Price and Volume Effects Associated With Changes in The LQ45 Index and The MSCI Equity Index Lists  

Oleh:

Harijono, A.

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: International Journal of Business vol. 5 no. 3 (Sep. 2003), page 401-420.
Topik: STOCK EXCHANGES; event study; index changes; jakarta stock exchange (JSX); the LQ 45 index; the MSCI equity index

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II51.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines price and trading volume behaviour surrounding announcements of changes in the compositition of the liquidity (LQ) 45 and the morgan stanley capital international (MSCI) equity index at the jakarta stock exchange. Unlike listing studies in the developed markets, the announcements of the LQ 45 index changes have no impact on share price and trading volume. This may be due to the small role of indonesian domestic institutional investors and purely rule - based characteristics of the LQ 45 index. On the contrary, the markets do respond to the changes in indonesian stocks composition of the MSCI equity index. It seems that global portfolio managers, who dominate trading at the jakarta stock exchange, reable their portfolio when the changes in the MSCI equity index occurred because their performances are generally benchmarks to the return on the index.

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