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The effect of changes in equity index composition on stock price: The case of the S&P/ASX 20, 50, and MidCap 50

Dimitrov, Ivaylo LU (2019) NEKN02 20191
Department of Economics
Abstract
This paper is aimed at evaluating the index effect for the Australian blue-chip and midcap indices using changes in index composition from the S&P/ASX 20, 50 and MidCap 50. For the midcap index I find significant CAARs for the period prior to the announcement period which would signify that market participants anticipate the changes to index composition and possibly try to exploit the already еstablished in literature phenomenon that is the index effect. For exclusions from the S&P/ASX MidCap 50, I find significant negative price effect after the effective date which does not revert in the next 20 days. The imperfect substitutes hypothesis is used to explain the finding.
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author
Dimitrov, Ivaylo LU
supervisor
organization
course
NEKN02 20191
year
type
H1 - Master's Degree (One Year)
subject
keywords
Index effect, S&P/ASX 20, S&P/ASX 50, S&P/ASX MidCap 50, Event study
language
English
id
8980659
date added to LUP
2019-08-08 10:29:55
date last changed
2019-08-08 10:29:55
@misc{8980659,
  abstract     = {{This paper is aimed at evaluating the index effect for the Australian blue-chip and midcap indices using changes in index composition from the S&P/ASX 20, 50 and MidCap 50. For the midcap index I find significant CAARs for the period prior to the announcement period which would signify that market participants anticipate the changes to index composition and possibly try to exploit the already еstablished in literature phenomenon that is the index effect. For exclusions from the S&P/ASX MidCap 50, I find significant negative price effect after the effective date which does not revert in the next 20 days. The imperfect substitutes hypothesis is used to explain the finding.}},
  author       = {{Dimitrov, Ivaylo}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{The effect of changes in equity index composition on stock price: The case of the S&P/ASX 20, 50, and MidCap 50}},
  year         = {{2019}},
}