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Institutional Trading And Security Prices: The Case Of Changes In The Composition Of The S&P 500 Index

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  • J. Randall Woolridge
  • Chinmoy Ghosh

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  • J. Randall Woolridge & Chinmoy Ghosh, 1986. "Institutional Trading And Security Prices: The Case Of Changes In The Composition Of The S&P 500 Index," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 13-24, March.
    • Handle: RePEc:bla:jfnres:v:9:y:1986:i:1:p:13-24
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1986.tb00432.x
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    1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    2. Copeland, Thomas E., 1977. "A Probability Model of Asset Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 563-578, November.
    3. 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 569-588, June.
    4. Epps, Thomas W, 1975. "Security Price Changes and Transaction Volumes: Theory and Evidence," American Economic Review, American Economic Association, vol. 65(4), pages 586-597, September.
    5. Scholes, Myron S, 1972. "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices," The Journal of Business, University of Chicago Press, vol. 45(2), pages 179-211, April.
    6. Mikkelson, Wayne H. & Partch, M. Megan, 1985. "Stock price effects and costs of secondary distributions," Journal of Financial Economics, Elsevier, vol. 14(2), pages 165-194, June.
    7. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-1168, September.
    8. Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 82(1), pages 33-53.
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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. Konstantina Kappou & Ioannis Oikonomou, 2016. "Is There a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices," Journal of Business Ethics, Springer, vol. 133(3), pages 533-552, February.
    3. 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.
    4. Jaballah, Jamil & Peillex, Jonathan & Weill, Laurent, 2018. "Is Being Sharia compliant worth it?," Economic Modelling, Elsevier, vol. 72(C), pages 353-362.
    5. Kappou, Konstantina & Brooks, Chris & Ward, Charles W.R., 2008. "A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's [`]gold seal'," Research in International Business and Finance, Elsevier, vol. 22(3), pages 325-350, September.
    6. Michel Dubois & Cem Ertur, 1997. "The cost of equity and exchange listing evidence from the French stock market," Working Papers hal-01527157, HAL.
    7. Brooks, Chris & Kappou, Konstantina & Stevenson, Simon & Ward, Charles, 2013. "The performance effects of composition changes on sector specific stock indices: The case of European listed real estate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 132-142.
    8. 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.
    9. Robert O. Edmister & A. Steven Graham & Wendy L. Pirie, 1994. "Excess Returns Of Index Replacement Stocks: Evidence Of Liquidity And Substitutability," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 333-346, September.
    10. 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.
    11. J. Carlos Gómez Sala & Jorge Yzaguirre, 2003. "Presión sobre los precios en las revisiones del índice IBEX35," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 491-531, September.
    12. 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.
    13. Kappou, Konstantina & Brooks, Chris & Ward, Charles, 2010. "The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 116-126, January.
    14. Marek Marciniak, 2012. "Information effects of announced stock index additions: evidence from S&P 400," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(4), pages 822-849, October.
    15. 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.
    16. Konstantina Kappou, 2018. "The diminished effect of index rebalances," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 235-244, July.
    17. M. Cary Collins & James W. Wansley & Breck Robinson, 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 329-350, September.
    18. Jędrzej Białkowski & Anna Sławik, 2021. "Do investors respond to changes in the composition of sustainability indices?," Bank i Kredyt, Narodowy Bank Polski, vol. 52(4), pages 319-338.

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