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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