Stock price response to S&amp;P 500 index inclusions: Do options listings and options trading volume matter?

Chen, Yangyang; Koutsantony, Constantine; Truong, Cameron; Veeraraghavan, Madhu

doi:10.1016/j.intfin.2012.09.008

Cited by 4 publications

(5 citation statements)

References 52 publications

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“…Hasil uji hipotesis membuktikan bahwa terdapat reaksi pasar yang positif dan signifikan dalam hari kesatu setelah peristiwa [T+1] terhadap abnormal return saham perusahaan yang mengalami penambahan (ADD) pada rebalancing indeks MSCI. Temuan ini sesuai dengan hasil penelitian (Widyawati & Wibowo, 2021;Chen et al, 2016;Shu et al, 2004;Hung & Shiu, 2009;Wilkens & Wimschulte, 2005;Chen et al, 2019;Chen et al, 2013;Kassim et al, 2017) yang ditemukan abnormal return saham yang positif signifikan. Hasil temuan tersebut membuktikan bahwa pasar bereaksi terhadap pengumuman rebalancing indeks MSCI.…”

Section: Pembahasanunclassified

“…Sedangkan, untuk saham perusahaan yang mengalami penghapusan pada saat peristiwa rebalancing indeks MSCI uji hipotesis membuktikan bahwa terdapat reaksi pasar yang negatif dan signifikan pada abnormal return dalam hari kesatu sebelum peristiwa dan hari kelima setelah peristiwa [T-1, T+5] dan hari kesatu setelah peristiwa sampai hari ketiga setelah peristiwa [T+1, T+2, T+3]. Temuan ini sesuai dengan hasil penelitian (Widyawati & Wibowo, 2021;Chen et al, 2016;Shu et al, 2004;Hung & Shiu, 2009;Wilkens & Wimschulte, 2005;Chen et al, 2019;Chen et al, 2013;Kassim et al, 2017). Hasil temuan tersebut membuktikan bahwa pasar bereaksi terhadap pengumuman rebalancing indeks MSCI.…”

Section: Pembahasanunclassified

“…Hal ini membuktikan bahwa pasar memberikan reaksi yang postif tehadap 60 pengumuman rebalancing indeks MSCI. Hasil penelitian ini sejalan dengan penelitian yang dilakukan oleh (Chakrabarti, 2022;Harijono, 2003;Chen et al, 2013;Widyawati & Wibowo, 2021) Uji dilakukan dengan metode one sample t-test dan one sample wilxocon signed rank test. Hasil uji menunjukan bahwa terdapat abnormal return yang positif dan signifikan di hari kesatu setelah pengumuman pada saham yang mengalami penambahan pada indeks MSCI.…”

Section: Pembahasanunclassified

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Reaksi Pasar pada Peristiwa Rebalancing Indeks Msci di Negara Asean-5

Widyatmoko,

Setiawan

2023

JKA

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Rebalancing the MSCI index is essential information in order to make investment recommendations. This event caused a market reaction that affected the stock price. The research aims to analyze the influence of the MSCI index rebalancing on abnormal returns and trading volume activity of shares in ASEAN-5 countries in 2017ASEAN-5 countries in -2021 From the test conducted, there was an effective in abnormal returns after the announcement of the index rebalancing on stocks that were indexed. Trading volume activity also showed an increasement in volume of trading in stocks which indexed to the rebalancing. Meanwhile, for the shares of companies that experienced write-offs in the rebalancing index, there was a decline. Furthermore, for the trading volume activity of stocks that experienced additions or deletions in the rebalancing index, it was found an increase in the trading volume of their shares. The results of the hypothesis test show that there is a significant positive abnormal return and significant trading volume activity in stocks that have added to the index. Meanwhile, stocks that have been deleted have the results of hypothesis testing which show that there is a significant negative abnormal return and a significant trading volume activity.

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Section: Pembahasanunclassified

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Reaksi Pasar pada Peristiwa Rebalancing Indeks Msci di Negara Asean-5

Widyatmoko,

Setiawan

2023

JKA

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“…13 For a look at asymmetry of index inclusion and exclusion effects, see Chen et al (2004). For the examination of option trading impact on abnormal return associated with index inclusion, see Chen et al (2013) 14 For discussion on information content of index inclusions, see Denis et al (2003) returns respectively. More recently, Petajisto (2009) introduces financial intermediaries in the demand model to explain the empirically observed index inclusion effects.…”

Section: Related Literaturementioning

confidence: 99%

Fund Flows and Underlying Returns: The Case of ETFs

Staer

2011

SSRN Journal

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“…Several similar studies have been conducted by Wilkens and Wimschulte [1]; Bechmann [2]; Shankar and Miller [3]; and Hung and Shiu [4] which gave similar results, that there were significant changes to the stock price when the stock included or excluded into the reference of index. On the other hand, Chen, Koutsantony [5] showed that there was an impaction to the stock price when inclusion and exclusion stocks of the reference index was not giving any significant affect. While Chen, Shiu [6] found a result that the impaction of stock price when it obtained inclusion or exclusion of the reference index, however, the effect was temporary.…”

Section: Introductionmentioning

confidence: 99%

The Effect of Inclusion and Exclusion Indexes Towards LQ45 and MSCI Index on the Pattern of Stock Return and Stock Trading Volume

Widyawati¹,

Wibowo²

2021

Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bo

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This study examines the effect of changes in composition of the index on stock return and trading volumes at IDX used event study methodology. It is used to find out the market's response to inclusion or exclusion stocks of the LQ45 and MSCI indexes. The final sample consisted of 24 inclusion stocks and 22 exclusion stocks in the LQ45 index; 17 inclusion stocks and 10 exclusion stocks in the MSCI index. The result showed a significant increase (decrease) in return when a stock added to (deleted form) the LQ45 and MSCI indexes. It also obtained a significant result in trading volume from inclusion and exclusion stocks in the MSCI index, yet inclusion stocks in the LQ45 index was not. This shows that the Indonesian capital market is not fully efficient market. This research supports the sustainability of investors' investment because it can be used as recommendations of making investment decisions.

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Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?

Cited by 4 publications

References 52 publications

Reaksi Pasar pada Peristiwa Rebalancing Indeks Msci di Negara Asean-5

Reaksi Pasar pada Peristiwa Rebalancing Indeks Msci di Negara Asean-5

Fund Flows and Underlying Returns: The Case of ETFs

The Effect of Inclusion and Exclusion Indexes Towards LQ45 and MSCI Index on the Pattern of Stock Return and Stock Trading Volume

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