244
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

The liquidity effects of revisions to the CAC40 stock index

Pages 333-341 | Published online: 13 Jan 2011

References

  • Arellano , M and Bond , S . 1991 . Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations . Review of Economic Studies , 58 : 277 – 97 .
  • Atkins , AB and Dyl , EA . 1997 . Transactions costs and holding periods for common stocks . Journal of Finance , 1 : 309 – 25 .
  • Beneish , MD and Gardner , JC . 1995 . Information costs and liquidity effects from changes in the Dow Jones industrial average . Journal of Financial and Quantitative Analysis , 30 : 135 – 57 .
  • Beneish , MD and Whaley , RE . 1996 . An anatomy of the ‘S&P’ games: the effects of changing the game . Journal of Finance , 51 : 1909 – 30 .
  • Blundell , R and Bond , SR . 1998 . Initial conditions and moment restrictions in dynamic panel data models . Journal of Econometrics , 87 : 115 – 43 .
  • Branch , B and Freed , W . 1977 . Bid–ask spreads on the AMEX and the big board . Journal of Finance , 32 : 159 – 63 .
  • Copeland , T and Galai , D . 1983 . Information effects on the bid–ask spread . Journal of Finance , 28 : 1457 – 69 .
  • Dhillon , U and Johnson , H . 1991 . Changes in the Standard and Poor's 500 list . Journal of Business , 64 : 75 – 85 .
  • Erwin , GR and Miller , JM . 1998 . The liquidity effects associated with the addition of a stock to the S&P 500 index: evidence from bid/ask spreads . Financial Review , 33 : 131 – 46 .
  • George , TJ , Kaul , G and Nimalendran , M . 1991 . Estimation of the bid–ask spread and its components: a new approach . Review of Financial Studies , 4 : 623 – 56 .
  • Glosten , LR and Harris , LE . 1988 . Estimating the components of the bid/ask spread . Journal of Financial Economics , 21 : 123 – 42 .
  • Gregoriou , A and Ioannidis , C . 2006 . Information costs and liquidity effects from changes in the FTSE 100 list . European Journal of Finance , 12 : 347 – 60 .
  • Gregoriou , A , Ioannidis , C and Skerratt , L . 2005 . Information asymmetry and the bid–ask spread: evidence from the UK . Journal of Business Finance and Accounting , 32 : 1801 – 26 .
  • Hansen , L . 1982 . Large sample properties of generalized methods of moments estimators . Econometrica , 50 : 1029 – 84 .
  • Harris , L and 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 , 41 : 815 – 29 .
  • Hausman , J . 1978 . Specification tests in econometrics . Econometrica , 43 : 1251 – 71 .
  • Heflin , F and Shaw , KW . 2000 . Blockholder ownership and market liquidity . Journal of Financial and Quantitative Analysis , 35 : 621 – 33 .
  • Hegde , SP and McDermott , JB . 2003 . The liquidity effects of revisions to the S&P 500 index: an empirical analysis . Journal of Financial Markets , 6 : 413 – 59 .
  • Huang , RD and Stoll , HR . 1997 . The components of the bid–ask spread: a general approach . Review of Financial Studies , 10 : 995 – 1034 .
  • Kim , O and Verrecchia , RE . 1994 . Market liquidity and volume around earnings announcements . Journal of Accounting and Economics , 17 : 41 – 67 .
  • Lee , CMC , Mucklow , B and Ready , MJ . 1993 . Spreads, depths and the impact of earnings information: an intraday analysis . Review of Financial Studies , 6 : 345 – 74 .
  • Lee , CM and Ready , MJ . 1991 . Inferring trade direction from intraday data . Journal of Finance , 46 : 733 – 46 .
  • Lin , J , Sanger , G and Booth , GG . 1995 . Trade size and components of the bid–ask spread . Review of Financial Studies , 8 : 1153 – 83 .
  • Madhavan , A , Richardson , M and Roomans , M (MRR) . 1997 . Why do security prices change? A transaction-level analysis of NYSE stocks . Review of Financial Studies , 10 : 1035 – 64 .
  • Scholes , MS . 1972 . The market for securities: substitution versus price pressure and the effect of information on share prices . Journal of Business , 45 : 179 – 211 .
  • Shleifer , A . 1986 . Do demand curves for stocks slope down? . Journal of Finance , 41 : 579 – 90 .
  • Van Ness , BF , Van Ness , RA and Warr , RS . 2001 . How well do adverse selection components measure adverse selection? . Financial Management , 30 : 77 – 98 .
  • Vespro , C . 2006 . Stock price and volume effects associated with compositional changes in European stock indices . European Financial Management , 12 : 103 – 27 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.