The Impact Of Changes In The Dow Jones Industrial Average List On Prices And Trading Volume
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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.
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.
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 Effects From Changes In The Dow Jones Industrial Average List
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Author : Hongyun Shen
language : en
Publisher:
Release Date : 2000
The Effects From Changes In The Dow Jones Industrial Average List written by Hongyun Shen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Volume Of Trading Barron S 20 Low Price Stock Volume Index And Changes In The Dow Jones Industrial Average
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Author : Ranjit Narayan
language : en
Publisher:
Release Date : 1973
Volume Of Trading Barron S 20 Low Price Stock Volume Index And Changes In The Dow Jones Industrial Average written by Ranjit Narayan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1973 with categories.
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.
Routledge Library Editions Financial Markets
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Author : Various
language : en
Publisher: Routledge
Release Date : 2021-07-09
Routledge Library Editions Financial Markets written by Various and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-09 with Business & Economics categories.
The volumes in this set, originally published between 1970 and 1996, draw together research by leading academics in the area of economic and financial markets, and provide a rigorous examination of related key issues. The volumes examine the stock exchange, capital cities as financial centres, international capital, the financial system, bond duration, security market indices and artificial intelligence applications on Wall Street, whilst also exploring the general principles and practices of financial markets in various countries. This set will be of particular interest to students of economics and finance respectively.
Business Research Yearbook
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Author :
language : en
Publisher:
Release Date : 2005
Business Research Yearbook written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business categories.
International Guide To Securities Market Indices
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Author : Henry Shilling
language : en
Publisher: CRC Press
Release Date : 1996-12-01
International Guide To Securities Market Indices written by Henry Shilling and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-12-01 with Business & Economics categories.
This valuable resource contains descriptive profiles along with historical performance data on 300 of the world's leading global, regional, and local securities market indices and subindices covering 10 asset classes.
Information Volatility And The Cost Of Capital
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Author : Tanguy de Launois
language : en
Publisher: Presses univ. de Louvain
Release Date : 2009
Information Volatility And The Cost Of Capital written by Tanguy de Launois and has been published by Presses univ. de Louvain this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
We all have in mind a couple of dramatic examples of how information released by some economical or political entity resulted in tremendous consequences for a private company or, worst, for the whole financial market. This is the purpose of this dissertation to investigate the relations between information,stock volatility and the cost of capital. After the extension of the standard CAPM model to a more realistic world where some investors are “constrained” and deviate from their optimal CAPM quantities, we confront our theoretical model to the empirical reality by investigating the so-called “index effect”. Thanks to econometric specifications robust to endogeneity, we test different hypotheses proposed by the literature to explain this well known value premium of firms belonging to large indices. In a next step, we investigate how the quality and quantity of micro and macro public signals impact the main determinants of our pricing equation initially developed. We show that in a world of constrained investors, firms benefiting from a high deviation have less incentive to communicate than others. Finally, we study the link between public information and conditional volatility thanks to an original sample of several tens of thousands of Reuters and Dow Jones news releases on both the French and US markets. Thanks to various econometric specifications like GARCH models and Markov Switching Regressions, we conclude that a larger daily number of news releases increases the probability to be in the high probability regime and that the impact ofinformation is strongly dependent on the topic and the timing of the release of this information.
