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Title: Can we profit from index additions and deletions? empirical evidence of Hang Seng index constituents
Authors: Au Yeung, Chau Kin (歐陽秋乾)
Lau, Ricky Man Ki (劉敏旗)
Sin, Cedric Ho Fai (冼浩輝)
Department: Department of Economics and Finance
Issue Date: 2005
Course: EF5052 Investments, Semester B, 2005
Programme: MBA
Instructor: Dr. Clement Wong
Subjects: Hang Seng Index
Stock price indexes – Hong Kong
Stock exchanges – Hong Kong
Stocks – Hong Kong
Abstract: We empirically investigate the price and volume effects of changes to Hang Seng Index Constituents. Our results show that for addition firms, stock price runs up shortly before the event day, but drops afterwards. The statistics from the 100 days event window suggest added firms are on average underperformed in the long run. Consistent with previous literature, we do not find any permanent effects on deletion firms. We contribute by shedding some lights on trading strategy of index modifications.
Appears in Collections:OAPS - Dept. of Economics & Finance

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