本研究旨在探討摩根台指成份股新增或剔除變動對於現貨市場之影響。首先分析新增股與剔除股的累積異常報酬率與累積異常交易量率之宣告效果，再者探討公司特性與外資持股比率調整對股票異常報酬的影響。實證結果發現，新增股及剔除股確實存在顯著的正異常報酬與負異常報酬，且宣告後股價會呈現逆轉的現象，符合價格壓力假說（PPH）。而累積異常交易量率於事件日當月是增加，而次月是下降，應為投資者持股調整變動增減所導致。公司特性方面，權益市值較高者與公司規模較高者的累積異常報酬率也愈高，而每股盈餘與負債比率則無影響。再者，外資持股比率高者之股票，其累積異常報酬率也愈高，而外資持股比率調整變動與累積異常報酬率則呈現顯著的正相關。

This study examines the common stock valuation and liquidity effects of firms being added to and deleted from the MSCI Taiwan Index, and analyzes the influence of firm characteristics and change of the shareholding of foreign investors on abnormal returns. The empirical result shows that stocks added to (deleted from) the MSCI Taiwan Index experience a significant positive (negative) announcement day excess return. And after announced, this increase (decrease) is nearly fully reversed. The findings support the Price Pressure Hypothesis（PPH）. An analysis of common stock liquidity around added to (deleted from) the Index reveals that while relative trading activity increases in the month of addition, it actually declines in subsequent months. Since these changes due to some investors adjust their holdings of the affected securities. In firm characteristics, only high market value and high firm size have high cumulative abnormal returns, and earning per share and debt ratio are no effects. Besides, we do find that the stocks with increasing shareholding by foreign investors would accompany with an increase in cumulative abnormal returns. And changes in foreign shareholdings in response to cumulative abnormal returns in additions or deletions from the MSCI Taiwan Index are indeed positively correlated.

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