 Price Reactions to Index Reorganization Announcements: Indian EvidenceRoji George Paradigm, 2009, vol. 13, issue 2, 88-97 Abstract: It is a well-known fact that stock indices con be treated as a yardstick for market performance. Price changes reflect a great deal in the functioning of a stock in particular and the market as a whole. Index organizer periodically evaluates the market and decides the stocks which con be included and excluded. Available literature reveals that there ore price differences before and after the announcement dates and in the some way before and after the executing dates . It corrects this anomaly and helps in making profits and/or avoiding losses in stock market. In this study, an attempt has been made to analyse the stock price behaviour an S&P CNX Nifty Index due to such inclusions and exclusions. A period of two years (2004 to 2006) is considered. The study tries to analyse the changes and the reasons which can be attributed for the same. The study reveals that stock prices of firms entering or exiting the indices are not affected by the announcement of inclusion and exclusion dotes. Minor changes ore observed but these are very insignificant. These results prop up the basic premise of semi-strong form hypothesis that of share prices reflect an event or information very quickly, and therefore, it is not possible for on investor to beat the market using such information. Keywords: NSE indices; Stocks; Reorganization announcements; Inclusion and Exclusion; Market Efficiency; Semi strong form (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:13:y:2009:i:2:p:88-97 Access Statistics for this article More articles in Paradigm |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.