Stock Price and Volume Effects Associated with Compositional Changes in European Stock Indices
分析法国CAC40、SBF120和英国FTSE100指数成分股调入调出时的价格与成交量变化，发现支持指数基金再平衡的价格压力假说，但对其他假说证据不足。
This paper provides further evidence of price and volume effects associated with index compositional changes by analysing the inclusions (exclusions) from the French CAC40 and SBF120 indices, as well as the FTSE100. I find evidence supporting the price pressure hypothesis associated with index fund rebalancing, but weak or no evidence for the imperfect substitution, liquidity and information hypotheses. The results improve on recent evidence from the S&P500 index. The evidence for the FTSE100 additions shows, in particular, that markets learn about an imminent inclusion and incorporate this information into prices, even before the announcement date. © Blackwell Publishers Ltd, 2006.