The Impact of Dow Jones Index Additions and Deletion: The 2004 Case

Freeman, Patricia, Geungu Yu and Phillip Fuller “The Impact of Dow Jones Index Additions and Deletion: The 2004 Case.” Proceeding of the International Academy of Business Disciplines. Business Research Yearbook (April 2005): 356-360.

6 Pages Posted: 18 Jul 2017

See all articles by Patricia Freeman

Patricia Freeman

Jackson State University

Geungu Yu

Jackson State University

Phillip Fuller

Jackson State University

Date Written: 2005

Abstract

Beneish and Gardner (1995) examined the impact on stocks that were either added to or removed from the Dow Jones Industrial Averages ((DJIA) based on data from 1929 through 1988. They implied that the price-pressure hypothesis (PPH) can be supported with the deletions, but not the additions. However, examining the impact of the changes to the DJIA that occurred in April 2004, we found no significant evidence for the PPH either with the additions or with the deletions for the -1 to 1 time period. The study is inconclusive as to the impact of the DJIA additions or deletions on trading volume.

Keywords: Dow Jones, additions, deletions

JEL Classification: G14

Suggested Citation

Freeman, Patricia and Yu, Geungu and Fuller, Phillip, The Impact of Dow Jones Index Additions and Deletion: The 2004 Case (2005). Freeman, Patricia, Geungu Yu and Phillip Fuller “The Impact of Dow Jones Index Additions and Deletion: The 2004 Case.” Proceeding of the International Academy of Business Disciplines. Business Research Yearbook (April 2005): 356-360., Available at SSRN: https://ssrn.com/abstract=2999945 or http://dx.doi.org/10.2139/ssrn.2999945

Patricia Freeman

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Geungu Yu

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Phillip Fuller (Contact Author)

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

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