S&P/ASX 200: Does change in membership matter?

Camille Schmidt, Ruoyun (Lucy) Zhao () and Chris Terry

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: Studies over recent decades of the return effects for the stocks added to and deleted from the S and P 500 have documented the so-called 'S&P game', where traders could profit from stock price reactions to changes in the index's composition. Studies on the All Ordinaries Index covering the 1990s also found profitable trading opportunities over the pre-announcement period. Our study of the effects of changes in the composition of the S&P/ASX 200 from its introduction (in April 2000) to June 2009 found these pre-announcement opportunities were eliminated but that potential exists for the 'S&P/ASX 200 game' between announcement and implementation dates.

Keywords: Liquidity (Economics); Efficient market theory; Stocks-Prices; Stock exchanges (search for similar items in EconPapers)
Pages: 7 pages
Date: 2012-01-01
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Published in: Schmidt, C., Zhao, L. and Terry, C., 2012, "S&P/ASX 200: Does change in membership matter?", JASSA, 2012(4), 12-18.

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