Ibex 35 Inclusiones and Exclusiones

38 Pages Posted: 23 Nov 2005

See all articles by Jay Dahya

Jay Dahya

Zicklin School of Business, Baruch College - The City University of New York

Laura Galguera-Garcia

University of Oviedo - Department of Economics

Date Written: January 2006

Abstract

S&P 500 Index changes are based on a variety of criteria secretly espoused by S&P. IBEX 35 Index changes are determined solely on stock liquidity and thus absent certification. In this setting we test whether demand curves for Spanish stocks slope downward. Consistent with liquidity hypotheses, we report a short-run symmetric stock price effect to IBEX 35 index additions and deletions. Asymmetric long-run returns to index changes can be explained by increased earnings expectations in companies removed from the index. After controlling for contemporaneous earnings our evidence is most consistent with short-run downward sloping demand curves for Spanish stocks.

Keywords: IBEX 35, Index, Composition

JEL Classification: G10, G11

Suggested Citation

Dahya, Jay and Galguera-Garcia, Laura, Ibex 35 Inclusiones and Exclusiones (January 2006). Available at SSRN: https://ssrn.com/abstract=852985 or http://dx.doi.org/10.2139/ssrn.852985

Jay Dahya (Contact Author)

Zicklin School of Business, Baruch College - The City University of New York ( email )

55 Lexington Ave., Box B13-260
New York, NY 10010
United States

Laura Galguera-Garcia

University of Oviedo - Department of Economics ( email )

Campus del Cristo
Oviedo, Asturias 33071
Spain

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