We examine market reactions to changes in the FTSE SmallCap index membership, which are determined quarterly based on market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses between the firms that are shifted between FTSE indexes...

This study provides the first examination of the Canadian implied volatility indexes for forecasting future volatility. Introduced by Montreal exchange in 2010, the model-free implied volatility index for the Canadian stock market, the VIXC, outperforms the previously used model-based index, the...

Purpose − The purpose of this study is to examine stock price and trading volume reactions to name changes of the Toronto Stock Exchange listed companies. Previous studies present conflicting evidence on reactions to corporate name changes in U.S. and other capital...

We examine market responses to changes in the Nasdaq 100 index membership and find asymmetric stock price and investor awareness reactions. Stocks added to the Nasdaq 100 index for the first time experience permanent price gains and significant increases in investor awareness, whereas repeated...

Purpose − The purpose of this study is to examine changes in stock returns, liquidity, institutional ownership, analyst following, and investor awareness for companies added to and deleted from the Dow Jones Industrial Average (DJIA) index. Previous studies report conflicting evidence...