The price effects of index additions: A new explanation
We further explore a new volatility explanation for the permanent price effect of index additions, using a sample of changes in the Nikkei 225. Additions to the index elicit significant price hikes, which tend to be permanent despite temporary price reversals. Meanwhile, investor awareness and demand increase, while price volatility decreases for the added stocks, contrary to the higher price volatility for stocks added to the S&P 500. Moreover, multivariate regression analysis demonstrates that the lower volatility contributes significantly to the permanent price boost, a new explanation; so does the higher investor awareness, consistent with the prior literature.
Year of publication: |
2011
|
---|---|
Authors: | Liu, Shinhua |
Published in: |
Journal of Economics and Business. - Elsevier, ISSN 0148-6195. - Vol. 63.2011, 2, p. 152-165
|
Publisher: |
Elsevier |
Keywords: | Nikkei 225 Additions Price effects Explanations Price volatility |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
The impacts of index rebalancing and their implications : some new evidence from Japan
Liu, Shinhua, (2006)
-
The impacts of involuntary foreign delistings : an empirical analysis
Liu, Shinhua, (2005)
-
Index membership and predictability of stock returns : the case of the Nikkei 225
Liu, Shinhua, (2009)
- More ...