Naslov
Effects of changes in Stock Market Index composition on stock returns: event study methodology on Zagreb Stock Exchange

Autori
Škrinjarić, Tihana

Izvornik
Croatian Review of Economic, Business and Social Statistics (CREBSS) (1849-8531) 5 (2019), 1; 43-54

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
abnormal returns ; Croatian stock market ; event study ; index composition change

Sažetak
This paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market index, those entering it, and constantly included stocks. The research included 14 regular and extraordinary revisions of the market index in the period January 2nd, 2015 until March 21st, 2018. The results have confirmed two research hypotheses: stock exclusions from the market index have a negative effect on stock returns on ZSE, which is consistent with the price pressure hypothesis ; and there exist asymmetric effects of index composition changes on stock returns. This is the first study of this kind on Croatian stock market, thus more questions are needed to be answered in future research.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA