We further explore a new volatility explanation for the permanent price effect of index additions, using a sample of changes in the Nikkei 225. Additions to the index elicit significant price hikes, which tend to be permanent despite temporary price reversals. Meanwhile, investor awareness and...

We investigate possible reasons for voluntary delistings by U.S. firms from the Tokyo Stock Exchange from 1982 to 2005. We find that the small shareholder base, as measured by low turnover, for U.S. stocks in Japan helps to explain the voluntary foreign delistings. This finding is consistent,...

Existing theories predict lower trading volume, but ambiguous changes in price, bid-ask spread, and volatility for the underlying stocks following the advent of index derivatives. We further test these predictions around the introduction of the S&P 100 options in March 1983. Controlling for...