Earticle

초록

영어

This paper examines the effect of changes in the KOSPI 200 index. We find evidence of permanent price effects and partial return reversal for the event stocks. Trading volumes tend to significantly increase during the event period and remain relatively higher than before the event. We also find some evidence of the existence of anticipatory trading effect before the effective dates and volatility effect. The results show that the abnormal return still exists even after adopting factor models and excluding newly added stocks. The indexing methodology of KOSPI 200 conveys the valuable information that the added stocks showed good performance and better earnings relative to the market average and the deleted stocks showed vice versa. In conclusion, member changes in the KOSPI 200 index are not information-free events.

목차

Abstract
 1. Introduction
 2. Prior studies of the index change effect
 3. Data and methodology
  3.1. KOSPI 200 index
  3.2. Sample
  3.3. Event window and methodology for calculating abnormal return and volume
 4. Results
  4.1. Abnormal return
  4.2. Abnormal volume
 5. Discussions
  5.1. Permanent and temporary effects
  5.2. Abnormal return decompositions by factor models
  5.3. Volatility and beta changes
  5.4. Newly added firms
  5.5. Anticipatory trading effect
  5.6. Index Methodology Comparison and Information Content Hypothesis
 6. Conclusion
 References
 Figure
 Table

키워드

저자

• Jooyoung Yun [ Graduate School of Management, Korea Advanced Institute of Science and Technology, Seoul ] Corresponding author
• Tong S. Kim [ Graduate School of Management, Korea Advanced Institute of Science and Technology, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330