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Does inclusion in an index positively affect stock prices?: A study on inclusions and exclusions from the Swedish OMXS30 index
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2013 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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
2013.
Keyword [en]
Index inclusion, index exclusion, index addition index deletion, OMXS30, Price pressure, Stock prices
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-203589OAI: oai:DiVA.org:uu-203589DiVA: diva2:636983
Supervisors
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Available from: 2013-07-15 Created: 2013-07-15 Last updated: 2013-07-15Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Output format
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