The Anatomy of Index Rebalancings : Evidence from Transaction Data

The Anatomy of Index Rebalancings : Evidence from Transaction Data

This paper exploits a novel dataset covering the universe of transactions in the Colombian Stock Exchange to analyze episodes of additions to and deletions from MSCI equity indexes. The analysis finds that additions and deletions have large price e...

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Bibliographic Details
Main Authors: Escobar, Mariana, Pandolfi, Lorenzo, Pedraza, Alvaro, Williams, Tomas
Format: Working Paper
Language:English
Published: World Bank, Washington, DC 2021
Subjects:
INDEX REBALANCING
INSTITUTIONAL INVESTOR
STOCK MARKET INDEX
PASSIVE FUND
ARBITRAGE
DEMAND ELASTICITY
Online Access:http://documents.worldbank.org/curated/undefined/706421631193249974/The-Anatomy-of-Index-Rebalancings-Evidence-from-Transaction-Data
http://hdl.handle.net/10986/36278

Internet

http://documents.worldbank.org/curated/undefined/706421631193249974/The-Anatomy-of-Index-Rebalancings-Evidence-from-Transaction-Data
http://hdl.handle.net/10986/36278

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