This paper considers the effects of changes in the composition of the Danish blue-chip KFX index for the period of 1989-2001. Consistent with the selection criterion used for the index, there is no evidence for a stock price effect at the announcement of a change in the index. However, deleted...

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...</p></p></p>