| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963498 | Journal of International Financial Markets, Institutions and Money | 2012 | 16 Pages |
Abstract
⺠We examines the impact of FTSE 100 index revisions on the stock price informational efficiency. ⺠We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). ⺠We report a significant improvement (no change) in the informational efficiency of the stocks added to (deleted from) the FTSE 100 index. ⺠We attribute the asymmetric effect of additions and deletions to certain aspects of liquidity and other fundamental characteristics, which improve following additions, but do not diminish after deletions. ⺠The cross-sectional analysis we also show that stocks with low pre-addition market quality benefit more from joining the index.
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Authors
Wael Daya, Khelifa Mazouz, Mark Freeman,