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Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions

Hung-Ling Chen, Cheng-Yi Shiu and Hui-Shan Wei

Journal of Empirical Finance, 2019, vol. 50, issue C, 93-112

Abstract: •We examine changes in the MSCI Standard Index for 38 countries from 2000 to 2015.•The abnormal returns for additions to MSCI Index are positive and permanent.•The negative abnormal returns for deletions are transient.•The finding is consistent with the prediction of the investor awareness hypothesis.•The MSCI Index effects are more profound in emerging markets and in recent years.

Keywords: Index effects; Investor awareness; MSCI; Institutional investor base (search for similar items in EconPapers)
Date: 2019
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Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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Handle: RePEc:eee:empfin:v:50:y:2019:i:c:p:93-112