Price Effects of Changes to the Composition of New Zealand Share Indices

Information efficiency changes following FTSE 100 index revisions

“…He also shows that the Kalman filter process is much more efficient than other traditional techniques, such as Moving Average Convergence Divergence (MACD), Autoregressive Moving Average (ARMA), and Logistic Binary Estimation (LOGIT). Similar evidence is reported by Brooks et al (1998), Faff et al (2000, and Dunis and Morrison (2007). Thus, we use the Kalman filter technique to estimate the unobserved true price from the observed price and decompose the contaminated price into a true price and noise.…”

“…Pruitt and Wei (1989) argue that temporary price changes following index revisions are consistent with heavy index-fund trading around the time of the change that moves stock prices away from their equilibrium values. Chung and Kryzanowski (1998), Elayan et al (2000), Rigamonti and Barontini (2000), Shankar and Miller (2006), and Pullen and Gannon (2007) also observe temporary price increases following additions to the Toronto Stock Exchange (TSE 300), the New Zealand Stock Exchange (NZE10 and NZSE40), the Italian Stock Exchange (Mib30), the S&P Small-Cap 600, and the Australian Stock Exchange (ASX200), respectively. In the context of the London Stock Exchange, Mase (2007) shows that stock prices increase gradually before the announcement of an inclusion and reverse completely in less than 2 weeks after the index revision date, whilst Mazouz and Saadouni (2007) find permanent price effects.…”

Rynek kapitałowy - szanse i bariery

“…W końcu lat 90. i na początku kolejnej dekady opublikowane zostały pierwsze badania dotyczące indeksów akcyjnych innych rynków rozwiniętych -m.in. : niemieckiego (indeks MDAX) (Steiner i Heinke, 1997), kanadyjskiego (index TSE 300) (Chung i Kryzanowski, 1998), brytyjskiego (indeksy FTSE 100 i FTSE All-Share) (Brealey, 2000), japońskiego (indeks Nikkei 500) (Liu, 2000), nowozelandzkiego (indeksy NZSE 10 i NZSE 40) (Elayan et. al., 2001) (Azevedo et.…”

The Empirical Analysis of Index Effect in Chinese Stock Market: Based on the SHSZ 300 Index

“…Brealey (2000) studies the index effect of the British's FTSE 100 index; Deininger et al (2000) make a research on the German DAX and MDAX index adjustments; Kaul & Mehrotra (2000) study on the TSE 300 index; Clause (2000) researches DAX index of German; Liu (2001) studies the effect of adjustment for the Japanese Nikkei 500 index; As for New Zealand market, Elayan, Li et al (2001) research the NZSE index. All studies show that the index effect is widespread in stock market while the degree of expression and the performance are observably different.…”