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.
|Place of Publication||Frederiksberg|
|Publisher||Institut for Finansiering, Copenhagen Business School|
|Number of pages||29|
|Publication status||Published - 2002|
|Series||Working Papers / Department of Finance. Copenhagen Business School|
- Changes in indices' composition
- Price and liquidity effects