隨著全球被動投資規模的爆發性成長，過往已有許多文獻針對指數成分股調整的對於成分股報酬影響，即所謂的「指數效應」，進行不同方向之研究。傳統文獻認為成分股的納入或移出會帶來顯著的超額報酬，現今則有文獻發現該超額報酬已經逐漸消失甚至反轉。本研究以2004年至2024年間臺灣50指數成分股調整事件為樣本，並透過事件研究法與橫斷面分析，最終實證發現臺灣市場納入組的指數效應與美國市場之演進趨勢契合，也符合統計顯著水準的逐漸消失趨勢。
針對此一現象，本文參考先前文獻之結果去進行驗證指數遷徙（Index Migration）、成分股調整之可預測性增加、流動性提升是否為導致指數效應在台灣市場消失的主要三個原因。首先，在可預測性方面，結果顯示市場投資人已能有效預測成分股調整並提前交易，導致宣告後的價格衝擊受到稀釋。其次，在流動性機制方面，儘管市值型 ETF 規模日益擴張，但台灣市場整體的流動性，以Lesmond et al.（1999）提出的零報酬的交易天數衡量，顯示出在過去二十年間發生了結構性的提升，市場吸收龐大買賣壓力之能力已明顯增強，所以當成分股進行調整對價格所產生的影響也逐漸消失。最後，在指數遷徙方面則與美股市場不同，由於臺灣 50 指數與中型100指數間的追蹤資金規模極度懸殊，以及成分股幾乎全都來自於彼此，導致指數遷徙的解釋能力在台灣市場相對受限。

With the phenomenal growth of global passive investment, traditional literature suggests that the adjustment of constituents brings significant abnormal returns, whereas recent studies have found that these abnormal returns are gradually disappearing or even reversing. Using the constituent adjustment events of the Taiwan 50 Index from 2004 to 2024 as sample, and through event study methodology and cross-sectional analysis, the result shows that the index effect for the addition group in the Taiwan market also exhibit a statistically significant trend of gradual disappearance.
This paper also verifies whether index migration, the increased predictability of constituent adjustments, and the improvement in liquidity are the three main reasons leading to the disappearance of the index effect in the Taiwan market. First, regarding predictability, the results show that market investors can effectively predict constituent adjustments and trade in advance, thereby diluting the price impact following the announcement. Second, regarding the liquidity, despite the growing scale of market capitalization-weighted ETFs, the overall liquidity of the Taiwan market has shown a structural improvement over the past two decades. The market's capacity to absorb massive trading pressure has significantly strengthened, causing the price impact of constituent adjustments to gradually disappeared. Finally, due to the extreme disparity in the scale of tracking funds between the Taiwan 50 Index and the Taiwan Mid-Cap 100 Index, and the fact that their constituents are almost entirely derived from each other, the explanatory power of index migration is relatively limited in the Taiwan market.

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