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The price response to SET 50 index additions and deletions : Recent empirical evidence |
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| รหัสดีโอไอ | |
| Creator | Nattawut Jenwittayaroje |
| Title | The price response to SET 50 index additions and deletions : Recent empirical evidence |
| Publisher | Business Administration Kasetsart University |
| Publication Year | 2566 |
| Journal Title | Kasetsart Applied Business Journal |
| Journal Vol. | 17 |
| Journal No. | 26 |
| Page no. | 18-36 |
| Keyword | Abnormal Return, Added (Deleted) Stocks, Index Fund, SET 50 Index, the Stock Exchange of Thailand |
| URL Website | https://so04.tci-thaijo.org/index.php/KAB/about |
| Website title | http://journal.bus.ku.ac.th/ |
| ISSN | 25396250 ONLINE |
| Abstract | This study examines the price response to SET 50 index additions and deletions during2011 to 2021, and finds that stocks added to (deleted from) SET 50 index have abnormal returnsof 0.87% (-0.93%) on the announcement day of the addition (deletion). The price of the added(deleted) stocks continues to rise (drop) till the effective date, but reverses fully thereafter.This result is therefore consistent with the price pressure hypothesis. In addition, this studypartitions the sample period into two subperiods. The first subperiod is 6 years from year 2011to 2016, and the second is 5 years from year 2017 to 2021. The results from these two subperiodsshow that the price effect of SET 50 index additions and deletions is more pronounced in the recent5 years than in the first 6 years. But the full price reversal still occurs during both subperiods,except for added stocks in the recent 5 years where price reversal is partial. This result possiblyindicates the higher degree of limits to arbitrage on the price effect of SET 50 index additionsand deletions during 2017 - 2021 subperiod, compared with that during 2011 - 2016 subperiod |
