Untangling demand curves from information effects: evidence from Australian index adjustments

David Sokulsky, Robert Brooks and Sinclair Davidson

Applied Financial Economics, 2008, vol. 18, issue 8, 605-616

Abstract: We investigate the impact of the Morgan Stanley Capital International change in index calculation on Australian stocks. We are able to differentiate between a downward sloping demand curve hypothesis and the investor awareness hypothesis. Broadly speaking, the results are consistent with investor awareness at the time of the announcements and downward sloping demand curves at the implementation date.

Date: 2008
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DOI: 10.1080/09603100601118284

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