Does inclusion in an index positively affect stock prices?: A study on inclusions and exclusions from the Swedish OMXS30 index
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This study investigates the index OMXS30 and whether there are abnormal returns for stocks being included and excluded from the index. Several studies conducted on the S&P 500 and other indexes have shown that there is an effect around inclusion and exclusion. The eventual abnormal returns are studied on a long-term and short-term basis. Results from the study concludes that there is a permanent positive effect from index inclusion but a negative effect from exclusion cannot be seen in a long-term perspective. There is however a negative effect on the short-term basis.
Place, publisher, year, edition, pages
Index inclusion, index exclusion, index addition index deletion, OMXS30, Price pressure, Stock prices
IdentifiersURN: urn:nbn:se:uu:diva-203589OAI: oai:DiVA.org:uu-203589DiVA: diva2:636983
Ohlsson, Henry, Professor