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Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions

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  • Chen, Hung-Ling
  • Shiu, Cheng-Yi
  • Wei, Hui-Shan

Abstract

•We examine changes in the MSCI Standard Index for 38 countries from 2000 to 2015.•The abnormal returns for additions to MSCI Index are positive and permanent.•The negative abnormal returns for deletions are transient.•The finding is consistent with the prediction of the investor awareness hypothesis.•The MSCI Index effects are more profound in emerging markets and in recent years.

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  • Chen, Hung-Ling & Shiu, Cheng-Yi & Wei, Hui-Shan, 2019. "Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 93-112.
    • Handle: RePEc:eee:empfin:v:50:y:2019:i:c:p:93-112
    DOI: 10.1016/j.jempfin.2019.01.002
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    2. Tan, Yafei & Zhu, Zhaohui, 2024. "The internationalization of capital market and corporate innovation capabilities: A quasi-natural experiment on the inclusion of China's A-shares in the MSCI index," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1021-1038.
    3. Zhao, Panting & Yao, Xin & Shen, Rui, 2024. "Capital market internationalization and firms' ESG performance: Evidence from the inclusion of China A-shares in the MSCI Emerging Market Index," Energy Economics, Elsevier, vol. 133(C).
    4. Li, Bo & Sun, Qian & Wei, Zhihua, 2024. "Implicit barriers, market integration and asset prices: Evidence from the inclusion of China A-shares in MSCI global indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    5. Kei Nakagawa & Masaya Abe & Junpei Komiyama, 2019. "A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy," Papers 1910.01491, arXiv.org.

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