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The impacts of index rebalancing and their implications : some new evidence from Japan

Liu, Shinhua - In: Journal of international financial markets, … 16 (2006) 3, pp. 246-269

Persistent link: https://www.econbiz.de/10003328570

Index membership and predictability of stock returns : the case of the Nikkei 225

Liu, Shinhua - In: Pacific-Basin finance journal 17 (2009) 3, pp. 338-351

Persistent link: https://www.econbiz.de/10003835891

The price effects of index additions : a new explanation

Liu, Shinhua - In: Journal of economics & business 63 (2011) 2, pp. 152-165

Persistent link: https://www.econbiz.de/10009298242

Changes in the Nikkei 500 : new evidence for downward sloping demand curves for stocks

Liu, Shinhua - In: International review of finance 1 (2000) 4, pp. 245-267

Persistent link: https://www.econbiz.de/10001666872

The Price Effects of Index Additions : A New Explanation

Liu, Shinhua - 2010

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...

Persistent link: https://www.econbiz.de/10013138149