Abstract
Original language | English |
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DOIs | |
Publication status | Published - 11 Feb 2014 |
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Keywords
- Addition
- Deletion
- Index Revision
- Price Effect
- Liquidity Effect
- Volume Effect
Cite this
Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI. / Azevedo, Alcino; Abd Karim, Mohamad Nazri; Gregoriou, Andros; Rhodes, Mark.
2014.Research output: Working paper
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TY - UNPB
T1 - Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI
AU - Azevedo, Alcino
AU - Abd Karim, Mohamad Nazri
AU - Gregoriou, Andros
AU - Rhodes, Mark
PY - 2014/2/11
Y1 - 2014/2/11
N2 - We examine the stock price and volume effects of changes in the composition of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), over the time period of 2005 to 2012. We find evidence to support the price pressure hypothesis for both additions to and deletions from the KLCI. This is because substantial stock price and trading volume effects in the pre index revision period are entirely reversed after the announcement of the news. Significant changes in liquidity causes trading volume and stock prices to reverse back to their original level before the index revisions took place.
AB - We examine the stock price and volume effects of changes in the composition of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), over the time period of 2005 to 2012. We find evidence to support the price pressure hypothesis for both additions to and deletions from the KLCI. This is because substantial stock price and trading volume effects in the pre index revision period are entirely reversed after the announcement of the news. Significant changes in liquidity causes trading volume and stock prices to reverse back to their original level before the index revisions took place.
KW - Addition
KW - Deletion
KW - Index Revision
KW - Price Effect
KW - Liquidity Effect
KW - Volume Effect
U2 - 10.2139/ssrn.2393641
DO - 10.2139/ssrn.2393641
M3 - Working paper
BT - Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI
ER -