Endekse dahil olma ve çıkarılmanın hisse senedi performansına etkisi : İMKB uygulaması
Özet
This study analyses price and volume data of stocks added to or deleted from the ISE 100 Index from 2000 through 2007. For both additions and deletions we observed a movement in the data of price and volume. Furthermore, we find that abnormal returns around index changes. We find that additions price of the stock exhibits significant increase in the announcement and the change day, and then a decline at the end of the analysis process. The price increases steadily approximately 2 % in the announcement day. With the effect on the deletions the price drops approximately 1 % in the announcement day. Furthermore, we investigate trading volume around the announcement and the index change time. We also find evidence supporting that the trading volumes increases after the announcement in both additions(VR: Ad: % 1.16, Ed: % 1.18) and deletions(VR: Ad: % 1.35, Ed: % 2,09) changes.