異常報酬率亦呈現顯著負向的結果，這樣的宣告效果尚符合訊息內涵假說。另外，本文亦發現臺灣公司治理100指數成分股審核結果在公布前，似乎隱含著有資訊不對稱及內線交易的現象發生。[[abstract]] In recent years, Taiwan has been placing a greater emphasis on corporate governance including the continued focus and promotion of corporate governance evaluation by the financial supervisory commission. This study used the audit result for constituent stocks of the TWSE CG 100 Index as the data for the study and discussed the impact of changes in TWSE CG 100 Index constituent stocks on the wealth of the shareholder. The study explored whether the market will be affected by the inclusion or removal of a constituent stock from the index, leading to abnormal returns for that specific stock. When a company is included as a new constituent stock for the index, there should be positive abnormal returns. Conversely, a company that has been removed from the index should have negative abnormal returns. This study used event study to estimate the abnormal returns and focused on the TWSE CG 100 Index constituent stocks that changed between 2016 and 2020. The effects of changes in the constituent stocks on share price and trade volume were explored. The result showed that newly included stock demonstrated significant positive abnormal returns a day before the event is in effect. This suggested that the announcement for newly included stock still has the announcement effect. For the stock that was removed, there are no significant negative abnormal returns on the effective date. However, the cumulative abnormal returns within seven days of the effective date showed significant negative returns. This type of announcement effect is in line with the information content hypothesis. In addition, this study discovered that there seemed to be information asymmetry and insider trade before the audit result announcement for the TWSE CG 100 Index constituent stocks