Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

The Danish blue-chip index - the KFX Index - provides an interesting case for <p> studying the effects of changes in a stock market index. This is because of the unique <p> selection criterion used for the composition of the KFX Index. The criterion is pub- <p> licly known and based on a combination of liquidity and market value of the stock. <p> Consistent with the selection criterion, the stock price effects are generally small <p> at the announcement of a change and at the later date when the change comes into <p> effect. However, the deleted stocks experience an abnormal return averaging