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Stock price reactions to the announcement of changes in the Hang Seng Index constituents
Author(s)
Date Issued
2005
Publisher
香港: 香港樹仁學院
Journal
ISBN
9628719467
Citation
Shue Yan Academic Journal, Jan 2005, no. 3, pp. 336-346.
Type
Peer Reviewed Journal Article
Abstract
The objective of this paper is to empirically investigate the abnormal price movement of the shares added to or deleted from the Hang Seng Index before and after the announcement day. The results show that the market reacts significantly to addition and deletion on the first trading day just after the announcement. It indicates a high degree of informational efficiency with respect to the announcement of changes in the Hang Seng Index constituents.
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