The effect of changes in index constitution: Evidence from the Korean stock market

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dc.contributor.authorYun, J.ko
dc.contributor.authorKim, Tong Sukko
dc.date.accessioned2013-03-08T15:33:36Z-
dc.date.available2013-03-08T15:33:36Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2010-09-
dc.identifier.citationINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.19, no.4, pp.258 - 269-
dc.identifier.issn1057-5219-
dc.identifier.urihttp://hdl.handle.net/10203/93428-
dc.description.abstractThis paper examines the effect of changes in the KOSPI 200 index. We find evidence of permanent price effects and partial return reversal for the event stocks. Trading volumes tend to significantly increase during the event period and remain relatively higher than before the event. We also find some evidence of the existence of anticipatory trading effect before the effective dates and volatility effect. The results show that the abnormal return still exists even after adopting factor models and excluding newly added stocks. The indexing methodology of KOSPI 200 conveys the valuable information that the added stocks showed good performance and better earnings relative to the market average and the deleted stocks showed vice versa. In conclusion, member changes in the KOSPI 200 index are not information-free events. © 2010 Elsevier Inc.-
dc.languageEnglish-
dc.publisherElsevier Inc.-
dc.titleThe effect of changes in index constitution: Evidence from the Korean stock market-
dc.typeArticle-
dc.identifier.scopusid2-s2.0-78149471238-
dc.type.rimsART-
dc.citation.volume19-
dc.citation.issue4-
dc.citation.beginningpage258-
dc.citation.endingpage269-
dc.citation.publicationnameINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS-
dc.contributor.localauthorKim, Tong Suk-
dc.contributor.nonIdAuthorYun, J.-
dc.subject.keywordAuthorAdditions-
dc.subject.keywordAuthorDeletions-
dc.subject.keywordAuthorG12-
dc.subject.keywordAuthorG14-
dc.subject.keywordAuthorIndex changes-
dc.subject.keywordAuthorIndex inclusion-
dc.subject.keywordAuthorKOSPI 200-
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