PT  - JOURNAL ARTICLE
AU  - Ernest N. Biktimirov
AU  - Boya Li
TI  - Market Reactions to Changes in the S&P/TSX SmallCap Index
AID  - 10.3905/jii.2014.5.2.057
DP  - 2014 Aug 31
TA  - The Journal of Index Investing
PG  - 57--64
VI  - 5
IP  - 2
4099  - https://pm-research.com/content/5/2/57.short
4100  - https://pm-research.com/content/5/2/57.full
AB  - Stocks added to major indexes generally experience positive abnormal returns. However, researchers disagree on whether these abnormal returns are permanent or temporary, and offer competing explanations. We examine stock price and trading volume reactions to changes in the Canadian S&P/TSX SmallCap Index. Our primary finding is that significant changes in prices and trading volume occur for stocks added to or deleted from the S&P/TSX SmallCap Index. The effect depends on whether a stock is a pure addition or deletion as opposed to being shifted between S&P/TSX indexes.TOPICS: Mutual funds/passive investing/indexing, fundamental equity analysis, developed