The Index Effect On Stock Prices And Trading Volumes

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The 'Index Effect' on Stock Prices and Trading Volumes

Author : Wei Huang
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The 'Index Effect' on Stock Prices and Trading Volumes by : Wei Huang

Download or read book The 'Index Effect' on Stock Prices and Trading Volumes written by Wei Huang and published by . This book was released on 2015 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using changes in the MSCI Standard Country Indices for 29 countries between 1998 and 2001, we document that stock returns and volumes exhibit quot;index effectsquot; in international markets similar to those detected by the studies of US stocks. The inclusion of a stock generally leads to higher returns immediately following the announcement followed by a further rise till the actual change with a partial reversion in the post change period. Deletions lead to significant negative returns that continue after the change date. Volumes traded increase significantly and remain at high levels after the change date for the added stocks. There are also considerable cross-country variations in these effects. The evidence is consistent with the downward sloping demand curve hypothesis though some price-pressure effects are also present. Tests using data on ADR availability and free float on stocks added to the indices fail to turn up any evidence in support of information effects.

Derivatives and Hedge Funds

Author : Stephen Satchell
Publisher : Springer
ISBN 13 : 1137554177
Total Pages : 416 pages
Book Rating : 4.1/5 (375 download)

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Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell

Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.

The Effect of Dow Jones Industrial Average Index Component Changes on Stock Returns and Trading Volumes

Author : Eric C. Lin
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Effect of Dow Jones Industrial Average Index Component Changes on Stock Returns and Trading Volumes by : Eric C. Lin

Download or read book The Effect of Dow Jones Industrial Average Index Component Changes on Stock Returns and Trading Volumes written by Eric C. Lin and published by . This book was released on 2018 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impact of index membership changes in Dow Jones Industrial Average (DJIA) Index on the return and trading volume of the affected stock. We make two key contributions to the literature. First, we employ a robust event study methodology based on Fama-French Momentum Model with EGARCH to explore the price/volume dynamics associated with DJIA Index additions and deletions. Second, we extend earlier work by incorporating all index reconstitution announcements after Dow Jones & Company began preannouncing index changes in 1990. Our results show that index additions (deletions) experience temporary increases (decreases) in stock prices following the announcement. The abnormal returns surrounding the announcements are economically and statistically significant. In addition, both inclusions and removals lead to temporary abnormal trading volume increases in the post-announcement period. However, the stock prices and trading volumes revert within a few trading days. Our findings are consistent with the price pressure hypothesis as the documented abnormal returns and trading volumes are not permanent.

How the Major Stock Indexes Work

Author : Phillip Ryan
Publisher : The Rosen Publishing Group, Inc
ISBN 13 : 1448867932
Total Pages : 82 pages
Book Rating : 4.4/5 (488 download)

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Book Synopsis How the Major Stock Indexes Work by : Phillip Ryan

Download or read book How the Major Stock Indexes Work written by Phillip Ryan and published by The Rosen Publishing Group, Inc. This book was released on 2012-07-01 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: The major stock indexes are spoken about daily, but the average person knows little about them. The Dow Jones Industrial Average, the NASDAQ, and the S&P 500 are referenced all the time in business reports. Readers discover what the indices are, why we have them, and why they're so critical to the efficient operation of the global stock market. By understanding the mechanics of the stock market indices, readers will gain a better understanding of how the market works as a whole.

A Tea Reader

Author : Katrina Avila Munichiello
Publisher : Tuttle Publishing
ISBN 13 : 9780804848992
Total Pages : 256 pages
Book Rating : 4.8/5 (489 download)

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Book Synopsis A Tea Reader by : Katrina Avila Munichiello

Download or read book A Tea Reader written by Katrina Avila Munichiello and published by Tuttle Publishing. This book was released on 2017-03-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Tea Reader contains a selection of stories that cover the spectrum of life. This anthology shares the ways that tea has changed lives through personal, intimate stories. Read of deep family moments, conquered heartbreak, and peace found in the face of loss. A Tea Reader includes stories from all types of tea people: people brought up in the tea tradition, those newly discovering it, classic writings from long-ago tea lovers and those making tea a career. Together these tales create a new image of a tea drinker. They show that tea is not simply something you drink, but it also provides quiet moments for making important decisions, a catalyst for conversation, and the energy we sometimes need to operate in our lives. The stories found in A Tea Reader cover the spectrum of life, such as the development of new friendships, beginning new careers, taking dream journeys, and essentially sharing the deep moments of life with friends and families. Whether you are a tea lover or not, here you will discover stories that speak to you and inspire you. Sit down, grab a cup, and read on.

The Effect of Demand on Stock Prices

Author : Ph.D. Biktimirov (CFA, Ernest N.)
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Effect of Demand on Stock Prices by : Ph.D. Biktimirov (CFA, Ernest N.)

Download or read book The Effect of Demand on Stock Prices written by Ph.D. Biktimirov (CFA, Ernest N.) and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine the effect of demand on stock prices by analyzing the conversion of the TIPs 35 and TIPs 100 exchange-traded funds into the i60 Fund. This conversion occurred at the Toronto Stock Exchange on March 6, 2000. Forty stocks of the TIPs 100 Fund that were not members of the new units of the i60 Fund were sold to complete this conversion. I find that a decrease in demand produced a permanent stock price decline, which was accompanied by significant abnormal trading volume. The results provide support for the downward-sloping demand curve hypothesis.

The Effect of Demand on Stock Prices

Author : Ph.D. Biktimirov (CFA, Ernest N.)
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Effect of Demand on Stock Prices by : Ph.D. Biktimirov (CFA, Ernest N.)

Download or read book The Effect of Demand on Stock Prices written by Ph.D. Biktimirov (CFA, Ernest N.) and published by . This book was released on 2009 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine the effect of demand on stock prices by analyzing the transition of the Samp;P 500 index from market capitalization to free float weighting, which occurred in 2005. I find that a decrease in demand produced a permanent stock price decline, which was accompanied by significant abnormal trading volume. The results provide support for the downward-sloping demand curve hypothesis.

Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - the Kfx Index

Author : Ken L. Bechmann
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - the Kfx Index by : Ken L. Bechmann

Download or read book Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - the Kfx Index written by Ken L. Bechmann and published by . This book was released on 2004 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the effects of changes in the composition of the KFX Index, the Danish blue-chip index, for the period of 1989-2001. Consistent with the selection criterion used for the index, there is no evidence for a stock price effect at the announcement of a change in the index. However, deleted stocks experience an abnormal return, averaging -16% in a six-month period before the deletion, as well as a decrease in trading volume and in the efficiency of stock prices following the deletion. For added stocks, the average abnormal return is 5% and there is no significant change in trading volume or efficiency. These long-run effects are best explained by the imperfect substitutes hypothesis or the information costs/liquidity hypothesis, suggesting that stocks in the KFX Index are exposed to a higher demand or more attention and a lower cost of trading than stocks outside the index. However, the results do not rule out the possibility that part of the stock price effect is due to the selection criterion used for the KFX Index. All in all, this paper documents that the selection criterion for and the size of an index as well as the size of the related stock market are relevant when explaining the stock market effects of index revisions.

The Effect of Net Institutional Trading Imbalances on Stock Prices

Author : William J. Atkinson
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.A/5 ( download)

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Book Synopsis The Effect of Net Institutional Trading Imbalances on Stock Prices by : William J. Atkinson

Download or read book The Effect of Net Institutional Trading Imbalances on Stock Prices written by William J. Atkinson and published by . This book was released on 1981 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Price and Volume Effects of Changes in MSCI Indices - Nature and Causes

Author : Wei Huang
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Price and Volume Effects of Changes in MSCI Indices - Nature and Causes by : Wei Huang

Download or read book Price and Volume Effects of Changes in MSCI Indices - Nature and Causes written by Wei Huang and published by . This book was released on 2015 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using changes in the MSCI Standard Country Indices for 29 countries between 1998 and 2001, we document that stock returns and volumes exhibit quot;index effectsquot; in international markets similar to those detected by the studies of US stocks. The stocks added to the indices experience a sharp rise in prices after the announcement and a further rise during the period preceding the actual change, though part of the gain is lost after the actual change date. The stocks that are deleted from the indices, on the other hand, witness a steady and marked decline in their prices. Trading volumes increase significantly and remain at high levels after the change date for the added stocks. There are also considerable cross-country variations in these effects. Tests using data on various measures reflecting the different hypotheses fail to turn up any evidence in support of information effects. Our evidence appears to be more supportive of the downward sloping demand curve hypothesis. There is some evidence of price-pressure and mild evidence of liquidity effect, particularly in Japan and UK.

Effects of Changes in Stock Index Compositions

Author : Pyemo Afego
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Effects of Changes in Stock Index Compositions by : Pyemo Afego

Download or read book Effects of Changes in Stock Index Compositions written by Pyemo Afego and published by . This book was released on 2017 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The practice of periodically reconstituting equity indices suggests that changes to the composition of an index can impact the performance of firms whose stocks are added to or dropped from the index. This paper reviews and provides a comprehensive assessment of the academic literature on how changes in the composition of a stock index impacts prices, trading volume and other firm attributes. The review focuses on post-2000 contributions. It highlights and critically discusses major areas of controversy, disagreement and debate in both the empirical and methodological literature, and puts forth a promising agenda for future research. This is the first comprehensive survey of studies on the index effect and it should be particularly useful to portfolio managers and investors.

The Secret Science of Price and Volume

Author : Tim Ord
Publisher : John Wiley & Sons
ISBN 13 : 1118428943
Total Pages : 212 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis The Secret Science of Price and Volume by : Tim Ord

Download or read book The Secret Science of Price and Volume written by Tim Ord and published by John Wiley & Sons. This book was released on 2012-06-26 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Secret Science of Price and Volume, leading market timer Tim Ord outlines a top-down approach to trading—identifying the trend, picking the strongest sectors, and focusing on the best stocks within those sectors—that will allow you to excel in a variety of markets. With this book as your guide, you’ll quickly become familiar with Ord’s proven method and discover how it can be used to make more profitable trading decisions.

Granville’s New Key to Stock Market Profits

Author : Joseph E. Granville
Publisher : Pickle Partners Publishing
ISBN 13 : 1789126037
Total Pages : 531 pages
Book Rating : 4.7/5 (891 download)

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Book Synopsis Granville’s New Key to Stock Market Profits by : Joseph E. Granville

Download or read book Granville’s New Key to Stock Market Profits written by Joseph E. Granville and published by Pickle Partners Publishing. This book was released on 2018-12-05 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this remarkable stock market study, one of Wall Street’s best known market analysts reveals a new technical tool he developed for gauging the pulse of the trading cycle. Called the On Balance Volume Theory, this tool tends to fill in some of the conspicuous voids in the famous Dow Theory—especially the lack of discussion and use of stock volume figures. As straightforward as a set of bridge rules, on-balance volume (OBV) denotes each buy and sell signal so that a trader can follow them without his own emotions tending to lead him astray—emotions causing most of the market misjudgements that take place. The Granville OBV method is essentially scientific, has a high degree of accuracy and has many automatic features. The reader of this book will be introduced to a method whereby he may benefit by the earlier movements of volume over price—the “early warning” radar of volume buy and sell signals.

Stock Price Effects Associated with Index Replacements in Germany

Author : Claus Deininger
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Stock Price Effects Associated with Index Replacements in Germany by : Claus Deininger

Download or read book Stock Price Effects Associated with Index Replacements in Germany written by Claus Deininger and published by . This book was released on 2001 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The presented paper addresses the question whether there is a stock price reaction to index replacements on the German stock market. Although it is well known from the empirical literature, which is predominantly related to the US stock market, that an index replacement has a strong impact on stock prices, it is still an open question, whether this stock price adjustment is only transitory or persistent.In order to shed new light on this issue, this paper analysed inclusions into and deletions from the two most important German stock indexes, namely the blue-chip index DAX and the mid-cap index MDAX. Unfortunately, also our evidence seems to be rather mixed with respect to the above mentioned hypotheses. We found a strong abnormal price impact on the day of the announcement of the index replacement. Stocks included in the index rose by 1.72 percent on the announcement date, while stocks deleted form the index fall by 1.19 percent on that day and by a further significant 8.76 percent up to the replacement day. Both reactions were statistically significant and they seem to be persistent, as we found no indication for a reversion in the stock price movement during the following weeks. This evidence does not fit into the price pressure hypothesis. The same is true for our finding that although absolute price reactions on the announcement date are very similar for both type of index replacements abnormal trading volume reactions are larger and more significant for index inclusions. We also found some evidence against the liquidity hypothesis. Especially, an index replacement seems not to have an impact on stock price volatility and price reactions on the announcement date are not correlated with long run volume reactions. Therefore, our evidence may support the imperfect substitute hypothesis, although we found a weakly significant correlation of price and volume reactions on the announcement date only for inclusions. Of course, the economically interesting question remains why investors and fund managers are willing to pay a premium for stocks included in an index.

The Arms Index (Trin Index)

Author : Richard W. Arms Jr
Publisher : Marketplace Books
ISBN 13 : 9781592801978
Total Pages : 112 pages
Book Rating : 4.8/5 (19 download)

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Book Synopsis The Arms Index (Trin Index) by : Richard W. Arms Jr

Download or read book The Arms Index (Trin Index) written by Richard W. Arms Jr and published by Marketplace Books. This book was released on 1989-12-01 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1967, Richard Arms introduced the Short-Term Trading Index in Barron's. The index has been most commonly referred to as "TRIN"; however, today the index appears as "ARMS" on mostquotation systems.The Arms index has changed the way technical analysts perceive the market. In discovering that stock price changes are a function of volume, Arms has made a significant impact on investors' attitudes toward the stock market.In addition to describing the relationships between price and volume, The Arms Index (TRIN) gives a large number of applications the index-and offers specific analytic methods forthe day trader as well as the long-term investor. While the Arms Index was originally applied to New York Stock Exchange data, Arms includes, for the first time: * Arms indices for the over-the-counter market* Arms indices for the American Stock Exchange* the Giant Arms-a combined index for OTC and AMEX* the Bond Arms Index so you can ultimately forecast interest rates.With more than 25 years of experience in the investment business, Richard W. Arms, Jr., is currently vice president and technical analyst with Eppler, Guerin & Turner, Inc. He is the inventor of the Arms Index (also known as the Short Term Trading Index or TRIN) which is an integral part of Wall Street Week "Elves Index" and is carried on the Financial News Network (FNN) tape as "ARMS."Mr. Arms has also invented Equivolume Charting-the first new method of charting since point and figure was introduced in the 1930s-and a number of proprietary market indicators. He is thepublisher of "Volumetrics," an advisory service, and the author of two other books, including Volume Cycles in the Stock Market (Dow Jones-Irwin). His articles have appeared in many national publications, including Barron's and Pension and Investing Age. He appears often on FNN and has been a guest on Wall Street Week with Louis Rukeyser.

ICoSMI 2020

Author : Eko Ruddy Cahyadi
Publisher : European Alliance for Innovation
ISBN 13 : 1631902997
Total Pages : 1335 pages
Book Rating : 4.6/5 (319 download)

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Book Synopsis ICoSMI 2020 by : Eko Ruddy Cahyadi

Download or read book ICoSMI 2020 written by Eko Ruddy Cahyadi and published by European Alliance for Innovation. This book was released on with total page 1335 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the proceeding of the International Conference on Sustainable Management and Innovation (ICoSMI 2020) that was successfully held on 14-16 September 2020 using an online platform. The conference was mainly organized by the Department of Management IPB University in collaboration with Leibniz University of Hannover, Universiti Putera Malaysia, Kasetsart University, Tun Hussein Onn University of Malaysia, Tamil Nadu Teachers Education University, Deakin University, University of Adelaide, Forum Manajemen Indonesia, FE Pakuan University, FE Gajah Mada University FEB University of North Sumatra and FEB Andalas University, SBM Bandung Institute of Technology, FEB Lampung University, Perbanas Institute Jakarta, FE Bina Nusantara University, and SBE Prasetiya Mulya University. This conference has brought academic researchers, business practitioners as well as graduate students together to exchange their experiences and research results about most aspects of innovation and sustainability, and discuss the practical challenges encountered and the solutions adopted. About 402 delegates across the world including Indonesia, Malaysia, Thailand, Spain, China, and India have attended and presented their research works in the conference. The proceeding consists of 80 high-quality papers that were selected from more than 250 submitted papers. The papers are classified into 12 themes, namely Finance for Sustainability, Industry 4.0 and Future Business Sustainability, Policy and Strategy for Sustainable Innovation and Supply Chain, Smart Agriculture Management for Environmental Sustainability, and Sustainable Human Resources. Finally, we would like to express the greatest thanks to all colleagues in the steering and organizing committee for their cooperation in administering and arranging the conference as well as reviewers for their academic works and commitment to reviewing papers.

How Markets Really Work

Author : Larry Connors
Publisher : John Wiley & Sons
ISBN 13 : 1118239458
Total Pages : 198 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis How Markets Really Work by : Larry Connors

Download or read book How Markets Really Work written by Larry Connors and published by John Wiley & Sons. This book was released on 2012-02-06 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: For years, traders and investors have been using unproven assumptions about popular patterns such as breakouts, momentum, new highs, new lows, market breadth, put/call ratios and more without knowing if there is a statistical edge. Common wisdom holds that the stock markets are ever changing. But, as it turns out, common wisdom can be wrong. Offering a comprehensive look back at the way the markets have acted over the last two decades, How Markets Really Work: A Quantitative Guide to Stock Market Behavior, Second Edition shows that nothing has changed, that the markets behave the same way today as they have in years past, and that understanding this puts you in a prime position to profit. Written by two top financial experts and filled with charts and graphs that illustrate the market concepts they develop, the book takes a sometimes contrarian view of everything from market edges to historical volatility, and from volume to put/call ratio, giving you all that you need to truly understand how the markets function. Fully revised and updated, How Markets Really Work, Second Edition takes a level-headed, data-driven look at the markets to show how they function and how you can apply that information intelligently when making investment decisions.