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Price and volume effects of changes in MSCI indices - nature and causes

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  • Chakrabarti, Rajesh
  • Huang, Wei
  • Jayaraman, Narayanan
  • Lee, Jinsoo

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Suggested Citation

  • Chakrabarti, Rajesh & Huang, Wei & Jayaraman, Narayanan & Lee, Jinsoo, 2005. "Price and volume effects of changes in MSCI indices - nature and causes," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1237-1264, May.
  • Handle: RePEc:eee:jbfina:v:29:y:2005:i:5:p:1237-1264
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    References listed on IDEAS

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    1. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October.
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    3. Kang, Jun-Koo & Stulz, Rene M., 1997. "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan," Journal of Financial Economics, Elsevier, vol. 46(1), pages 3-28, October.
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    6. Aditya Kaul & Vikas Mehrotra & Randall Morck, 2000. "Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment," Journal of Finance, American Finance Association, vol. 55(2), pages 893-912, April.
    7. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2002. "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," The Quarterly Journal of Economics, Oxford University Press, vol. 117(1), pages 269-296.
    8. Lu Zheng, 1999. "Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability," Journal of Finance, American Finance Association, vol. 54(3), pages 901-933, June.
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    10. Shinhua Liu, 2000. "Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks," International Review of Finance, International Review of Finance Ltd., vol. 1(4), pages 245-267, December.
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    12. 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 351-383, July.
    13. Diane K. Denis & John J. McConnell & Alexei V. Ovtchinnikov & Yun Yu, 2003. "S&P 500 Index Additions and Earnings Expectations," Journal of Finance, American Finance Association, vol. 58(5), pages 1821-1840, October.
    14. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, vol. 33(2), pages 173-199, April.
    15. Chan, Louis K C & Lakonishok, Josef, 1995. " The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, vol. 50(4), pages 1147-1174, September.
    16. Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-590, July.
    17. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
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    19. Bakshi, Gurdip S & Chen, Zhiwu, 1994. "Baby Boom, Population Aging, and Capital Markets," The Journal of Business, University of Chicago Press, vol. 67(2), pages 165-202, April.
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    Cited by:

    1. Patrick E. McCabe & Chae Hee Shin & Emilio Osambela & Kenechukwu E. Anadu & Mathias S. Kruttli, 2018. "The Shift from Active to Passive Investing: Potential Risks to Financial Stability?," Supervisory Research and Analysis Working Papers RPA 18-4, Federal Reserve Bank of Boston, revised 27 Aug 2018.
    2. repec:eee:finana:v:52:y:2017:i:c:p:228-239 is not listed on IDEAS
    3. Hung, Chung-Wen & Shiu, Cheng-Yi, 2016. "Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 49-63.
    4. Tu, Chia-Jung & Chang, Yuanchen, 2012. "Analyst responses to stock-index adjustments: Evidence from MSCI Taiwan Index additions," Review of Financial Economics, Elsevier, vol. 21(2), pages 82-89.
    5. repec:eco:journ1:2017-02-06 is not listed on IDEAS
    6. Chia-Jung Tu, 2012. "The Price Response to KIKKEI 225 Stocks Index Adjustments," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 59-71.
    7. Ernest Biktimirov & Boya Li, 2014. "Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index," Review of Quantitative Finance and Accounting, Springer, vol. 42(1), pages 95-122, January.
    8. Ding, Rong & Cheng, Peng, 2011. "Speculative trading, price pressure and overvaluation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 419-442, July.
    9. Petajisto, Antti, 2011. "The index premium and its hidden cost for index funds," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 271-288, March.
    10. Atanasov, Vladimir & Merrick, John, 2011. "Financial asset demand is elastic: Evidence from new issues of Federal Home Loan Bank debt," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3225-3239.
    11. Patrick E. McCabe & Mathias S. Kruttli & Emilio Osambela & Chae Hee Shin & Kenechukwu E. Anadu, 2018. "The Shift from Active to Passive Investing : Potential Risks to Financial Stability?," Finance and Economics Discussion Series 2018-060, Board of Governors of the Federal Reserve System (US), revised 28 Aug 2018.
    12. repec:eee:empfin:v:50:y:2019:i:c:p:93-112 is not listed on IDEAS
    13. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
    14. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 0. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 1.
    15. Mishra, Anil V., 2013. "Foreign ownership in Australian firms," Research in International Business and Finance, Elsevier, vol. 28(C), pages 1-18.
    16. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2017. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
    17. Hac─▒bedel, Burcu, 2014. "Does investor recognition matter for asset pricing?," Emerging Markets Review, Elsevier, vol. 21(C), pages 1-20.
    18. Daya, Wael & Mazouz, Khelifa & Freeman, Mark, 2012. "Information efficiency changes following FTSE 100 index revisions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 1054-1069.
    19. Liu, Shinhua, 2009. "Index membership and predictability of stock returns: The case of the Nikkei 225," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 338-351, June.
    20. Ravi Kashyap, 2019. "Concepts, Components and Collections of Trading Strategies and Market Color," Papers 1910.02144, arXiv.org, revised Jan 2020.
    21. Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017. "A Flexible and Customizable Method for Assessing Cognitive Abilities," Working Papers 17-10, Chapman University, Economic Science Institute.

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