The Index Effect On Stock Prices And Trading Volumes
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The Index Effect On Stock Prices And Trading Volumes
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Author : Wei Huang
language : en
Publisher:
Release Date : 2015
The Index Effect On Stock Prices And Trading Volumes written by Wei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Using changes in the MSCI Standard Country Indices for 29 countries between 1998 and 2001, we document that stock returns and volumes exhibit quot;index effectsquot; in international markets similar to those detected by the studies of US stocks. The inclusion of a stock generally leads to higher returns immediately following the announcement followed by a further rise till the actual change with a partial reversion in the post change period. Deletions lead to significant negative returns that continue after the change date. Volumes traded increase significantly and remain at high levels after the change date for the added stocks. There are also considerable cross-country variations in these effects. The evidence is consistent with the downward sloping demand curve hypothesis though some price-pressure effects are also present. Tests using data on ADR availability and free float on stocks added to the indices fail to turn up any evidence in support of information effects.
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.
Price And Volume Effects Associated With Changes In The Danish Blue Chip Index The Kfx Index
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Author : Ken L. Bechmann
language : en
Publisher:
Release Date : 2004
Price And Volume Effects Associated With Changes In The Danish Blue Chip Index The Kfx Index written by Ken L. Bechmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
This paper considers the effects of changes in the composition of the KFX Index, the Danish blue-chip index, for the period of 1989-2001. Consistent with the selection criterion used for the index, there is no evidence for a stock price effect at the announcement of a change in the index. However, deleted stocks experience an abnormal return, averaging -16% in a six-month period before the deletion, as well as a decrease in trading volume and in the efficiency of stock prices following the deletion. For added stocks, the average abnormal return is 5% and there is no significant change in trading volume or efficiency. These long-run effects are best explained by the imperfect substitutes hypothesis or the information costs/liquidity hypothesis, suggesting that stocks in the KFX Index are exposed to a higher demand or more attention and a lower cost of trading than stocks outside the index. However, the results do not rule out the possibility that part of the stock price effect is due to the selection criterion used for the KFX Index. All in all, this paper documents that the selection criterion for and the size of an index as well as the size of the related stock market are relevant when explaining the stock market effects of index revisions.
The Effect Of Demand On Stock Prices
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Author : Ph.D. Biktimirov (CFA, Ernest N.)
language : en
Publisher:
Release Date : 2013
The Effect Of Demand On Stock Prices written by Ph.D. Biktimirov (CFA, Ernest N.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
I examine the effect of demand on stock prices by analyzing the conversion of the TIPs 35 and TIPs 100 exchange-traded funds into the i60 Fund. This conversion occurred at the Toronto Stock Exchange on March 6, 2000. Forty stocks of the TIPs 100 Fund that were not members of the new units of the i60 Fund were sold to complete this conversion. I find that a decrease in demand produced a permanent stock price decline, which was accompanied by significant abnormal trading volume. The results provide support for the downward-sloping demand curve hypothesis.
Price And Volume Effects Of Changes In Msci Indices Nature And Causes
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Author : Wei Huang
language : en
Publisher:
Release Date : 2015
Price And Volume Effects Of Changes In Msci Indices Nature And Causes written by Wei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Using changes in the MSCI Standard Country Indices for 29 countries between 1998 and 2001, we document that stock returns and volumes exhibit quot;index effectsquot; in international markets similar to those detected by the studies of US stocks. The stocks added to the indices experience a sharp rise in prices after the announcement and a further rise during the period preceding the actual change, though part of the gain is lost after the actual change date. The stocks that are deleted from the indices, on the other hand, witness a steady and marked decline in their prices. Trading volumes increase significantly and remain at high levels after the change date for the added stocks. There are also considerable cross-country variations in these effects. Tests using data on various measures reflecting the different hypotheses fail to turn up any evidence in support of information effects. Our evidence appears to be more supportive of the downward sloping demand curve hypothesis. There is some evidence of price-pressure and mild evidence of liquidity effect, particularly in Japan and UK.
Derivatives And Hedge Funds
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Author : Stephen Satchell
language : en
Publisher: Springer
Release Date : 2016-05-18
Derivatives And Hedge Funds written by Stephen Satchell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Science categories.
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
How The Major Stock Indexes Work
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Author : Phillip Ryan
language : en
Publisher: The Rosen Publishing Group, Inc
Release Date : 2012-07-01
How The Major Stock Indexes Work written by Phillip Ryan and has been published by The Rosen Publishing Group, Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-01 with Juvenile Nonfiction categories.
The major stock indexes are spoken about daily, but the average person knows little about them. The Dow Jones Industrial Average, the NASDAQ, and the S&P 500 are referenced all the time in business reports. Readers discover what the indices are, why we have them, and why they're so critical to the efficient operation of the global stock market. By understanding the mechanics of the stock market indices, readers will gain a better understanding of how the market works as a whole.
The Effect Of Net Institutional Trading Imbalances On Stock Prices
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Author : William J. Atkinson
language : en
Publisher:
Release Date : 1981
The Effect Of Net Institutional Trading Imbalances On Stock Prices written by William J. Atkinson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Stock exchanges categories.
The Effect Of Demand On Stock Prices
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Author : Ph.D. Biktimirov (CFA, Ernest N.)
language : en
Publisher:
Release Date : 2009
The Effect Of Demand On Stock Prices written by Ph.D. Biktimirov (CFA, Ernest N.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
I examine the effect of demand on stock prices by analyzing the transition of the Samp;P 500 index from market capitalization to free float weighting, which occurred in 2005. I find that a decrease in demand produced a permanent stock price decline, which was accompanied by significant abnormal trading volume. The results provide support for the downward-sloping demand curve hypothesis.
Effects Of Changes In Stock Index Compositions
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Author : Pyemo Afego
language : en
Publisher:
Release Date : 2017
Effects Of Changes In Stock Index Compositions written by Pyemo Afego 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 practice of periodically reconstituting equity indices suggests that changes to the composition of an index can impact the performance of firms whose stocks are added to or dropped from the index. This paper reviews and provides a comprehensive assessment of the academic literature on how changes in the composition of a stock index impacts prices, trading volume and other firm attributes. The review focuses on post-2000 contributions. It highlights and critically discusses major areas of controversy, disagreement and debate in both the empirical and methodological literature, and puts forth a promising agenda for future research. This is the first comprehensive survey of studies on the index effect and it should be particularly useful to portfolio managers and investors.
