Naslov (eng)

Are There Price Effects of Adding or Deleting Stock From the Stock Index?

Autor

Todorović, Miroslav
Draganac, Dragana

Opis (eng)

Abstract: In this paper, we investigate the effects of stock indexing on its market price. The event study methodology is used to explore what happens with share price when stocks are added to or deleted from the market index S&P 500. The aim of the research is to investigate if there are abnormal returns, can they be anticipated by traders, what is their duration, and if the effects could be explained from the perspectives of neoclassical and behavioral finance. Several explanations of price dynamics after stock price (de)indexing are provided in the paper. Our results show that index effects declined a lot in recent years, both for the case of stock inclusions and exclusion.

Jezik

engleski

Datum

2023

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC 4.0 - Creative Commons Autorstvo - Nekomercijalno 4.0 International License.

http://creativecommons.org/licenses/by-nc/4.0/legalcode

Predmet

Keywords: stock price indexing, efficient market hypothesis, behavioral finance, event study

Deo kolekcije (1)

o:28218

Ekonomski fakultet