Do Recent Changes In The Dow Jones Industrial Average Support The Price Pressure Hypothesis
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Do Recent Changes In The Dow Jones Industrial Average Support The Price Pressure Hypothesis
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Author : Patricia Freeman
language : en
Publisher:
Release Date : 2017
Do Recent Changes In The Dow Jones Industrial Average Support The Price Pressure Hypothesis written by Patricia Freeman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The price-pressure hypothesis (PPH) assumes that a temporary increase (decrease) in returns and volume results as firms are added to (deleted from) an index around the announcement date. This event study analyzed recent unexamined changes in the Dow Jones Industrial Average (DJIA) since 1996. Examination of returns of firms added to and firms deleted from DJIA did not support the PPH. Only deleted stocks' volume exhibited a slight increase following the announcement dates. Otherwise, the volume analyses for stocks either added to or deleted from the DJIA tended not to support the PPH.
The Impact Of Changes In The Dow Jones Industrial Average List On Prices And Trading Volume
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Author : Geungu Yu
language : en
Publisher:
Release Date : 2017
The Impact Of Changes In The Dow Jones Industrial Average List On Prices And Trading Volume written by Geungu Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The price-pressure hypothesis (PPH) assumes that a temporary increase (or decrease) in returns and trading volumes occurs around the announcement day when firms are added to (or deleted from) a market index. On September 10, 2013, the Dow Jones Industrial Averages Index Committee announced that Goldman Sachs Group Inc. (GS), Visa Inc. (V) and Nike Inc. (NKE) would be added to the Dow Jones Industrial Average (DJIA) and Bank of America Corp. (BAC), Hewlett-Packard Co. (HPQ) and Alcoa Inc. (AA) would be deleted from the DJIA after the close of trading on September 20, 2013. According to the Index Committee, GS replaced BAC, V replaced HPQ and NKE replaced AA. This event study analyzes the effects that these changes have on the prices and volumes of these stocks. Changes of prices and trading volumes of the firms added to the DJIA are statistically significant enough to support the PPH.
The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes
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Author : Eric C. Lin
language : en
Publisher:
Release Date : 2018
The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes written by Eric C. Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This study examines the impact of index membership changes in Dow Jones Industrial Average (DJIA) Index on the return and trading volume of the affected stock. We make two key contributions to the literature. First, we employ a robust event study methodology based on Fama-French Momentum Model with EGARCH to explore the price/volume dynamics associated with DJIA Index additions and deletions. Second, we extend earlier work by incorporating all index reconstitution announcements after Dow Jones & Company began preannouncing index changes in 1990. Our results show that index additions (deletions) experience temporary increases (decreases) in stock prices following the announcement. The abnormal returns surrounding the announcements are economically and statistically significant. In addition, both inclusions and removals lead to temporary abnormal trading volume increases in the post-announcement period. However, the stock prices and trading volumes revert within a few trading days. Our findings are consistent with the price pressure hypothesis as the documented abnormal returns and trading volumes are not permanent.
The Impact Of Dow Jones Index Additions And Deletion
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Author : Patricia Freeman
language : en
Publisher:
Release Date : 2017
The Impact Of Dow Jones Index Additions And Deletion written by Patricia Freeman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Beneish and Gardner (1995) examined the impact on stocks that were either added to or removed from the Dow Jones Industrial Averages ((DJIA) based on data from 1929 through 1988. They implied that the price-pressure hypothesis (PPH) can be supported with the deletions, but not the additions. However, examining the impact of the changes to the DJIA that occurred in April 2004, we found no significant evidence for the PPH either with the additions or with the deletions for the -1 to 1 time period. The study is inconclusive as to the impact of the DJIA additions or deletions on trading volume.
Information Costs And Liquidity Effects From Changes In The Dow Jones Industrial Average List
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Author : Messod D. Beneish
language : en
Publisher:
Release Date : 2014
Information Costs And Liquidity Effects From Changes In The Dow Jones Industrial Average List written by Messod D. Beneish and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We examine the stock market effect of changes in the composition of the Dow Jones Industrial Average (DJIA). Unlike Samp;P 500 listing studies, we find that the price and the trading volume of newly listed DJIA firms are unaffected. We attribute this result to a lack of index fund rebalancing, since index trading is limited for most of our sample period and index funds mimic the Samp;P 500, not the DJIA. Firms removed from the index, however, experience significant price declines. We consider information signaling, price pressure, imperfect substitutes, and information cost/liquidity explanations for these asymmetric findings. The evidence is consistent with the information cost/liquidity explanation, which holds that investors demand a premium for higher trading costs and for holding securities that have relatively less available information.
Technical Analysis Of The Financial Markets
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Author : John J. Murphy
language : en
Publisher: Penguin
Release Date : 1999-01-01
Technical Analysis Of The Financial Markets written by John J. Murphy and has been published by Penguin this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-01-01 with Business & Economics categories.
John J. Murphy has now updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.
Global Tensions In Financial Markets
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Author : John W. Kensinger
language : en
Publisher: Emerald Group Publishing
Release Date : 2018-03-30
Global Tensions In Financial Markets written by John W. Kensinger and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-30 with Business & Economics categories.
The volume first investigates the impact of macroeconomic variables on equity values in emerging economies as compared with developed economies. Next it affirms the efficiency of the Midcontinent Independent System Operator electricity exchange. Finally it investigates efforts to stimulate emerging nations around the world.
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets
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Author : Irina Prodan
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2013-06-01
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets written by Irina Prodan and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-01 with Political Science categories.
One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.
The Balanced Company
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Author : Muel Kaptein
language : en
Publisher:
Release Date : 2002
The Balanced Company written by Muel Kaptein and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business & Economics categories.
This book contains a cohesive overview of the most important theories and insights in the field of business ethics. At the same time, it further tailors these theories to the situation in which organizations function, presenting criteria that can be used to measure, assess, improve and report on corporate integrity.
The New Stock Market
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Author : Merritt B. Fox
language : en
Publisher: Columbia University Press
Release Date : 2019-01-08
The New Stock Market written by Merritt B. Fox and has been published by Columbia University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-08 with Business & Economics categories.
The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.
