International Journal of Performance Measurement







Volume 9, Number 1, June 2019

The Analysis of Long-term Performance of the Changes of Mid-Cap Index

Fu-Ju Yang*, Hsiao-Chen Chang, Yu-Shan Huang


Market reactions to the change of index constituents are reflected in the share prices and trading volumes of constituent stocks. More of than not, share prices and trading volumes exhibit significant ups or downs, in response to the change of index constituents. Literature mostly focuses on large-cap indexes in developed markets. There are not many studies on small-cap indexes or emerging market indexes. To fill the academic void, this paper examines how the market responds to the change of the Taiwan Mid-Cap 100 Index constituents as reflected by stock returns and trading volumes. The Taiwan Mid-Cap 100 Index is a showcase of the medium-sized companies in Taiwan with growth potential. This paper seeks to establish an understanding of the performance of its constituents on the stock market by zooming in on the long-term effects of addition and deletion in the Taiwan Mid-Cap 100 Index.


Keywords: Taiwan Mid-Cap 100 Index, Index Changes, Event Study, Long-term Performance

JEL Classification: G12, G14, G17


* Department of Banking & Finance, Chinese Culture University, Taiwan