RT Journal Article
SR Electronic
T1 Market Reactions to Changes in the S&P/TSX SmallCap Index
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 57
OP 64
DO 10.3905/jii.2014.5.2.057
VO 5
IS 2
A1 Ernest N. Biktimirov
A1 Boya Li
YR 2014
UL https://pm-research.com/content/5/2/57.abstract
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