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Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

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Author Info
Bechmann, Ken L. (Department of Finance, Copenhagen Business School)
Abstract

The Danish blue-chip index - the KFX Index - provides an interesting case for

studying the effects of changes in a stock market index. This is because of the unique

selection criterion used for the composition of the KFX Index. The criterion is pub-

licly known and based on a combination of liquidity and market value of the stock.

Consistent with the selection criterion, the stock price effects are generally small

at the announcement of a change and at the later date when the change comes into

effect. However, the deleted stocks experience an abnormal return averaging

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File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7166
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Publisher Info
Paper provided by Copenhagen Business School, Department of Finance in its series Working Papers with number 2002-2.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote), ReDIF
Length: 31 pages
Date of creation: 10 Mar 2002
Date of revision:
Handle: RePEc:hhs:cbsfin:2002_002

Contact details of provider:
Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark
Phone: +45 3815 3815
Email:
Web page: http://www.cbs.dk/departments/finance/
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Related research
Keywords: Changes in indices; composition; price and liquidity effects;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Beneish, Messod D. & Gardner, John C., 1995. "Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 135-157, March. [Downloadable!]
  2. Pruitt, Stephen W & Wei, K C John, 1989. " Institutional Ownership and Changes in the S&P 500," Journal of Finance, American Finance Association, vol. 44(2), pages 509-13, June. [Downloadable!] (restricted)
  3. Harris, Lawrence E & Gurel, Eitan, 1986. " Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance, American Finance Association, vol. 41(4), pages 815-29, September. [Downloadable!] (restricted)
  4. Lynch, Anthony W & Mendenhall, Richard R, 1997. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index," Journal of Business, University of Chicago Press, vol. 70(3), pages 351-83, July. [Downloadable!] (restricted)
  5. Dhillon, Upinder & Johnson, Herb, 1991. "Changes in the Standard and Poor's 500 List," Journal of Business, University of Chicago Press, vol. 64(1), pages 75-85, January. [Downloadable!] (restricted)
  6. Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July. [Downloadable!] (restricted)
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