Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions

Author:

Chen Wei-Kuang,Lin Ching-Ting

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference20 articles.

1. An anatomy of the “S&P GAME”: the effects of changing the rules;Beneish;J. Financ.,1996

2. Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index;Biktimirov;Rev. Quant. Finan. Acc.,2014

3. The price response to S&P 500 index additions and deletions: evidence of asymmetry and a new explanation;Chen;J. Financ.,2004

4. S&P 500 index additions and earnings expectations;Denis;J. Financ.,2003

5. Price pressure on the NYSE and NASDAQ: Evidence from S&P 500 index changes;Elliott;Financ. Manag.,2003

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