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Anticipatory effects in the FTSE 100 index revisions

Fernandes, Marcelo; Mergulhão, João - 2015

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...

Persistent link: https://www.econbiz.de/10011405289

Anticipatory effects in the FTSE 100 index revisions

Fernandes, Marcelo; Mergulhão, João - In: Journal of empirical finance 37 (2016), pp. 79-90

Persistent link: https://www.econbiz.de/10011662945

Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index

Biktimirov, Ernest N.; Li, Boya - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 95-122

Persistent link: https://www.econbiz.de/10010345143

Do investors value environmental sustainability? : Evidence from the FTSE Environmental Opportunities 100 index

Biktimirov, Ernest N.; Afego, Pyemo N. - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014495074

Are the market effects associated with revisions to the TSE300 index robust?

Chung, Richard; Kryzanowski, Lawrence - In: Multinational finance journal : MF ; quarterly … 2 (1998) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10001448255

The effects of index changes in the Spain stock market

Singh, Tarika; Mehta, Seema; Hoolani, Umesh - In: International journal of managerial and financial accounting 2 (2010/11) 3, pp. 305-325

Persistent link: https://www.econbiz.de/10009009360

Stock price and trading valume effects associated with changes in the MSCI free indices : evidence from Taiwanese firms added to and deleted from the indices

Shu, Pei-gi; Yeh, Yin-hua; Huang, Yu-Chen - In: Review of Pacific Basin financial markets and policies 7 (2004) 4, pp. 471-491

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Market reaction on the announcement of Sri Kehati Index in Indonesian stock exchange

Wijaya, Anggita Langgeng; Noviyanti, Mia; Mahayu, Probo - In: Studies and scientific researches / Faculty of Economic … 30 (2019), pp. 77-89

Persistent link: https://www.econbiz.de/10012269685

The effect of Dow Jones industrial average index component changes on stock returns and trading volumes

Lin, Eric C. - In: The international journal of business and finance … 12 (2018) 1, pp. 81-92

Persistent link: https://www.econbiz.de/10011856291

Effects of changes in stock index compositions : a literature survey

Afego, Pyemo N. - In: International review of financial analysis 52 (2017), pp. 228-239

Persistent link: https://www.econbiz.de/10011868747

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