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Effects of a Change in the Composition of IMKB 30 on Stock Performance

  • Baris Teke
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    A total of 60 incidents, of which 29 were additions to and 31 were exclusions from the index have been analyzed during the 23 index periods of ÝMKB 30 between the years 2005-2011. General conclusion is that announcements of change and the days of change do not have a significant impact on stock returns and transaction volumes during the period of analysis. It has been observed that additions to the index increase the transaction volume more than exclusions from it. It is believed that the investors predict the stocks that would be added to (excluded from) the index and adjust the prices accordingly before the change occurs. Besides, the effects of institutional investors that make transactions based on the index, including exchange traded funds, are limited. Effects of a change in index composition have been observed to be limited on the days of announcement and actual change and it is believed that the market has semi-strong form of efficiency. No proof could be identified on the validity of Price Pressure Hypothesis, Imperfect Substitutes Hypothesis or other hypotheses.

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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/isereview51.pdf
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    Article provided by Research and Business Development Department, Borsa Istanbul in its journal Istanbul Stock Exchange Review.

    Volume (Year): 13 (2013)
    Issue (Month): 51 (April)
    Pages: 21-57

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    Handle: RePEc:bor:iserev:v:13:y:2013:i:51:p:21-57
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    1. Sophocles Brissimis & Thomas Vlassopoulos, 2009. "The Interaction between Mortgage Financing and Housing Prices in Greece," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 146-164, August.
    2. Durmaz, Nazif, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," MPRA Paper 28556, University Library of Munich, Germany.
    3. Carliner, Geoffrey, 1973. "Income Elasticity of Housing Demand," The Review of Economics and Statistics, MIT Press, vol. 55(4), pages 528-32, November.
    4. Peter Abelson & Roselyne Joyeux & George Milunovich & Demi Chung, 2005. "Explaining House Prices in Australia: 1970-2003," The Economic Record, The Economic Society of Australia, vol. 81(s1), pages S96-S103, 08.
    5. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Banco de Espa�a Working Papers 0605, Banco de Espa�a.
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