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Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List

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Cited by:

  1. Gregoriou, Andros & Gupta, Jairaj & Healy, Jerome, 2016. "Does Islamic banking increase the liquidity of stocks? An application to the Kingdom of Bahrain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 132-138.
  2. Ernest N. Biktimirov & Yuanbin Xu, 2019. "Market reactions to changes in the Dow Jones industrial average index," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 15(5), pages 792-812, May.
  3. Nawal Seif Kassim & Roslily Ramlee & Salina Kassim, 2017. "Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 40-51.
  4. Andros Gregoriou & Christos Ioannidis & Len Skerratt, 2005. "Information Asymmetry and the Bid-Ask Spread: Evidence From the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9-10), pages 1801-1826.
  5. Khelifa Mazouz & Abdulkadir Mohamed & Brahim Saadouni, 2019. "Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index," Journal of Business Ethics, Springer, vol. 154(3), pages 683-699, February.
  6. Friedman, Henry L. & Hughes, John S. & Michaeli, Beatrice, 2020. "Optimal reporting when additional information might arrive," Journal of Accounting and Economics, Elsevier, vol. 69(2).
  7. Doeswijk, Ronald Q., 2005. "The index revision party," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 93-112.
  8. J. Carlos Gómez Sala & Jorge Yzaguirre, 2003. "Presión sobre los precios en las revisiones del índice IBEX35," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 491-531, September.
  9. Andros Gregoriou & Christos Ioannidis, 2006. "Information costs and liquidity effects from changes in the FTSE 100 list," The European Journal of Finance, Taylor & Francis Journals, vol. 12(4), pages 347-360.
  10. Alexis Cellier & Pierre Chollet & Souad Lajili Jarjir, 2013. "New empirical evidence on market reactions to changes in Socially Responsible Investment indexes," Post-Print hal-01367120, HAL.
  11. Kaserer, Christoph & Munzinger, Jakob & Wagner, Niklas, 2004. "The index effect: Comparison of different measurement approaches," CEFS Working Paper Series 2004-04, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
  12. Ernest N. Biktimirov, 2004. "The Effect of Demand on Stock Prices: Evidence from Index Fund Rebalancing," The Financial Review, Eastern Finance Association, vol. 39(3), pages 455-472, August.
  13. Ali Saleh Ahmed Alarussi, 2021. "Effectiveness, Efficiency and Executive Directors’ Compensation Among Listed Companies in Malaysia," SAGE Open, , vol. 11(4), pages 21582440211, October.
  14. Fauzias Mat Nor & Amir Shaharuddin & Ainulashikin Marzuki & Nur Ainna Ramli, 2019. "Revised Malaysian Shariah Screening: Its Impact on Islamic Capital Market," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(1), pages 17-30, June.
  15. Chu, Gang & Goodell, John W. & Li, Xiao & Zhang, Yongjie, 2021. "Long-term impacts of index reconstitutions: Evidence from the CSI 300 additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  16. Euikyu Choi & Wei Du & Orhan Kara & Marek Marciniak, 2023. "Market responses to S&P exclusions: Evidence from the 2010-2019 period," Economics Bulletin, AccessEcon, vol. 43(4), pages 1656-1665.
  17. Andros Gregoriou & Christos Ioannidis & Len Skerratt, 2005. "Information Asymmetry and the Bid‐Ask Spread: Evidence From the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9‐10), pages 1801-1826, November.
  18. Ding, Mingfa & Shen, Mi & Suardi, Sandy, 2022. "Blockholders, tradability and information asymmetry: Evidence from Chinese listed firms," Research in International Business and Finance, Elsevier, vol. 60(C).
  19. COLLA, Paolo, 2005. "A market microstructure rationale for the S&P game," LIDAM Discussion Papers CORE 2005008, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  20. Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N., 2013. "A comprehensive long-term analysis of S&P 500 index additions and deletions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4920-4930.
  21. Lindsay Baran & Ying Li & Chang Liu & Zilong Liu & Xiaoling Pu, 2018. "S&P 500 Index revisions and credit spreads," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 348-363, October.
  22. W. K. Adrian Cheung & Eduardo Roca, 2010. "Do Pacific Basin Investors Value Corporate Sustainability?," Discussion Papers in Finance finance:201016, Griffith University, Department of Accounting, Finance and Economics.
  23. Chen, Haiwei & Ngo, Thanh, 2017. "Leverage-based index revisions: The case of Dow Jones Islamic Market World Index," Global Finance Journal, Elsevier, vol. 32(C), pages 16-34.
  24. 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.
  25. Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark, 2014. "Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 20-35.
  26. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, vol. 63(2), pages 152-165, March.
  27. Ken L. Bechmann, 2004. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index," Multinational Finance Journal, Multinational Finance Journal, vol. 8(1-2), pages 3-34, March-Jun.
  28. Wang, Chuan & Murgulov, Zoltan & Haman, Janto, 2015. "Impact of changes in the CSI 300 Index constituents," Emerging Markets Review, Elsevier, vol. 24(C), pages 13-33.
  29. Joon Woo Park & Chang Won Lee, 2018. "Performance of stock price with changes in SRI governance index," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(6), pages 1121-1129, November.
  30. Khedmati, Mehdi & Navissi, Farshid & Shams, Syed & Vinkler, Daniel, 2015. "News announcement effects of compliance with section 404 of SOX: Evidence from non-accelerated filers," Journal of Contemporary Accounting and Economics, Elsevier, vol. 11(3), pages 231-244.
  31. Ernest N. Biktimirov & Yuanbin Xu, 2019. "Asymmetric stock price and investor awareness reactions to changes in the Nasdaq 100 index," Journal of Asset Management, Palgrave Macmillan, vol. 20(2), pages 134-145, March.
  32. Yun, Jooyoung & Kim, Tong S., 2010. "The effect of changes in index constitution: Evidence from the Korean stock market," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 258-269, September.
  33. Bryan Mase, 2006. "Investor awareness and the long-term impact of FTSE 100 index redefinitions," Applied Financial Economics, Taylor & Francis Journals, vol. 16(15), pages 1113-1118.
  34. Konstantina Kappou, 2018. "The diminished effect of index rebalances," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 235-244, July.
  35. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
  36. repec:ibf:ijbfre:v:11:y:2017:i:2:p:81-92 is not listed on IDEAS
  37. Andrukovich, P., 2019. "The dynamics of stock price during their listing and delisting," Journal of the New Economic Association, New Economic Association, vol. 44(4), pages 50-76.
  38. Ulrich Pape & Stephan Schmidt-Tank, 2005. "Liquidity Effects of Changes in a Pan-European Stock Index," Finance 0503016, University Library of Munich, Germany.
  39. Eric C. Lin, 2018. "The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 12(1), pages 81-92.
  40. Bacha, Obiyathulla I. & Abdullah, Mimi H., 2001. "Halal Stock Designation and Impact on Price and Trading Volume," MPRA Paper 12728, University Library of Munich, Germany, revised Feb 2001.
  41. Kot, Hung Wan & Leung, Harry K.M. & Tang, Gordon Y.N., 2015. "The long-term performance of index additions and deletions: Evidence from the Hang Seng Index," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 407-420.
  42. Prabhdeep Kaur & Jaspal Singh, 2021. "Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 46(3), pages 263-288, August.
  43. YAO, Dongmin & ZHOU, Shiyu & CHEN, Yijing, 2022. "Price effects in the Chinese stock market: Evidence from the China securities index (CSI300) based on regression discontinuity," Finance Research Letters, Elsevier, vol. 46(PB).
  44. Mazouz, Khelifa & Daya, Wael & Yin, Shuxing, 2014. "Index revisions, systematic liquidity risk and the cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 283-298.
  45. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
  46. Adrian Wai Kong Cheung, 2011. "Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study," Journal of Business Ethics, Springer, vol. 99(2), pages 145-165, March.
  47. Loriana Pelizzon & Marti G. Subrahmanyam & Reiko Tobe & Jun Uno, 2018. "Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan," IMES Discussion Paper Series 18-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
  48. Richard Chung & Lawrence Kryzanowski, 1998. "Are the Market Effects Associated with Revisions to the TSE300 Index Robust?," Multinational Finance Journal, Multinational Finance Journal, vol. 2(1), pages 1-36, March.
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