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Department of Finance, Copenhagen Business School Working Paper Series, Department of Finance, Copenhagen Business School

No 2002-2:
Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

Ken L. Bechmann

Abstract: The Danish blue-chip index - the KFX Index - provides an interesting case for

studying the effects of changes in a stock market index. This is because of the unique

selection criterion used for the composition of the KFX Index. The criterion is pub-

licly known and based on a combination of liquidity and market value of the stock.

Consistent with the selection criterion, the stock price effects are generally small

at the announcement of a change and at the later date when the change comes into

effect. However, the deleted stocks experience an abnormal return averaging

Keywords: Changes in indices; composition; price and liquidity effects; (follow links to similar papers)

JEL-Codes: G11; G14; (follow links to similar papers)

31 pages, March 10, 2002

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