Study on efficiency for changing S&P 500 index component stocks
| Autor: | Yung-Chih Chou, 周用智 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 The paper mainly studies the efficiency on market by the sampling the addition and deletion of S&P 500 index components arrounding pre-/post-announcement day. We use the runs test and the first-order autocorrelation test to check the randomness and predictable of returns series. Furthermore, our samples divided into two subsamples base on trading centralized and OTC markets. We also use the market model and the Fama-French three-factor model to estimate the cumulative abnormal returns and to confirm the semi-strong form efficient market. Empirical results find that return series become more random for stocks added in entire market and concentrated market, but OTC market is not significant changes. And, deletions are not significant changes. We also find that return series become less predictable for stocks added and deleted in entire market, concentrated market and OTC market. Finally, we find that abnormal returns are positive for stocks added and negative for stocks deleted. In comparison with market model and the Fama-French three-factor model, the Fama-French three-factor model can be ruled out a vision, so addictions (deletions) of stocks have more (less) positive (negative) cumulative abnormal returns. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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