Inclusion of stocks in the index

Authors

  • Натко Благојевић Zagrebačka banka d.d.
  • Силвије Орсаг Faculty of Economics, University of Zagreb

DOI:

https://doi.org/10.7251/ACE1318051B

Keywords:

behavioral finance, technical anomalies, the inclusion in the index, the rise in stock prices afer the inclusion in the index

Abstract

Index inclusion is one of a technical anomaly in the focus of behavioral finance which cannot be explained from the viewpoint of traditional finance. Starting from globalization of world financial markets and the fact that Croatian capital market is well integrated within developed European capital markets we are investigate existence of significant changes in prices of stock after theirs inclusion in index Crobex . As result of performing researches we find significant change in stock price caused by theirs including in stock market index without significant change in theirs trading volumes in situation where are no index funds specialized for investing in Crobex and where inclusion is transparent and autonomous from discreet decisions.

Downloads

Download data is not yet available.

References

Andeliusa, J., Skutkowskog, М. Valuation Effects of Indeks Inclusion – Evidence from Sweden. University Essey from Handelshőgskolan i Stockholm / Institutionen for főretagande och lending, 2008.

Барбић, Т. Хрватско тржиште капитала у контексту регионалних интеграцијских процеса, докторска дисертација. Загреб : Економски факултет, 17.12. 2010, ментор Силвије Орсаг.

Bechmann, K. L. Price and Volume Effects Associated with Changes in the Danis Blue Chip Indeks – Te KFX Index. EFMA, 2004, London Meeting.

Biktimirov, Е. N., Cowan, A. R., Bradford, D. J. Do Demand Curves for Small STocks Slope Down? The Journal of Financial Research, June 2004.

Chen, H., Singal, V., Noronha, G. Te Price Response to S&P 500 Indeks Additions and DEletions: Evidence of Asymmetry and a New Explanation. The Journal of Finance, June 2003.

Deiniger C. G., Laserer, C., Roos, S. Stock Price Effects Associated with Index Replacements in Germany. EFMA 2001 Lugano Meetings.

Denis, D. K., McConnell, J.J., Ovtchinnikov, A.V., Yu,Y. S&P 500 Index Additions and Earnings Expectations.Te Journal of Finance, August, 2002.

Fama, E.F. Te Behavior of Stock Prices. Journal of Business, January, 1965.

Fama, E.F. Random Walks in Stock Market Price. Financial Analysts Journal, September-October, 1965.

Fama, E.F. Efcient Capital Markets: A Review if Teory and Empirical Work. Journal of Business, May 1970.

Fama, E.F. Insiders and Market Efciency. Journal of Finance, September, 1976.

Harris, L., Gurel, E. Price and Volume Effects Asspcoated wotj Cjamges om tje S&P 500 List: New Evidence for the Existence of Price Pressures. The Journal of Finance, 1986.

Managing Investment Portfolios, A Dynamic Process. 3 ed. редакција John L. Maginn, Donald L. Tuttle, Jerald E. Pinto и Dennis W. McLeavey, John Wiley & Sons, Hoboken, New Jersey, 2007.

Pompian, M. M. Behavioral Finance and Wealth Management. How to Build OPtimal POrfolios Tat Account for Investor Biases, John Wilwy & Sons, 2006.

I. Otchere, A. G. Do index effects reflect idiosyncratic or industry effects? A re-examination of the winners and losers of S&P 500 Indeks Addition. Australian Finance & Banking Conference, 2007.

Rigamonti, S., Barontini, R. Stock Index Futures and the Effect on Cash Market in Italy: Evidende form Changes in Indexes Composition, EFMA 2000. Athenas Meeting.

Shankar, S. G. Miller, J. M. Market Reaction to Changes in the S&P SmallCaps 600 Indeks. Te Financial Review, August 2006.

Shankar, S. G., Dipinder, S. R. The effects of Index changes in the Hong Kong and Singapore stock markets. FMA meeting Salt Lake City, 2006.

Shleifer, A. Do Demand Curves for Stock Slope Down? The Journal of Finance, 1986.

Van Horne. New listings and their price behavior. The Journal of Finance, 1970.

Wurgler, J., Zhuravslaya, E. V. Does Arbitrage Fatten Demand Curves for Stocks. Working Paper No. ICF-99-12, 2000.

Downloads

Published

2013-02-28

How to Cite

Благојевић, Н., & Орсаг, С. (2013). Inclusion of stocks in the index. Acta Economica, 11(18), 51–66. https://doi.org/10.7251/ACE1318051B

Issue

Section

Preliminary Communication