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The effects of changes in index composition on stock prices and volume: Evidence from the Istanbul stock exchange

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  • Bildik, Recep
  • Gulay, Guzhan
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 17 (2008)
    Issue (Month): 1 ()
    Pages: 178-197

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    Handle: RePEc:eee:finana:v:17:y:2008:i:1:p:178-197

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    Web page: http://www.elsevier.com/locate/inca/620166

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    1. Dhillon, Upinder & Johnson, Herb, 1991. "Changes in the Standard and Poor's 500 List," The Journal of Business, University of Chicago Press, vol. 64(1), pages 75-85, January.
    2. Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Lynch, Anthony W & Mendenhall, Richard R, 1997. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index," The Journal of Business, University of Chicago Press, vol. 70(3), pages 351-83, July.
    4. Howard W.H. Chan & Peter F. Howard, 2002. "Additions to and Deletions from an Open-Ended Market Index: Evidence from the Australian All Ordinaries," Australian Journal of Management, Australian School of Business, vol. 27(1), pages 45-74, June.
    5. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October.
    6. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
    7. Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July.
    8. Collins, M Cary & Wansley, James W & Robinson, Breck, 1995. "Price and Volume Effects Associated with the Creation of Standard & Poor's MidCap Index," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(3), pages 329-50, Fall.
    9. Kraus, Alan & Stoll, Hans R, 1972. "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 27(3), pages 569-88, June.
    10. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
    11. Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000. "The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion," NBER Working Papers 8011, National Bureau of Economic Research, Inc.
    12. Ernest N. Biktimirov & Arnold R. Cowan & Bradford D. Jordan, 2004. "Do Demand Curves for Small Stocks Slope Down?," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 27(2), pages 161-178.
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    Cited by:
    1. Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N., 2013. "A comprehensive long-term analysis of S&P 500 index additions and deletions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4920-4930.
    2. Yun, Jooyoung & Kim, Tong S., 2010. "The effect of changes in index constitution: Evidence from the Korean stock market," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 258-269, September.

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