Additions to and Deletions from an Open-Ended Market Index: Evidence from the Australian All Ordinaries

Australian Journal of Management

Volumn 27, Issue 1, 2002, Pages 45-74

  Chan, Howard W H ^a   Howard, Peter F ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

ABNORMAL RETURN; INDEX; TRADING VOLUME

Indexed keywords

EID: 84996262992     PISSN: 03128962     EISSN: None     Source Type: Journal    
DOI: 10.1177/031289620202700103     Document Type: Article

References (28)

1. ASX consultation paper, January 1999, ‘Review of the All Ordinaries Index’.
2. ASX working document, April 1999, ‘Rules for the construction of the All Ordinaries Index’.
3. ASX ‘Monthly Index Analysis’ 1992 to 1998, various issues.
4. ASX (1995-98), ‘Annual Stockmarket Summaries for Taxation’.
5. Beneish, M.D. & Whaley, R.E. 1996, ‘An anatomy of the ‘S&P Game’: The effects of changing the rules’, Journal of Finance, vol. 51, December, pp. 1909-1930.
6. Brealey, R.A. 2000, ‘Stock prices, stock indexes and index funds’, Bank of England Quarterly Bulletin, February, pp. 61-68.
7. Burke, F. & Anderson, S. 1997, ‘Major investors threaten to set up their own index’, Australian Financial Review, April 11, p. 35.
8. Chan, L.K.C., Jegadeesh, J. & Lakonishok, J. 1996, ‘Momentum strategies’, Journal of Finance, vol. 51, pp. 1681-1713.
9. Collins, M.C. Wansley, J.W. & Robinson, B. 1995, ‘Price and volume effects associated with the creation of Standard & Poor's Midcap Index’, Journal of Financial Research, vol. 18, Fall, pp. 329-350.
10. Dhillon, U. & Johnson, H. 1991, ‘Changes in the Standard and Poor's 500 list’, Journal of Business, vol. 64, pp. 75-85.
11. Edmister, R., Graham, A.S. & Pirie, W. 1994, ‘Excess returns of index replacement stocks: Evidence of liquidity and substitutability’, Journal of Financial Research, vol. 17, Fall, pp. 333-346.
12. Goetzmann, W. & Garry, M. 1986, ‘Does delisting from the S&P 500 affect stock price?’, Financial Analysts Journal, vol. 42, pp. 64-69.
13. Harris, L. & Gurel, E. 1986, ‘Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures’, Journal of Finance, vol. 41, pp. 815-829.
14. Hely, S. 1999, ‘Active-passive debate goes on’, Superfunds, no. 227, July, p. 33.
15. Hill-Ling, R. 1998, Chairman's Address, Hills Industries Annual General Meeting
16. Hong, H. & Stein, J.C. 1999, ‘A unified theory of underreaction, momentum trading and overreaction in asset markets’, Journal of Finance, vol. 54, pp. 2143-2183.
17. Jain, P.C. 1987, ‘The effect on stock price of inclusion in and exclusion from the S&P 500’, Financial Analysts Journal, vol. 43, pp. 58-65.
18. Lynch, A.W. & Mendenhall, R.R. 1997, ‘New evidence on stock price effects associated with changes in the S&P 500 index’, Journal of Business, vol. 70, pp. 351-383.
19. Mace, J. 1998a ‘Indexing'label error?’, Superfunds, no. 217, August, p. 34.
20. Mace, J. 1998b, ‘Indexing sets portfolio pace’, Superfunds, no. 220, November, p. 78.
21. Mellish, M. 1998, ‘Class action mooted’, The Age, 7 December, p. B1.
22. Mullane, M. 1998, ‘ASX index plans infuriate investors’, Australian Financial Review, 28 October, p. 23.
23. Mullane, M. 1998, ‘ASX caught in frank exchange of views’, Australian Financial Review, 9 December, p. 1-14.
24. Mullane, M. ‘ASX gives ground on All Ords’, Australian Financial Review, December 12-13, 1998, p. 37.
25. Pruit, S.W. & Wei, K.C.J. 1989, ‘Institutional ownership and changes in the S&P 500’, Journal of Finance, vol. 44, pp. 509-513.
26. Rainmaker Information, 1999, ‘State of play in the indexed funds management market’, Rainmaker Roundup, June Quarter, p. 6.
27. Shleifer, A. 1986, ‘Do demand curves for stocks slope down?’, Journal of Finance, vol. 41, pp. 579-590.
28. Woolridge, J.R. & Ghosh, C. 1986, ‘Institutional trading and security prices: The case of changes in the composition of the S&P 500 index’, Journal of Financial Research, vol. 9, pp. 13-24.