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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Index Demand: Evidence from Index Inclusions |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 48 |
| Date | 2019 |
| Abstract Text | This thesis employs the event study methodology to examine the effects of index demand using data from MSCI Index inclusions. On the announcement day, stock returns and volumes increase significantly. The positive return-volume relation means the demand curve for the affected stock is down sloping. However, the mean cumulative abnormal return across the total permanent window remains unchanged, suggesting that the long-run demand curve is horizontal, consistent with the price pressure hypothesis. Moreover, this thesis presents a thorough analysis of liquidity and price informativeness which may be related to price effects. The results reject liquidity hypothesis and are partially in support of the stock informativeness effects. Keyword: event study; Index additions; downward sloping demand curve; liquidity; price informativeness |
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