Effects of a Change in the Composition of IMKB 30 on Stock Performance
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.
Volume (Year): 13 (2013)
Issue (Month): 51 (April)
|Contact details of provider:|| Postal: Reşitpaşa mh. Tuncay Artun Cd. Emirgan, 34467 İstanbul|
Phone: (90 212) 298 2100
Fax: (90 212) 298 2189
Web page: http://www.borsaistanbul.com
More information through EDIRC
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.:
- Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
- 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.
- Sophocles N. Brissimis & Thomas Vlassopoulos, 2007. "The Interaction between Mortgage Financing and Housing Prices in Greece," Working Papers 58, Bank of Greece.
- Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Working Papers 0605, Banco de España;Working Papers Homepage.
- Nazif Durmaz, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," Economics Bulletin, AccessEcon, vol. 31(3), pages 2468-2479.
- Durmaz, Nazif, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," MPRA Paper 28556, University Library of Munich, Germany.
- Carliner, Geoffrey, 1973. "Income Elasticity of Housing Demand," The Review of Economics and Statistics, MIT Press, vol. 55(4), pages 528-532, November.
- 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 96-103, 08. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:bor:iserev:v:13:y:2013:i:51:p:21-57. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ahmet Palu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.