Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index
AbstractThe 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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Bibliographic InfoPaper provided by Copenhagen Business School, Department of Finance in its series Working Papers with number 2002-2.
Length: 31 pages
Date of creation: 10 Mar 2002
Date of revision:
Contact details of provider:
Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark
Phone: +45 3815 3815
Web page: http://www.cbs.dk/departments/finance/
More information through EDIRC
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; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-25 (All new papers)
- NEP-FMK-2002-04-25 (Financial Markets)
- NEP-IFN-2002-04-25 (International Finance)
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.:
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