Show simple item record

dc.contributor.authorXu, Yuanbin
dc.date.accessioned2012-05-17T13:05:17Z
dc.date.available2012-05-17T13:05:17Z
dc.date.issued2012-05-17
dc.identifier.urihttp://hdl.handle.net/10464/4006
dc.description.abstractWe examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectfinancial marketsen_US
dc.subjectnasdaq-100 indexen_US
dc.subjectprice pressure hypothesisen_US
dc.subjectinvestor awareness hypothesisen_US
dc.subjectliquidity hypothesisen_US
dc.titleMarket reactions to changes in the Nasdaq-100 Index membershipen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record