Price effects of changes to size sub-indexes on the Australian stock exchange: an event study.

Sokulsky, D, Brooks, R and Davidson, S 2003, 'Price effects of changes to size sub-indexes on the Australian stock exchange: an event study.', Accounting, Accountability and Performance, vol. 9, no. 2, pp. 67-88.


Document type: Journal Article
Collection: Journal Articles

Title Price effects of changes to size sub-indexes on the Australian stock exchange: an event study.
Author(s) Sokulsky, D
Brooks, R
Davidson, S
Year 2003
Journal name Accounting, Accountability and Performance
Volume number 9
Issue number 2
Start page 67
End page 88
Total pages 22
Publisher Griffith University
Abstract This paper examines whether the general effect of index inclusion is present in relation to inclusion in the size sub-indexes on the Australian Stock Exchange. Results show that positive abnormal returns may be made for additions in the 30 days prior to the announcement window. However cumulative abnormal returns for the next 90 days are negative. Results of deletions are not so clear, and it is apparent that over the 120 day event window, deletions show a positive CAR. In relation to the overall AOI, it appears that the index effect is stronger for the AOI as reported by Howard and Chan (1999), than it is for the sub-indexes examined here.
Subject Financial Economics
ISSN 1445-954X
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