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Stock Price and Volume Effects Associated with Compositional Changes in European Stock Indices

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  • Cristina Vespro

Abstract

"This paper provides further evidence of price and volume effects associated with index compositional changes by analysing the inclusions (exclusions) from the French CAC40 and SBF120 indices, as well as the FTSE100. I find evidence supporting the price pressure hypothesis associated with index fund rebalancing, but weak or no evidence for the imperfect substitution, liquidity and information hypotheses. The results improve on recent evidence from the S&P500 index. The evidence for the FTSE100 additions shows, in particular, that markets learn about an imminent inclusion and incorporate this information into prices, even before the announcement date". Copyright Blackwell Publishers Ltd, 2006.

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Bibliographic Info

Article provided by European Financial Management Association in its journal European Financial Management.

Volume (Year): 12 (2006)
Issue (Month): 1 ()
Pages: 103-127

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Handle: RePEc:bla:eufman:v:12:y:2006:i:1:p:103-127

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Cited by:
  1. Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark, 2014. "Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 20-35.
  2. Mazouz, Khelifa & Saadouni, Bharim, 2007. "New evidence on the price and liquidity effects of the FTSE 100 index revisions," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 223-241.

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