The impact of change in index constituents on the affected stock and fund performance
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.
Index effect , Shari'ah blue-chip indices , Islamic Exchange Traded Funds (i-ETFs) , Malaysia
Mohd Jaapar, A. (2018). The impact of change in index constituents on the affected stock and fund performance (Doctoral dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/3023