The Index Effect: an investigation of the price and volume effects surrounding changes to the S & P Australian indices

Pullen, Daniel and Gannon, Gerard 2004, The Index Effect: an investigation of the price and volume effects surrounding changes to the S & P Australian indices, in Asian FA/TFA/FMA 2004 : program and papers, National Chengchi University, Taipei, Taiwan, pp. 1-43.

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Title The Index Effect: an investigation of the price and volume effects surrounding changes to the S & P Australian indices
Author(s) Pullen, Daniel
Gannon, Gerard
Conference name Asian FA/TFA/FMA 2004 Conference in Taipei (2004 : Taipei, Taiwan)
Conference location Taipei, Taiwan
Conference dates 12-14 July 2004
Title of proceedings Asian FA/TFA/FMA 2004 : program and papers
Editor(s) Chow, Edward
Lee, Jie-Huan
Publication date 2004
Start page 1
End page 43
Publisher National Chengchi University
Place of publication Taipei, Taiwan
Keyword(s) index change
price effect
volume effect
index fund
price pressure
Summary This paper examines the stock price and volume effects surrounding the announcement of constituent changes to the S&P/ASX 200 and four supplementary indices. Between April 2000 and December 2002 additions to (deletions from) the ASX 200 were associated with a significant price rise (fall) over the 10 day period following the market announcement of the change. Deletions were also associated with a significant fall on the announcement date itself These findings were corroborated by significant increases in trading volume over the same intervals, suggesting heavy trading activity by index funds in response to changes to the ASX 200. Following the implementation of these changes, both additions and deletions experienced a significant price reversion, supporting the price pressure hypothesis. By contrast, none of the supplementary indices displayed evidence of stock price or volume effects, which precludes the information and liquidity hypotheses as viable explanations for the findings of this research.
Language eng
Field of Research 150201 Finance
HERDC Research category E1 Full written paper - refereed
ERA Research output type E Conference publication
Persistent URL http://hdl.handle.net/10536/DRO/DU:30009633

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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