Work detail

New Evidence on Abnormal Stock Returns and Abnormal Trading Volume Associated with Inclusions in S&P 500 and FTSE 100

Author: Bc. Jan Bartůněk
Year: 2022 - summer
Leaders: RNDr. Michal Červinka Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 66
Awards and prizes:
Link: https://dspace.cuni.cz/handle/20.500.11956/175664
Abstract: This thesis analyses abnormal returns and volume around the inclusion of stocks in S&P 500 and FTSE
100 in the 2011–2022 period. The paper contributes to existing research by providing a daily abnormal
return analysis for additions to S&P 500 and a thorough study of abnormal returns and trading volume
for additions to FTSE 100, a study that has not been recently conducted. For the first time, this thesis
provides a comparison of the inclusion effect on the two indices. This thesis reports new results
compared to earlier research. The results show that despite the apparent redistribution of stocks one
day before the inclusion, there are no abnormal returns on either index on this day. The analysis
reports a negative price reaction for additions from S&P 400 and a positive price reaction for additions
from outside of S&P 1500. The analysis of FTSE 100 additions shows a negative price effect of the
announcement and no daily abnormal return one day after the announcement. Additionally, a
different price and volume reaction is observed between the stocks already once added and stocks
newly added to the index, as the latter faces a stronger abnormal reaction.

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