Stock price reactions to the announcement of changes in the Hang Seng Index constituents

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.