Journal of Empirical Finance 37 (2016) 79–90

富時100指數修訂的預期效應

作者：Marcelo Fernandes (Sao Paulo School of Economics), Jo?o Mergulh?o (Queen Mary University of London)

摘要：本文檢驗由于富時100指數的預期變化帶來的交易對價格的影響。富時100指數采用公知的标準來确定成分股，因此為檢驗預期效應提供了基礎。通過使用面闆回歸事件研究法，我們計算了指數成分股構成的事前概率變化帶來的交易對價格的影響，從而檢驗了預期效應。我們的研究結論顯示，預期帶來的交易解釋了40%累積異常收益率的增加和23%累積異常收益率的減少，且結果在統計學和經濟學上都顯著。

關鍵詞：不完全替代，指數修正，流動性，價格壓力

Anticipatory effects in the FTSE 100 index revisions

Marcelo Fernandes (Sao Paulo School of Economics), Jo?o Mergulh?o (Queen Mary University of London)

ABSTRACT

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression event study that backs out these anticipatory effects by looking at the price impact of the ex-ante probability of changing index membership status. Our findings reveal that anticipative trading explains about 40% and 23% of the cumulative abnormal returns of additions and deletions, respectively. The results are both statistically and economically significant.

Keywords: Imperfect substitutes; Index revision; Liquidity; Price pressure

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539816300238

翻譯：羅丹