Impacts of equity index reconstitution on stock returns.

• Main Authors: Tan, Joshua Guang Liang., Liu, Huixin., Toh, Pei Yun.
• Other Authors: Charoenwong, Charlie
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/11622
• Institution: Nanyang Technological University

This study examines the impact of reconstitution of the Straits Times Index from January 1999 to August 2007. Throughout the period analyzed, there were a total of 50 stocks added to and 57 stocks deleted from the index. From our study, we find that the stock market reacts positively to the announce...