Untangling demand curves from information effects: Evidence from Australian index adjustments

Davidson, S, Brooks, R and Sokulsky, D 2008, 'Untangling demand curves from information effects: Evidence from Australian index adjustments', Applied Financial Economics, vol. 18, no. 8, pp. 605-616.


Document type: Journal Article
Collection: Journal Articles

Title Untangling demand curves from information effects: Evidence from Australian index adjustments
Author(s) Davidson, S
Brooks, R
Sokulsky, D
Year 2008
Journal name Applied Financial Economics
Volume number 18
Issue number 8
Start page 605
End page 616
Total pages 11
Publisher Taylor and Francis
Abstract We investigate the impact of the Morgan Stanley Capital International change in index calculation on Australian stocks. We are able to differentiate between a downward sloping demand curve hypothesis and the investor awareness hypothesis. Broadly speaking, the results are consistent with investor awareness at the time of the announcements and downward sloping demand curves at the implementation date.
Subject Financial Economics
DOI - identifier 10.1080/09603100601118284
Copyright notice © 2008 Taylor & Francis
ISSN 0960-3107
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