STUDIU DE CAZ PRIVIND IMPACTUL ANUNȚURILOR PRIVIND MODIFICAREA COMPONENȚEI INDICELUI BET ASUPRA RENTABILITĂȚII ACȚIUNILOR
CASE STUDY ON THE IMPACT OF ANNOUNCEMENTS OF CHANGES IN THE COMPOSITION OF THE BET INDEX ON STOCK RETURNS
Author(s): Marina StîngaciSubject(s): Business Economy / Management, Present Times (2010 - today), Financial Markets
Published by: Fundatia Institutul de Studii Financiare
Keywords: event study; stocks return; index reconstruction; BET; abnormal returns;
Summary/Abstract: This research paper analyzes the impact of the announcements of changes in the composition of the BET index on the return of the stocks added during the period 2017-2022. Through an event study I computed the abnormal returns for the stocks added to the BET index. Results show that these stocks experience a price increase on the date of announcing the inclusion in the index. However, the observed effects are temporary and the stock prices return to the previous level in a few trading days, thus supporting the price pressure hypothesis.
Journal: ISF - Working papers
- Issue Year: 3/2023
- Issue No: 3
- Page Range: 1-11
- Page Count: 11
- Language: Romanian
