Browsing by Author Mohd Jaapar, Asmah

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  • Authors: Mohd Jaapar, Asmah (2018)

  • The changes in equity index composition have a dual impact, first, to the constituent stocks that make up the index and second, to the index funds that track the index. This study investigates the index effect at constituent stocks level and index funds level using Shari'ah blue-chip indices and their corresponding i-ETFs. The findings of this study provide a new evidence on price discovery contrary to index effect reported in conventional index studies. Specifically, the study discovers the index effect in an opposite direction, i.e., additions suffered negative abnormal returns while deletions gained positive abnormal returns around index revision period. Available in physical copy ...

Browsing by Author Mohd Jaapar, Asmah

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 1 of 1
  • item.jpg
  • PhD


  • Authors: Mohd Jaapar, Asmah (2018)

  • The changes in equity index composition have a dual impact, first, to the constituent stocks that make up the index and second, to the index funds that track the index. This study investigates the index effect at constituent stocks level and index funds level using Shari'ah blue-chip indices and their corresponding i-ETFs. The findings of this study provide a new evidence on price discovery contrary to index effect reported in conventional index studies. Specifically, the study discovers the index effect in an opposite direction, i.e., additions suffered negative abnormal returns while deletions gained positive abnormal returns around index revision period. Available in physical copy ...