Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

Ken L. Bechmann
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Ken L. Bechmann: Department of Finance, Copenhagen Business School, Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark

No 2002-2, Working Papers from Copenhagen Business School, Department of Finance

Abstract: The Danish blue-chip index - the KFX Index - provides an interesting case for

studying the effects of changes in a stock market index. This is because of the unique

selection criterion used for the composition of the KFX Index. The criterion is pub-

licly known and based on a combination of liquidity and market value of the stock.

Consistent with the selection criterion, the stock price effects are generally small

at the announcement of a change and at the later date when the change comes into

effect. However, the deleted stocks experience an abnormal return averaging

Keywords: Changes in indices; composition; price and liquidity effects (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2002-03-10
New Economics Papers: this item is included in nep-fmk and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:cbsfin:2002_002

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