Information efficiency changes following FTSE 100 index revisions
نویسندگان
چکیده
منابع مشابه
Comovement and FTSE 100 Index Changes
We employ the Barberis, Shleifer and Wurgler (2004) methodology to investigate the impact of changes to the FTSE 100 index on return comovement over the 1992-2002 period. For FTSE stock inclusions the average increase in the beta coe¢ cient is 0.38 in univariate regressions for weekly returns and 0.60 in bivariate regressions that control for the return on non-FTSE stocks. Stocks deleted from t...
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of High Performance Computing are gratefully acknowledged. The authors also wish to thank the two referees for their insightful comments that helped to improve the this article in significant ways. MATLAB (a mathematical, financial, and statistical software language) was used for the programming throughout the study. *Correspondence author, School of Business, Singapore Management University, 4...
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2012
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2012.01.002