The effects of changes in index composition on stock prices and volume: Evidence from the Istanbul stock exchange
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- Dhillon, Upinder & Johnson, Herb, 1991. "Changes in the Standard and Poor's 500 List," The Journal of Business, University of Chicago Press, vol. 64(1), pages 75-85, January.
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- Collins, M Cary & Wansley, James W & Robinson, Breck, 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 329-50, Fall.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July.
- Lynch, Anthony W & Mendenhall, Richard R, 1997. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index," The Journal of Business, University of Chicago Press, vol. 70(3), pages 351-83, July.
- Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002.
"Does Arbitrage Flatten Demand Curves for Stocks?,"
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University of Chicago Press, vol. 75(4), pages 583-608, October.
- Ernest N. Biktimirov & Arnold R. Cowan & Bradford D. Jordan, 2004. "Do Demand Curves for Small Stocks Slope Down?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(2), pages 161-178.
- Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2000. "The Impact of Capital Gains Taxes on Stock Price Reactions to S&P 500 Inclusion," NBER Working Papers 8011, National Bureau of Economic Research, Inc.
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