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Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

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  • Bechmann, Ken L.

    (Department of Finance, Copenhagen Business School)

Abstract

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 pub- licly 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

Suggested Citation

  • Bechmann, Ken L., 2002. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index," Working Papers 2002-2, Copenhagen Business School, Department of Finance.
    • Handle: RePEc:hhs:cbsfin:2002_002
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    File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7166
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    References listed on IDEAS

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    Cited by:

    1. Sascha Wilkens & Jens Wimschulte, 2005. "Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 61-98, June.
    2. Angelo Ranaldo & Rainer Häberle, 2008. "Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance," European Financial Management, European Financial Management Association, vol. 14(1), pages 55-81, January.

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    More about this item

    Keywords

    Changes in indices; composition; price and liquidity effects;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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