Pape, Ulrich; Schmidt-Tank, Stephan - EconWPA - 2005
Adding or deleting a security to or from an index can influence the share price considerably. A possible explanation … securities that have been added to or deleted from the pan- European index STOXX 50 between 1998 and 2003, using bid-ask spreads … to the index addition or deletion. Regression analysis shows that the explanatory power of bid- ask spreads for the …