Price and Volume Effects Associated with Changes in the Danish Blue-chip Index: The KFX Index

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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 publicly 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.
Original languageEnglish
Place of PublicationFrederiksberg
PublisherInstitut for Finansiering, Copenhagen Business School
Number of pages29
ISBN (Print)8790705599
Publication statusPublished - 2002
SeriesWorking Papers / Department of Finance. Copenhagen Business School


  • Changes in indices' composition
  • Price and liquidity effects

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