Scandinavian Working Papers in Economics

Working Papers,
Copenhagen Business School, Department of Finance

No 2002-2: Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

Ken L. Bechmann
Additional contact information
Ken L. Bechmann: Department of Finance, Copenhagen Business School, Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark

Abstract: The Danish blue-chip index - the KFX Index - provides an interesting case for studying the effects of changes in a stock market index. This is because of the unique selection criterion used for the composition of the KFX Index. The criterion is pub- licly known and based on a combination of liquidity and market value of the stock. Consistent with the selection criterion, the stock price effects are generally small at the announcement of a change and at the later date when the change comes into effect. However, the deleted stocks experience an abnormal return averaging

Keywords: Changes in indices; composition; price and liquidity effects

JEL-codes: G11; G14

31 pages, March 10, 2002

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