Inclusion of stocks in the index
Journal Title: Acta Economica - Year 2013, Vol 11, Issue 18
Abstract
Index inclusion is one of a technical anomaly in the focus of behavioral finance which cannot be explained from the viewpoint of traditional finance. Starting from globalization of world financial markets and the fact that Croatian capital market is well integrated within developed European capital markets we are investigate existence of significant changes in prices of stock after theirs inclusion in index Crobex . As result of performing researches we find significant change in stock price caused by theirs including in stock market index without significant change in theirs trading volumes in situation where are no index funds specialized for investing in Crobex and where inclusion is transparent and autonomous from discreet decisions.
Authors and Affiliations
Натко Благојевић, Силвије Орсаг
Keywords
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- EP ID EP43755
- DOI https://doi.org/10.7251/ACE1318051B
- Views 297
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