Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI

We examine the stock price and volume effects of changes in the composition of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), over the time period of 2005 to 2012. We find evidence to support the price pressure hypothesis for both additions to and deletions from the KLCI. This is because substantial stock price and trading volume effects in the pre index revision period are entirely reversed after the announcement of the news. Significant changes in liquidity causes trading volume and stock prices to reverse back to their original level before the index revisions took place

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Year of publication:	2014
Authors:	Azevedo, Alcino
Other Persons:	Abd Karim, Mohamad Nazri (contributor) ; Gregoriou, Andros (contributor) ; Rhodes, Mark (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Malaysia \| Börsenkurs \| Share price \| Aktienindex \| Stock index

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 9, 2013 erstellt
Other identifiers:	10.2139/ssrn.2393641 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013059079