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| Author: | Vespro, C. |
| Title: | Stock price and volume effects associated with compositional changes in European stock indices |
| Journal: | European Financial Management
2006 : JAN, VOL. 12:1, p. 103-127 |
| Index terms: | stock markets prices France Europe |
| Language: | eng |
| Abstract: | This paper provides further evidence of price and volume effects associated with (here as: a-w.) index (here as: ix. - for 'indices' as: ixs.) compositional changes by analyzing the inclusions / exclusions from the French CAC40, SBF120 and FTSE100 ixs. There is found evidence supporting the price pressure hypothesis a-w. ix. fund rebalancing. However, there is weak or no evidence for the imperfect substitution, liquidity and information hypotheses. The results improve on recent evidence from the S&P500 ix. The evidence for the FTSE100 additions shows, in particular, that markets learn about an imminent inclusion and incorporate this information into prices, even before the announcement date. |
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