{"id":{"repo_id":"brock","oai_identifier":"oai:brocku.scholaris.ca:10464/4006"},"canonical_url":"https://search.dev.ndltd.org/etd/brock/oai:brocku.scholaris.ca:10464/4006","repository":{"repo_id":"brock","name":"Brock University","base_url":"https://brocku.scholaris.ca/server/oai/request"},"display":{"title":"Market reactions to changes in the Nasdaq-100 Index membership","abstract":"We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.","abstract_html":"We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.","abstract_has_math":false,"creators":["Xu, Yuanbin"],"institution":"Brock University","degree_name":"M.Sc. Management","degree_level":"Masters","degree_discipline":"Faculty of Business","degree_department":"Faculty of Business Programs","school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2012,"date_issued":"2012-05-17","date_published":"2012-05-17","updated_at":"2026-07-24T01:23:16Z","subjects":["financial markets","nasdaq-100 index","price pressure hypothesis","investor awareness hypothesis","liquidity hypothesis"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/10464/4006","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.department","label":"Department","values":["Faculty of Business Programs"]},{"key":"dc:creator","label":"Author","values":["Xu, Yuanbin"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2012-05-17T13:05:17Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2012-05-17T13:05:17Z"]},{"key":"dc:date.issued","label":"Date","values":["2012-05-17"]},{"key":"dc:type","label":"Dc Type","values":["Electronic Thesis or Dissertation"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Faculty of Business"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Masters"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.Sc. Management"]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["Brock University"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["financial markets","nasdaq-100 index","price pressure hypothesis","investor awareness hypothesis","liquidity hypothesis"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/10464/4006"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses."]},{"key":"dc:title","label":"Title","values":["Market reactions to changes in the Nasdaq-100 Index membership"]}]}],"canonical_facts":{"dc:contributor.department":["Faculty of Business Programs"],"dc:creator":["Xu, Yuanbin"],"dc:date.accessioned":["2012-05-17T13:05:17Z"],"dc:date.available":["2012-05-17T13:05:17Z"],"dc:date.issued":["2012-05-17"],"dc:description.abstract":["We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses."],"dc:identifier.uri":["http://hdl.handle.net/10464/4006"],"dc:language.iso":["eng"],"dc:subject":["financial markets","nasdaq-100 index","price pressure hypothesis","investor awareness hypothesis","liquidity hypothesis"],"dc:title":["Market reactions to changes in the Nasdaq-100 Index membership"],"dc:type":["Electronic Thesis or Dissertation"],"thesis:degree_discipline":["Faculty of Business"],"thesis:degree_level":["Masters"],"thesis:degree_name":["M.Sc. Management"],"thesis:institution_name":["Brock University"]},"updated_at":"2026-07-24T01:23:16Z"}