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PRICE ANDVOLUME EFFECTS ASSOCIATED WITH CHANGES IN THE LQ 45 INDEX AND THE MSCI EQUITY INDEX LISTS

Gadjah Mada International Journal of Business

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Title PRICE ANDVOLUME EFFECTS ASSOCIATED WITH CHANGES IN THE LQ 45 INDEX AND THE MSCI EQUITY INDEX LISTS
 
Creator Harijono, A.
 
Subject event study; index changes; Jakarta Stock Exchange(JSX); the LQ45 Index; the MSCI equity index
 
Description This paper examines price and trading volume behavior surrounding announcements of changes in the composition 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 LQ45 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 LQ45 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, rebalanced their portfolio when the changes in the MSCI Equity Index occurred because their performances are generally benchmarks to the return on the Index.
 
Publisher Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada
 
Date 2003-09-12
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://journal.ugm.ac.id/gamaijb/article/view/5631
 
Source Gadjah Mada International Journal of Business; Vol 5, No 3 (2003): September-December; 401-420
2338-7238
1411-1128
 
Language eng
 
Relation http://journal.ugm.ac.id/gamaijb/article/view/5631/4604