Azevedo, Alcino; Karim, Mohamad; Gregoriou, Andros; … - In: Journal of International Financial Markets, … 28 (2014) C, pp. 20-35
We examine the stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), over the time period of 2005–2012. We find evidence to support the price pressure hypothesis for both additions to and deletions from the...