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Information costs and liquidity effects from changes in the FTSE 100 List
Gregoriou, Andros; Ioannidis, Christos - In: The European journal of finance 12 (2006) 4, pp. 347-360
Persistent link: https://www.econbiz.de/10003338142
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Information costs and liquidity effects from changes in the Dow Jones industrial average list
Beneish, Messod D. - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 1, pp. 135-157
Persistent link: https://www.econbiz.de/10001217165
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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
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Price, Volume and Liquidity Effects of Stocks Entering and Leaving Jakarta Islamic Index
Listyaningsih, Erna - 2015
Previous studies have documented that price and liquidity effects are associated with changes in stock market indices … due to bankruptcy, mergers, or tender offers. This study investigates price, volume and liquidity effects of stocks … capitalisation and liquidity have the same impacts. We find that stocks entering JII earn positive and statistically significant …
Persistent link: https://www.econbiz.de/10013034183
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Understanding short-term price pressure from index reconstitutions : evidence from the CSI 300
Chu, Gang; Goodell, John W.; Li, Xiao; Zhang, Yongjie - In: Accounting and finance 63 (2023) 2, pp. 2421-2440
Persistent link: https://www.econbiz.de/10014302097
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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
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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
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The effects of index changes on stock trading : evidence from the EGX
Ahmed, Neveen; Bassiouny, Aliaa - In: Review of economics & finance 11 (2018) 1, pp. 55-66
Persistent link: https://www.econbiz.de/10011869855
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Index revisions, stock liquidity and the cost of equity capital
Rahman, Abdul; Rajib, Prabina - In: Global business review 19 (2018) 4, pp. 1072-1089
Persistent link: https://www.econbiz.de/10011915135
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Search costs and investor trading activity : evidence from limit order books
Lin, William; Tsai, Shih-chuan; Sun, David S. - In: Emerging markets finance & trade : a journal of the … 48 (2012) 3, pp. 4-30
Persistent link: https://www.econbiz.de/10009682772