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Please use this identifier to cite or link to this item: http://hdl.handle.net/2259/410

Title: Price Pressure Hypothesis: Evidence from S & P CNX NIFTY Index Changes
Authors: Kumar, S.S.S.
Keywords: Excess returns
Changes in indices
Event study
Price and volume effects
Issue Date: 2007
Publisher: Journal of Indian Institute of Management, Lucknow
Abstract: This paper considers the effects of changes in the composition of the Nifty and Jr. Nifty index for the period 1996-2003. The study finds no significant price effects on the announcement day. However price effects were observed only for the Nifty index on the effective day, which were subsequently reversed by the ninth day. Similar results were found for the Nifty icictions too. For the Jr. Nifty, no price effects were observed either on announcement day or on the effective day-for both inclusions as well as exclusions. There were no abnormal volumes associated with price effects for the Nifty index. Since the is-ice effects are confined only to Nifty and were absent for the Jr. Nifty, certification effect may he ruled out. There is pm/,;n support for the price pressures hypothesis.
Description: Metaurorphosis Vol. 6 No.I, 2007
URI: http://hdl.handle.net/2259/410
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