Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI

Alcino Azevedo; Mohamad Nazri Abd Karim; Andros Gregoriou; Mark Rhodes

doi:10.2139/ssrn.2393641

Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI

Alcino Azevedo, Mohamad Nazri Abd Karim, Andros Gregoriou, Mark Rhodes

School of Economics, Finance and Accounting

Research output: Working paper/Preprint › Working paper

Abstract

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.

Original language	English
DOIs	https://doi.org/10.2139/ssrn.2393641
Publication status	Published - 11 Feb 2014

Keywords

Addition
Deletion
Index Revision
Price Effect
Liquidity Effect
Volume Effect

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10.2139/ssrn.2393641

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abstract = "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.",

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KW - Addition

KW - Deletion

KW - Index Revision

KW - Price Effect

KW - Liquidity Effect

KW - Volume Effect

U2 - 10.2139/ssrn.2393641

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BT - Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI

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Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI

Abstract

Keywords

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Cite this