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New evidence on the price and liquidity effects of the FTSE 100 index revisions
Khelifa Mazouz
*
, Bharim Saadouni
*
Corresponding author for this work
Aston Business School
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peer-review
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Keyphrases
Abnormal Returns
40%
Bid-ask Spread
20%
Estimation Method
20%
FTSE 100
100%
GARCH (1,1) Model
40%
Imperfect Substitution
20%
Index Revision
100%
Kalman Filter Algorithm
20%
Liquidity
40%
Liquidity Effect
100%
Model Coefficients
20%
New Evidence
100%
Price Change
20%
Price Effect
100%
Random Coefficients
20%
Random Walk Process
20%
Residual Variance
20%
Return Estimation
20%
Single-index Model
60%
Substitution Hypothesis
20%
Temporary Change
20%
Trading Volume
20%
Economics, Econometrics and Finance
Bid-Ask Spread
33%
Estimation Theory
33%
Generalized Autoregressive Conditional Heteroskedasticity
66%
Liquidity Effect
100%
Price
100%
Price Effect
100%
State Space Model
33%
Trading Volume
33%