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Der Indexeffekt am deutschen Aktienmarkt und seine Ursachen

Author

Listed:
  • Deininger Claus

    (Wissenschaftlicher Mitarbeiter an der Universität Würzburg)

  • Kaserer Christoph

    (Dr. rer. pol., Universitätsprofessor an der Technischen Universität München)

  • Roos Stephanie

    (Wissenschaftliche Mitarbeiterin an der Universität Würzburg)

Abstract

Wird die Veränderung in der Zusammensetzung eines Aktienindex angekündigt, führt dies zu signifikanten Kurs- und Umsatzeffekten bei den auszuwechselnden Aktien. Dieser so genannte Indexeffekt und die zu seiner Erklärung vorgebrachten Hypothesen werden in dem vorliegenden Beitrag vor dem Hintergrund der empirischen Erfahrungen auf dem deutschen Aktienmarkt untersucht. Es zeigt sich, dass die Befunde im Vergleich zu den zahlreichen US-amerikanischen Studien weniger eindeutig sind. Dies gilt insbesondere im Hinblick auf jene Erklärungshypothesen, die den Indexeffekt als eine Folge fehlender Kapitalmarkteffizienz interpretieren.

Suggested Citation

  • Deininger Claus & Kaserer Christoph & Roos Stephanie, 2002. "Der Indexeffekt am deutschen Aktienmarkt und seine Ursachen," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 14(4), pages 262-279, August.
    • Handle: RePEc:bpj:zfbrbw:v:14:y:2002:i:4:p:262-279:n:2
    DOI: 10.15375/zbb-2002-0402
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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.

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