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Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

Author

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  • Bechmann, Ken L.

    (Department of Finance, Copenhagen Business School)

Abstract

The Danish blue-chip index - the KFX Index - provides an interesting case for studying the effects of changes in a stock market index. This is because of the unique selection criterion used for the composition of the KFX Index. The criterion is pub- licly known and based on a combination of liquidity and market value of the stock. Consistent with the selection criterion, the stock price effects are generally small at the announcement of a change and at the later date when the change comes into effect. However, the deleted stocks experience an abnormal return averaging

Suggested Citation

  • Bechmann, Ken L., 2002. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index," Working Papers 2002-2, Copenhagen Business School, Department of Finance.
  • Handle: RePEc:hhs:cbsfin:2002_002
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    File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7166
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    References listed on IDEAS

    as
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    4. 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.
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    6. Shleifer, Andrei, 1986. "Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-590, July.
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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.

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    More about this item

    Keywords

    Changes in indices; composition; price and liquidity effects;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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