Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI

Alcino Azevedo, Mohamad Karim, Andros Gregoriou, Mark Rhodes

Research output: Contribution to journalArticlepeer-review

Abstract

We examine the stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), over the time period of 2005–2012. We find evidence to support the price pressure hypothesis for both additions to and deletions from the KLCI. This is because significant stock price and trading volume effects in the pre index revision period are entirely reversed after the announcement of the news. Our empirical findings can be explained by the market microstructure literature. Significant changes in liquidity cause trading volume and stock prices to reverse back to their original level before the index revisions took place.
Original languageEnglish
Pages (from-to)20-35
Number of pages16
JournalJournal of International Financial Markets, Institutions and Money
Volume28
Early online date26 Oct 2013
DOIs
Publication statusPublished - Jan 2014

Bibliographical note

© 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

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