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Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks

Citations

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Cited by:

  1. Sascha Wilkens & Jens Wimschulte, 2005. "Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 61-98, June.
  2. Ken L. Bechmann, 2004. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index," Multinational Finance Journal, Multinational Finance Journal, vol. 8(1-2), pages 3-34, March-Jun.
  3. Doeswijk, Ronald Q., 2005. "The index revision party," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 93-112.
  4. Wang, Chuan & Murgulov, Zoltan & Haman, Janto, 2015. "Impact of changes in the CSI 300 Index constituents," Emerging Markets Review, Elsevier, vol. 24(C), pages 13-33.
  5. Adrian Wai Kong Cheung, 2011. "Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study," Journal of Business Ethics, Springer, vol. 99(2), pages 145-165, March.
  6. W. K. Adrian Cheung & Eduardo Roca, 2010. "Do Pacific Basin Investors Value Corporate Sustainability?," Discussion Papers in Finance finance:201016, Griffith University, Department of Accounting, Finance and Economics.
  7. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
  8. Joon Woo Park & Chang Won Lee, 2018. "Performance of stock price with changes in SRI governance index," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(6), pages 1121-1129, November.
  9. Vo Hong Duc & Doan Bao Huy, 2014. "Should Vietnamese firm’s stocks be listed in a MSCI Global Equity index? Experience drawn from the sample of 30 countries," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 4(1), pages 60-80.
  10. Erie Febrian & Aldrin Herwany & Adi Primadhi, 2013. "Market REsponse to the Composition Change of Islamic Index: Evidence from Indonesia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(5), pages 23-34.
  11. Chia-Jung Tu, 2012. "The Price Response to KIKKEI 225 Stocks Index Adjustments," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 59-71.
  12. Chen, Wei-Kuang & Lin, Ching-Ting, 2016. "Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 36-48.
  13. 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.
  14. Jung-Wook Kim & Jason Lee & Randall Morck, 2009. "Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks," NBER Working Papers 14733, National Bureau of Economic Research, Inc.
  15. Chakrabarti, Rajesh & Huang, Wei & Jayaraman, Narayanan & Lee, Jinsoo, 2005. "Price and volume effects of changes in MSCI indices - nature and causes," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1237-1264, May.
  16. Neveen Ahmed & Aliaa Bassiouny, 2018. "The Effects of Index Changes on Stock Trading: Evidence from the EGX," Review of Economics & Finance, Better Advances Press, Canada, vol. 11, pages 55-66, February.
  17. Kot, Hung Wan & Leung, Harry K.M. & Tang, Gordon Y.N., 2015. "The long-term performance of index additions and deletions: Evidence from the Hang Seng Index," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 407-420.
  18. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, vol. 63(2), pages 152-165, March.
  19. Kin Ming Wong & Kwok Ping Tsang, 2023. "Inclusions and Exclusions of Stocks in Cross-Border Investments: The Case of Stock Connect," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 701-727, December.
  20. Ahmed, Rizwan & ullah, Subhan & Hudson, Robert & Gregoriou, Andros, 2023. "The implications of liquidity ratios: Evidence from Pakistan stock exchange limited," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 235-243.
  21. Ernest N. Biktimirov & Yuanbin Xu, 2019. "Market reactions to changes in the Dow Jones industrial average index," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 15(5), pages 792-812, May.
  22. 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.
  23. Nawal Seif Kassim & Roslily Ramlee & Salina Kassim, 2017. "Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 40-51.
  24. Liu, Shinhua, 2006. "The impacts of index rebalancing and their implications: Some new evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 246-269, July.
  25. Okada, Katsuhiko & Isagawa, Nobuyuki & Fujiwara, Kenya, 2006. "Addition to the Nikkei 225 Index and Japanese market response: Temporary demand effect of index arbitrageurs," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 395-409, September.
  26. Lysle Boller & Fiona Scott Morton, 2020. "Testing the Theory of Common Stock Ownership," NBER Working Papers 27515, National Bureau of Economic Research, Inc.
  27. Liu, Shinhua, 2009. "Index membership and predictability of stock returns: The case of the Nikkei 225," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 338-351, June.
  28. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, vol. 63(2), pages 152-165.
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