FTSE/JSE Index Migration: Testing for the Index Effect in Stocks Entering and Exiting the Top 40
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More about this item
Keywords
Index front-running; passive rebalancing trade;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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-07-08 (Financial Markets)
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