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

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  • Baris Teke

Abstract

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.

Suggested Citation

  • Baris Teke, 2013. "Effects of a Change in the Composition of IMKB 30 on Stock Performance," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 13(51), pages 21-57, April.
  • Handle: RePEc:bor:iserev:v:13:y:2013:i:51:p:21-57
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/isereview51.pdf
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    References listed on IDEAS

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    1. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
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    3. 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.
    4. Nazif Durmaz, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," Economics Bulletin, AccessEcon, vol. 31(3), pages 2468-2479.
    5. Carliner, Geoffrey, 1973. "Income Elasticity of Housing Demand," The Review of Economics and Statistics, MIT Press, vol. 55(4), pages 528-532, November.
    6. 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, August.
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    More about this item

    Keywords

    ÝMKB 30 (ISE 30); market model; event study methodology; index composition; index changes; price and volume effects; efficient market hypothesis;

    JEL classification:

    • G00 - Financial Economics - - General - - - General

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