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Price and volume effects of changes in MSCI indices – nature and causes · Study

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ArticlePrice and volume effects of changes in MSCI indices – nature and causes

Rajesh Chakrabarti2004

Article2004

Price and volume effects of changes in MSCI indices – nature and causes

Rajesh Chakrabarti · Wei Huang · Narayanan Jayaraman B · Jin‐Soo Lee

113 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

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References

1986Asset pricing and the bid-ask spread 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1997Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan 1986Do Demand Curves for Stocks Slope Down?1999A New Estimate of Transaction Costs 1997International Portfolio Investment Flows 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures 2002Does Arbitrage Flatten Demand Curves for Stocks?

Cited by

2020The Shift from Active to Passive Investing: Risks to Financial Stability?2018Demand Shock, Speculative Beta, and Asset Prices: Evidence from the Shanghai-Hong Kong Stock Connect Program 2024Capital market internationalization and firms' ESG performance: Evidence from the inclusion of China A-shares in the MSCI Emerging Market Index 2017Effects of changes in stock index compositions: A literature survey 2018The Shift From Active to Passive Investing: Potential Risks to Financial Stability?

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Year2004

Typearticle

Published2004-08-24

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations113

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2004.04.002

openalex_workW1993749541

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