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The influence of listing and delisting of shares from the Dow Jones index lists on the dynamics of their quotes
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33 Экономика. Народное хозяйство. Экономические науки
Date of publication
13.12.2018
Public year
2018
The influence of listing and delisting of shares from the Dow Jones index lists on the dynamics of their quotes
Annotation
The article analyzes the reaction of the stock market to the inclusion of shares in the list of stock indices and exclusion from them. A review of the literature on these issues revealed significant differences in the conclusions of various authors on the degree of influence of these events on the trading characteristics of shares. Special calculations carried out in this regard showed that one of the reasons for such differences is the incorrectness of methods for assessing the impact of listing and delisting on stock prices. This article proposes another principle of assessing the impact of these events on the shares quotes included in the index and excluded from it - the principle of "separability of trends" - and the corresponding criterion for assessing the significance of the differences. The application of this principle allowed us to show that there is a definite pattern in the impact of listing and delisting on the nature of trading in the relevant shares, which corresponds to the generally accepted hypotheses about the dynamics of stock quotes at such events. All calculations are based on data on changes in stock prices from the lists of the Dow Jones index.
About authors
Petr Andrukovich
Senior researcher
CEMI RAS
References

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