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OCK INCLUSION IN SELECTED INDICES – A STUDY OF IMPACT ON STOCK RETURNS AND LIQUIDITY MEASURES
(Punjab Agricultural University, 2011) Ramandeep kaur; Gupta, Mohit
Stock inclusions and exclusions continuously happen in stock indices and many of the studies have shown that these events have effect on stock market performance in terms of return and volume. Present study “Stock Inclusion in Selected Indices- A Study of Impact on Stock Returns and Liquidity Measures” was undertaken to empirically access the impact of stock inclusions on stock returns and liquidity. Ten inclusions were randomly selected from a list of twenty stock inclusions and such selection was done for each of indices namely sensex representing large cap stocks, BSE mid cap index representing mid cap stocks and BSE small cap index representing small cap stocks. No abnormal and cumulative abnormal returns were found during event window ranging from e-1 through e+1 where „e‟ stands for event day. It was only in the mid cap stocks that significant abnormal and cumulative abnormal returns were found at e-4 day during pre event window upto e-10 days. During the post event window upto e+10 days the significant abnormal returns were found at e+4 day in case of mid cap and e+9 in case of small cap. No significant cumulative abnormal returns were found in post event window. No impact of stock inclusion was seen on liquidity measures of selected events