I am working on this topic of impact of inclusion and exclusion of stocks from an index and its impact. What areas do i have to consider apart from the impact on prices and volumes. If I want to study the impact on Mutual funds how do I go about it?
Kindly help
Marcin Potrykus
Dear Harmeet Singh,
I think that very helpful for you can be the literature below:
- Baran, L. C., & King, T. H. D. (2014). S&P 500 Index reconstitutions and information asymmetry. Applied Financial Economics, 24(11), 777–791. https://doi.org/10.1080/09603107.2014.904489
- Basse Mama, H., Mueller, S., & Pape, U. (2017). What’s in the news? The ambiguity of the information content of index reconstitutions in Germany. Review of Quantitative Finance and Accounting, 49(4), 1087–1119. https://doi.org/10.1007/s11156-017-0617-1
- Biktimirov, E. N., & Xu, Y. (2019). Asymmetric stock price and investor awareness reactions to changes in the Nasdaq 100 index. Journal of Asset Management, 20(2), 134–145. https://doi.org/10.1057/s41260-019-00108-6
- Kappou, K., & Oikonomou, I. (2016). Is There a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices. Journal of Business Ethics, 133(3), 533–552. https://doi.org/10.1007/s10551-014-2409-z
- Marciniak, M., & Smith, D. D. (2018). Does market response to S&P additions reflect adjustment for risk? Journal of Risk Finance, 19(5), 437–453. https://doi.org/10.1108/JRF-09-2017-0152
- Mase, B. (2006). Investor awareness and the long-term impact of FTSE 100 index redefinitions. Applied Financial Economics, 16(15), 1113–1118. https://doi.org/10.1080/09603100500447479
- Yu, S., Webb, G., & Tandon, K. (2015). What happens when a stock is added to the Nasdaq-100 index? What doesn’t happen? Managerial Finance, 41(5), 480–506. https://doi.org/10.1108/MF-02-2014-0044
Kind regards
0 votes
0 thanks
Tomasz Miziolek
Dear Harmeet Singh,
check out this analysis: https://www.spglobal.com/spdji/en/research/article/what-happened-to-the-index-effect-a-look-at-three-decades-of-sp-500-adds-and-drops/
Sincerely
Tomasz Miziolek
0 votes
0 thanks
- Badges
- Science topic
- Similar topics
- Indexes
More Harmeet Singh's questions See All
Similar questions and discussions