Examining the Correlations of the NASDAQ 100 Index Listing Changes

Examining the Correlations of the NASDAQ 100 Index Listing Changes

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This researcher sought to examine the correlations of NASDAQ 100 index listing changes. This study required 113 samples of changed stocks in the NASDAQ 100 index during 1995-2007. An assessment of the statistical correlations between changed stocks and the NASDAQ 100 index was conducted. In support of studies of different indices, such as the SaP 500 and FTSE 100, the analysis of stocks' returns and volumes around the list-changing events showed that there was short-term price pressure before the changes for both additions and deletions. In addition, in support of existing research on the SaP 500, there was evidence of permanently downward sloping demand curves according to a permanent price effect in the case of the NASDAQ 100. The trading volumes were also analyzed around list-changing events, and the results confirmed that there was speculation before announcement dates. By differentiating between companies that were new to the NASDAQ 100 and those that were previous constituents, the lack of a significant difference in returns between the two types of companies indicated increased investor awareness of companies and did not explain the observed price effects. The anticipated stocks that were nearly included in or excluded from the NASDAQ 100 were examined, and it was found that there was no abnormal return for the anticipated stocks. Not only trading during list changing of the SaP 500 or the other indices events is profitable as anticipated by traders, investors, or hedge fund managers, Trading in the case of the NASDAQ 100 also provides positively abnormal returns. Therefore, the author recommends all traders that they can trade based on NASDAQ 100 Index changes.The behavior of daily stock market volume. Journal of ... Market microstructure and security values: Evidence from the Tel Aviv Stock Exchange. Journal of Financial ... An anatomy of the Saamp;P game: The effects of changing the rules. Journal ofanbsp;...

Title:Examining the Correlations of the NASDAQ 100 Index Listing Changes
Publisher:ProQuest - 2009


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