Title: The effects of index changes in the Spain Stock Market

Authors: Tarika Singh, Seema Mehta, Umesh Hoolani

Addresses: Prestige Institute of Management, Airport Road, Opposite Deendayal Nagar Gwalior, Madhya Pradesh 474020, India. ' Prestige Institute of Management, Airport Road, Opposite Deendayal Nagar Gwalior, Madhya Pradesh 474020, India. ' Department of Commerce and Management, Jiwaji University, City Centre, Gwalior 474002, India

Abstract: In the present study the price and volume effects changes to the Madrid Stock Exchange fs in Madrid is presented. Bolsa de Madrid (Madrid Stock Exchange) is the largest and most international of Spain|s four regional stock exchanges (the others are located in Barcelona, Valencia, and Bilbao) that trade shares and convertible bonds and fixed income securities, also both government and private-sector debt. Bolsa de Madrid is owned by Bolsas y Mercados Espanoles. The researchers have found that the market reacts positively, to news of additions to the index, reflecting pressure on prices of concerned stocks. Trading volumes exhibit commensurate significant changes. While this finding warrants further examination, it leads us to the conclusion that the price effects noted with other index additions may result largely from the demand-supply disequilibrium caused by index, rather than any new information or certification signalled by index inclusion.

Keywords: index changes; stock markets; market returns; abnormal returns; market capitalisation; price pressure hypothesis; liquidity hypothesis; information hypothesis; Spain; Madrid Stock Exchange; demand-supply disequilibrium.

DOI: 10.1504/IJMFA.2010.034120

International Journal of Managerial and Financial Accounting, 2010 Vol.2 No.3, pp.305 - 325

Published online: 13 Jul 2010 *

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