Araştırma Makalesi
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Yıl 2023, Cilt: 18 Sayı: 69, 41 - 59, 03.02.2023

Emin Avcı Murat Çinko Mehtap Öner Aslı Aybars

https://doi.org/10.19168/jyasar.1151230

Öz

Kaynakça

  • Afego, P. N. 2017. “Effects of Changes in Stock Index Compositions: A Literature Survey”, International Review of Financial Analysis, 52: 228-239.
  • Amihud, Y., and Mendelson, H. 1986. “Asset Pricing and the Bid-ask Spread”, Journal of Financial Economics, 17(2): 233-249. Ammer, J., Holland, S. B., Smith, D. C., and Warnock, F. E. 2012. “U.S. International Equity Investment”, Journal of Accounting Research, 50(5): 1109-1139.
  • Authers, J. 2015. “Investing: The Index Factor”, Financial Times, 16: Available at: https://www.ft.com/content/40bb7c10-419f-11e5-9abe-5b335da3a90e.
  • Azevedo, A., Karim, M., Gregoriou, A., and Rhodes, M. 2014. “Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI”, Journal of International Financial Markets, Institutions and Money, 28: 20-35. Bayraktar, A. 2012. “Endeks Etkisi: İMKB Uygulaması”, Aksaray Üniversitesi İİBF Dergisi, 4(2): 89-110.
  • Bildik, R., and Gülay, G. 2008. “The Effects of Changes in Index Composition on Stock Prices and Volume: Evidence from the Istanbul Stock Exchange”, International Review of Financial Analysis, 17: 178-197.
  • Burnham, T. C., Gakidis, H. and Wurgler, J. 2018. “Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications”, Financial Analysts Journal, 74(1): 77-87.
  • Coakley, J., Kougoulis, P. and Nankervis, J. C. 2008. “The MSCI-Canada Index Rebalancing and Excess Comovement’, Applied Financial Economics, 18(16): 1277-1287.
  • Chakrabarti, R. 2002. “Market Reaction to Addition of Indian Stocks to the MSCI Index”, Money and Finance, 2(11): 1-24.
  • Chakrabarti, R., Huang, W., Jayaraman, N., and Lee, J. 2005. “Price and Volume Effects of Changes in MSCI Indices - Nature and Causes”, Journal of Banking & Finance, 29(5): 1237-1264.
  • Chen, H., Noronha, G., and Singal, V. 2004. “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation”, The Journal of Finance, 59(4): 1901-1930.
  • Chen, H. L., Shiu, C. Y. and Wei, H. S. 2019. “Price Effect and Investor Awareness: Evidence from MSCI Standard Index Reconstitutions”, Journal of Empirical Finance, 50: 93-112.
  • Corrado, C. J. 1989. “A Nonparametric Test for Abnormal Security-price Performance in Event Studies”, Journal of Financial Economics, 23(2): 385-396.
  • Ellialtıoğlu, N., Gürgül, M. and Çakmak, A. 2019. “MSCI Türkiye Endeksine Dâhil Edilen veya Bu Endeksten Çıkarılan Türk Hisse Senetlerinin Borsa İstanbul’daki Getiri Değişimi Üzerindeki Etkisinin İncelenmesi”, 23. International Finance Symposium, Marmara University, Antalya, 326-342.
  • Epöz Aydıner, H. and Altay, E. 2020. “Endeks etkisi: Getiri Oranlarının Endeks Değişimlerine Olan Reaksiyonunun Borsa İstanbul’da Analizi”, Ankara Üniversitesi SBF Dergisi, 75(4): 1347-1382.
  • Ferreira, M. A. and Matos, P. 2008. “The Colors of Investors’ Money: The Role of Institutional Investors Around the World”, Journal of Financial Economics, 88(3): 499-533.
  • Goetzmann, W. N., and Garry, M. 1986. “Does Delisting from the S&P 500 Affect Stock Price?”, Financial Analysts Journal, 42(2): 64-69.
  • Hacibedel, B. and Van Bommel, J. 2007. “Do Emerging Market Stocks Benefit from Index Inclusion?”, in Money Macro and Finance (MMF) Research Group Conference 2006. Dhillon and Johnson, 1-64.
  • Hanaeda, H., and Serita, T. 2003. “Price and Volume Effects Associated with a Change in the Nikkei 225 Index List: New Evidence From The Big Change On April 2000”, International Finance Review, 4: 199-225.
  • Harris, L., and Gurel, E. 1986. “Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures”, The Journal of Finance, 41(4): 815-829.
  • Hau, H., Massa, M. and Peress, J. 2010. “Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change”, Review of Financial Studies, 23(4): 1681-1717.
  • Hung, C. W. and Shiu, C. Y. 2016. “Trader Activities, Ownership, and Stock Price Reactions to MSCI Standard Index Changes: Evidence from Taiwan”, Journal of Multinational Financial Management. Elsevier, 36: 49-63.
  • Jain, P. 1987. “The Effect on Stock Price of Inclusion or Exclusion from the S&P 500”, Financial Analysts Journal, 43: 58-65.
  • Küçüksille, E. 2019. “MSCI Değişim Duyurularının Hisse Senedi Getirilerine Etkisi”, Muhasebe ve Finans İncelemeleri Dergisi, 2: 155-166.
  • Lynch, W., and Mendenhall, R. R. 1997: “New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index”, The Journal of Business, 70(3): 351-383.
  • Liu, S. 2000: “Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks”, International Review of Finance, 1(4): 245-267.
  • Masse, I., Hanrahan, R., Kushner, J., and Martinello, F. 2000. “The Effect of Additions to or Deletions from the TSE 300 Index on Canadian Share Prices”, Canadian Journal of Economics, 33(2): 341-359.
  • Miller, C. and Ward, M. 2015. “The Market Impact on Shares Entering or Leaving JSE Indices”, Investment Analysts Journal, 44(1): 84-101.
  • MSCI (2014) MSCI Global Investable Market Indexes Methodology Summary, https://www.msci.com/eqb/methodology/meth_docs/MSCI_May14_GIMIMethod_Summary.pdf
  • Patell, J. M. 1976. “Corporate Forecasts of Earnings per Share and Stock Price Behavior: Empirical tests”, Journal of Accounting Research, 14(2): 246-274.
  • Scholes, M. S. 1972. “The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices”, The Journal of Business, 45(2): 179-211.
  • Shiu, C.Y. and Wu, J. Y. 2009. “Foreign Ownership and Local Market Reaction to Changes of the Constituents in the International Stock Index: Evidence from Additions to and Deletions from MSCI Taiwan Index”, 22nd Australasian Finance and Banking Conference, August 28 2009. Available at http://dx.doi.org/10.2139/ssrn.1463337
  • Shleifer, A. 1986. “Do Demand Curves for Stocks Slope Down?”, The Journal of Finance, 41(3): 579-590.
  • Shu, P.-G., Yeh, Y.-H. and Huang, Y.-C. 2004. “Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese firms added to and deleted from the indices”, Review of Pacific Basin Financial Markets and Policies, 7(4): 471-491.
  • Škrinjarić, T. 2019. “Effects of Changes in Stock Market Index Composition on Stock Returns: Event Study Methodology on Zagreb Stock Exchange”, Croatian Review of Economic, Business and Social Statistics (CREBSS), 5(1): 43-54.
  • Yılmaz, M. K., Aksoy, M., and Tatoğlu, E. 2020. “Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul”, Sustainability, 12(2): 1-22.
  • Wang, C., Murgulov, Z., and Haman, J. 2015. “Impact of Changes in the CSI 300 Index Constituents”, Emerging Markets Review, 24: 13-33.
  • Woolridge, J. R., and Ghosh, C. 1986. “Institutional Trading and Security Prices: The Case of Changes in the Composition of the S&P 500 Index”, The Journal of Financial Research, 9(1):13-24.

Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey

Yıl 2023, Cilt: 18 Sayı: 69, 41 - 59, 03.02.2023

Emin Avcı Murat Çinko Mehtap Öner Aslı Aybars

https://doi.org/10.19168/jyasar.1151230

Öz

The effect of index reconstitution on stock return and volume have been one of the controversial subjects in finance. Although, there are several researches, which are analyzing the domestic stock market index effect on stocks, a few studies focused on the effects of an international index. By the use of event study methodology, this paper analyzes the price effect of changes in constituents of two MSCI indexes (Standard Index and Small Cap Index) for Turkish companies as of announcement and effective dates. Overall, there are four analyses; namely, addition to Small Cap Index with respect to announcement (effective) day, deletion from Small Cap Index with respect to announcement (effective) day, addition to Standard Index with respect to announcement day (effective), and deletion from Standard Index with respect to announcement day (effective). The findings of the study present that index effect may appear or disappear, depending on the index, on which index reconstitution is being analyzed. Moreover, existence of the index effect is also subject to event day definition, which may be either announcement date or effective date of the index event.

Anahtar Kelimeler

Index Effect MSCI Index Index Reconstitution Event Study

Kaynakça

  • Afego, P. N. 2017. “Effects of Changes in Stock Index Compositions: A Literature Survey”, International Review of Financial Analysis, 52: 228-239.
  • Amihud, Y., and Mendelson, H. 1986. “Asset Pricing and the Bid-ask Spread”, Journal of Financial Economics, 17(2): 233-249. Ammer, J., Holland, S. B., Smith, D. C., and Warnock, F. E. 2012. “U.S. International Equity Investment”, Journal of Accounting Research, 50(5): 1109-1139.
  • Authers, J. 2015. “Investing: The Index Factor”, Financial Times, 16: Available at: https://www.ft.com/content/40bb7c10-419f-11e5-9abe-5b335da3a90e.
  • Azevedo, A., Karim, M., Gregoriou, A., and Rhodes, M. 2014. “Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI”, Journal of International Financial Markets, Institutions and Money, 28: 20-35. Bayraktar, A. 2012. “Endeks Etkisi: İMKB Uygulaması”, Aksaray Üniversitesi İİBF Dergisi, 4(2): 89-110.
  • Bildik, R., and Gülay, G. 2008. “The Effects of Changes in Index Composition on Stock Prices and Volume: Evidence from the Istanbul Stock Exchange”, International Review of Financial Analysis, 17: 178-197.
  • Burnham, T. C., Gakidis, H. and Wurgler, J. 2018. “Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications”, Financial Analysts Journal, 74(1): 77-87.
  • Coakley, J., Kougoulis, P. and Nankervis, J. C. 2008. “The MSCI-Canada Index Rebalancing and Excess Comovement’, Applied Financial Economics, 18(16): 1277-1287.
  • Chakrabarti, R. 2002. “Market Reaction to Addition of Indian Stocks to the MSCI Index”, Money and Finance, 2(11): 1-24.
  • Chakrabarti, R., Huang, W., Jayaraman, N., and Lee, J. 2005. “Price and Volume Effects of Changes in MSCI Indices - Nature and Causes”, Journal of Banking & Finance, 29(5): 1237-1264.
  • Chen, H., Noronha, G., and Singal, V. 2004. “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation”, The Journal of Finance, 59(4): 1901-1930.
  • Chen, H. L., Shiu, C. Y. and Wei, H. S. 2019. “Price Effect and Investor Awareness: Evidence from MSCI Standard Index Reconstitutions”, Journal of Empirical Finance, 50: 93-112.
  • Corrado, C. J. 1989. “A Nonparametric Test for Abnormal Security-price Performance in Event Studies”, Journal of Financial Economics, 23(2): 385-396.
  • Ellialtıoğlu, N., Gürgül, M. and Çakmak, A. 2019. “MSCI Türkiye Endeksine Dâhil Edilen veya Bu Endeksten Çıkarılan Türk Hisse Senetlerinin Borsa İstanbul’daki Getiri Değişimi Üzerindeki Etkisinin İncelenmesi”, 23. International Finance Symposium, Marmara University, Antalya, 326-342.
  • Epöz Aydıner, H. and Altay, E. 2020. “Endeks etkisi: Getiri Oranlarının Endeks Değişimlerine Olan Reaksiyonunun Borsa İstanbul’da Analizi”, Ankara Üniversitesi SBF Dergisi, 75(4): 1347-1382.
  • Ferreira, M. A. and Matos, P. 2008. “The Colors of Investors’ Money: The Role of Institutional Investors Around the World”, Journal of Financial Economics, 88(3): 499-533.
  • Goetzmann, W. N., and Garry, M. 1986. “Does Delisting from the S&P 500 Affect Stock Price?”, Financial Analysts Journal, 42(2): 64-69.
  • Hacibedel, B. and Van Bommel, J. 2007. “Do Emerging Market Stocks Benefit from Index Inclusion?”, in Money Macro and Finance (MMF) Research Group Conference 2006. Dhillon and Johnson, 1-64.
  • Hanaeda, H., and Serita, T. 2003. “Price and Volume Effects Associated with a Change in the Nikkei 225 Index List: New Evidence From The Big Change On April 2000”, International Finance Review, 4: 199-225.
  • Harris, L., and Gurel, E. 1986. “Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures”, The Journal of Finance, 41(4): 815-829.
  • Hau, H., Massa, M. and Peress, J. 2010. “Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change”, Review of Financial Studies, 23(4): 1681-1717.
  • Hung, C. W. and Shiu, C. Y. 2016. “Trader Activities, Ownership, and Stock Price Reactions to MSCI Standard Index Changes: Evidence from Taiwan”, Journal of Multinational Financial Management. Elsevier, 36: 49-63.
  • Jain, P. 1987. “The Effect on Stock Price of Inclusion or Exclusion from the S&P 500”, Financial Analysts Journal, 43: 58-65.
  • Küçüksille, E. 2019. “MSCI Değişim Duyurularının Hisse Senedi Getirilerine Etkisi”, Muhasebe ve Finans İncelemeleri Dergisi, 2: 155-166.
  • Lynch, W., and Mendenhall, R. R. 1997: “New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index”, The Journal of Business, 70(3): 351-383.
  • Liu, S. 2000: “Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks”, International Review of Finance, 1(4): 245-267.
  • Masse, I., Hanrahan, R., Kushner, J., and Martinello, F. 2000. “The Effect of Additions to or Deletions from the TSE 300 Index on Canadian Share Prices”, Canadian Journal of Economics, 33(2): 341-359.
  • Miller, C. and Ward, M. 2015. “The Market Impact on Shares Entering or Leaving JSE Indices”, Investment Analysts Journal, 44(1): 84-101.
  • MSCI (2014) MSCI Global Investable Market Indexes Methodology Summary, https://www.msci.com/eqb/methodology/meth_docs/MSCI_May14_GIMIMethod_Summary.pdf
  • Patell, J. M. 1976. “Corporate Forecasts of Earnings per Share and Stock Price Behavior: Empirical tests”, Journal of Accounting Research, 14(2): 246-274.
  • Scholes, M. S. 1972. “The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices”, The Journal of Business, 45(2): 179-211.
  • Shiu, C.Y. and Wu, J. Y. 2009. “Foreign Ownership and Local Market Reaction to Changes of the Constituents in the International Stock Index: Evidence from Additions to and Deletions from MSCI Taiwan Index”, 22nd Australasian Finance and Banking Conference, August 28 2009. Available at http://dx.doi.org/10.2139/ssrn.1463337
  • Shleifer, A. 1986. “Do Demand Curves for Stocks Slope Down?”, The Journal of Finance, 41(3): 579-590.
  • Shu, P.-G., Yeh, Y.-H. and Huang, Y.-C. 2004. “Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese firms added to and deleted from the indices”, Review of Pacific Basin Financial Markets and Policies, 7(4): 471-491.
  • Škrinjarić, T. 2019. “Effects of Changes in Stock Market Index Composition on Stock Returns: Event Study Methodology on Zagreb Stock Exchange”, Croatian Review of Economic, Business and Social Statistics (CREBSS), 5(1): 43-54.
  • Yılmaz, M. K., Aksoy, M., and Tatoğlu, E. 2020. “Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul”, Sustainability, 12(2): 1-22.
  • Wang, C., Murgulov, Z., and Haman, J. 2015. “Impact of Changes in the CSI 300 Index Constituents”, Emerging Markets Review, 24: 13-33.
  • Woolridge, J. R., and Ghosh, C. 1986. “Institutional Trading and Security Prices: The Case of Changes in the Composition of the S&P 500 Index”, The Journal of Financial Research, 9(1):13-24.
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Emin Avcı 0000-0003-3172-897X

Murat Çinko 0000-0001-8560-7482

Mehtap Öner 0000-0001-7527-5875

Aslı Aybars 0000-0002-7899-2367

Erken Görünüm Tarihi 31 Mart 2023
Yayımlanma Tarihi 3 Şubat 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 18 Sayı: 69

Kaynak Göster

APA Avcı, E., Çinko, M., Öner, M., Aybars, A. (2023). Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey. Yaşar Üniversitesi E-Dergisi, 18(69), 41-59. https://doi.org/10.19168/jyasar.1151230
AMA Avcı E, Çinko M, Öner M, Aybars A. Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey. Yaşar Üniversitesi E-Dergisi. Şubat 2023;18(69):41-59. doi:10.19168/jyasar.1151230
Chicago Avcı, Emin, Murat Çinko, Mehtap Öner, ve Aslı Aybars. “Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey”. Yaşar Üniversitesi E-Dergisi 18, sy. 69 (Şubat 2023): 41-59. https://doi.org/10.19168/jyasar.1151230.
EndNote Avcı E, Çinko M, Öner M, Aybars A (01 Şubat 2023) Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey. Yaşar Üniversitesi E-Dergisi 18 69 41–59.
IEEE E. Avcı, M. Çinko, M. Öner, ve A. Aybars, “Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey”, Yaşar Üniversitesi E-Dergisi, c. 18, sy. 69, ss. 41–59, 2023, doi: 10.19168/jyasar.1151230.
ISNAD Avcı, Emin vd. “Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey”. Yaşar Üniversitesi E-Dergisi 18/69 (Şubat 2023), 41-59. https://doi.org/10.19168/jyasar.1151230.
JAMA Avcı E, Çinko M, Öner M, Aybars A. Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey. Yaşar Üniversitesi E-Dergisi. 2023;18:41–59.
MLA Avcı, Emin vd. “Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey”. Yaşar Üniversitesi E-Dergisi, c. 18, sy. 69, 2023, ss. 41-59, doi:10.19168/jyasar.1151230.
Vancouver Avcı E, Çinko M, Öner M, Aybars A. Stock Return Response to Changes in MSCI Standard and Small Cap Index Composition for Turkey. Yaşar Üniversitesi E-Dergisi. 2023;18(69):41-59.
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