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

Hung, Chung Wen; Shiu, Cheng Yi

doi:10.1016/j.mulfin.2016.06.002

Cited by 7 publications

(11 citation statements)

References 29 publications

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“…Several similar studies have been conducted by Wilkens and Wimschulte [1]; Bechmann [2]; Shankar and Miller [3]; and Hung and Shiu [4] which gave similar results, that there were significant changes to the stock price when the stock included or excluded into the reference of index. On the other hand, Chen, Koutsantony [5] showed that there was an impaction to the stock price when inclusion and exclusion stocks of the reference index was not giving any significant affect.…”

Section: Introductionmentioning

confidence: 52%

“…The results of this study illustrated the positive relationship between returns and the inclusion stocks into the MSCI index, while the exclusion stock from the MSCI index proved to have a negative relationship with returns. Besides Shu, Yeh [12], Hung and Shiu [4] also conducted a study on changes in the composition of the MSCI index in Taiwan. Data analysis used multivariate analysis in order to calculate the abnormal returns.…”

Section: Literature Reviewmentioning

confidence: 99%

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The Effect of Inclusion and Exclusion Indexes Towards LQ45 and MSCI Index on the Pattern of Stock Return and Stock Trading Volume

Widyawati¹,

Wibowo²

2021

Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bo

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This study examines the effect of changes in composition of the index on stock return and trading volumes at IDX used event study methodology. It is used to find out the market's response to inclusion or exclusion stocks of the LQ45 and MSCI indexes. The final sample consisted of 24 inclusion stocks and 22 exclusion stocks in the LQ45 index; 17 inclusion stocks and 10 exclusion stocks in the MSCI index. The result showed a significant increase (decrease) in return when a stock added to (deleted form) the LQ45 and MSCI indexes. It also obtained a significant result in trading volume from inclusion and exclusion stocks in the MSCI index, yet inclusion stocks in the LQ45 index was not. This shows that the Indonesian capital market is not fully efficient market. This research supports the sustainability of investors' investment because it can be used as recommendations of making investment decisions.

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Section: Introductionmentioning

confidence: 52%

Section: Literature Reviewmentioning

confidence: 99%

The Effect of Inclusion and Exclusion Indexes Towards LQ45 and MSCI Index on the Pattern of Stock Return and Stock Trading Volume

Widyawati¹,

Wibowo²

2021

Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bo

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show abstract

“…Moreover, those managers, sometimes, cannot follow all markets. Thus; international portfolio managers, exchange traded funds, and also index tracking funds need to follow international indexes closely and treat them as benchmarks (Chakrabarti, 2002;Hung and Shiu, 2016;Chen et al, 2019). Other than serving as a benchmark, international indexes provide some advantages like increasing the number of investors, decreasing in the cost of information gathering.…”

Section: Introductionmentioning

confidence: 99%

“…In order to satisfy the needs of internatonal investors, several international indexes have been calculated.The FTSE Global Equity Index Series, Thomson Reuters Global Equity Indices, Nasdaq Global Indexes, S&P Global Equity Index series, Morningstar Global Equity Index series, and Morgan Stanley Capital International (MSCI) international Indexes are the most well known examples. Among those indexes, MSCI has been taken as a benchmark index as it is a widely used index by money managers (Chakrabarti et al, 2005;Authers, 2015;Hung and Shiu, 2016). Furthermore, foreign investors tend to invest more on the stocks, which are included in MSCI indexes (Ferreira and Matos, 2008;Ammer et al, 2012).…”

Section: Introductionmentioning

confidence: 99%

Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey

Avcı

Çinko

Öner

et al. 2023

Journal of Yaşar University

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The effect of index reconstitution on stock return and volume have been one of the controversial subjects in finance. Although, there are several researches, which are analyzing the domestic stock market index effect on stocks, a few studies focused on the effects of an international index. By the use of event study methodology, this paper analyzes the price effect of changes in constituents of two MSCI indexes (Standard Index and Small Cap Index) for Turkish companies as of announcement and effective dates. Overall, there are four analyses; namely, addition to Small Cap Index with respect to announcement (effective) day, deletion from Small Cap Index with respect to announcement (effective) day, addition to Standard Index with respect to announcement day (effective), and deletion from Standard Index with respect to announcement day (effective). The findings of the study present that index effect may appear or disappear, depending on the index, on which index reconstitution is being analyzed. Moreover, existence of the index effect is also subject to event day definition, which may be either announcement date or effective date of the index event.

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“…The study of Chakrabarti et al (2005) documented the effect of changes in the MSCI countries indices on the returns and liquidity of the addition and deletion of stocks. The authors of Leuz et al (2008) found that foreign institutional investors have a strong preference for picking constituents in the MSCI index and Hung and Shiu (2016) found that the trading behaviors of different groups of market participants and ownership changes of firms added to or deleted from the MSCI Taiwan index provide a better understanding of trader behavior around constituent changes and effects on abnormal returns and liquidity. The authors of Chen et al (2019) further tested the investor awareness hypothesis and illustrated that the positive abnormal returns of additions in MSCI are significantly higher in emerging countries than in developed countries.…”

Section: Introductionmentioning

confidence: 99%

Empirical Analysis of MSCI China A-Shares

2021

JRFM

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In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant predictability for future MCASI returns, supported by the in-sample and out-of-sample results. From the perspective of sector investment, we show that the sector portfolio of “information transfer, software and information technology services” performs the best among the 10 sector portfolios. In addition, seven approaches of the optimal portfolio in ten sectors are examined, and the results suggest that the classic Markowitz portfolio approach is recommended. Our empirical analysis is helpful for domestic and foreign investors seeking to form investment strategies for MSCI China A-shares.

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

Cited by 7 publications

References 29 publications

The Effect of Inclusion and Exclusion Indexes Towards LQ45 and MSCI Index on the Pattern of Stock Return and Stock Trading Volume

The Effect of Inclusion and Exclusion Indexes Towards LQ45 and MSCI Index on the Pattern of Stock Return and Stock Trading Volume

Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey

Empirical Analysis of MSCI China A-Shares

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