Untangling demand curves from information effects: evidence from Australian index adjustments

We investigate the impact of the Morgan Stanley Capital International change in index calculation on Australian stocks. We are able to differentiate between a downward sloping demand curve hypothesis and the investor awareness hypothesis. Broadly speaking, the results are consistent with investor awareness at the time of the announcements and downward sloping demand curves at the implementation date.

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Year of publication:	2008
Authors:	Sokulsky, David ; Brooks, Robert ; Davidson, Sinclair
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 18.2008, 8, p. 605-616
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005278462