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The Impact of Change to Components of Composite Index on the Affected Stocks

Based on the belief that stock market performance should reflect stock liquidity, Bursa Malaysia (BM) works with Financial Times Stock Exchange (FTSE) to introduce a new market index, known as FTSE-BM30 or FBM30, to replace Kuala Lumpur Composite Index (KLCI). With the introduction of FBM30 on 6th...

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Main Author: Lu, Ming Pey
Format: Thesis
Language:English
English
Published: 2010
Subjects:
HG Finance
Online Access:http://etd.uum.edu.my/2487/1/Lu_Ming_Pey.pdf
http://etd.uum.edu.my/2487/2/1.Lu_Ming_Pey.pdf
http://etd.uum.edu.my/2487/
http://lintas.uum.edu.my:8080/elmu/index.jsp?module=webopac-l&action=fullDisplayRetriever.jsp&szMaterialNo=0000769061
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spelling my.uum.etd.24872013-07-24T12:16:14Z http://etd.uum.edu.my/2487/ The Impact of Change to Components of Composite Index on the Affected Stocks Lu, Ming Pey HG Finance Based on the belief that stock market performance should reflect stock liquidity, Bursa Malaysia (BM) works with Financial Times Stock Exchange (FTSE) to introduce a new market index, known as FTSE-BM30 or FBM30, to replace Kuala Lumpur Composite Index (KLCI). With the introduction of FBM30 on 6th July, 2009, KLCI was discontinued. FBM30 is composed of 30 blue chip stocks while KLCI is made up of 100 stocks. With the introduction of a new index with smaller number of stocks, at least 70 stocks that were previously used to calculate KLCI have to be dropped. The purpose of this study is to look at investors' reactions to the actual introduction of FBM30 on 6th July, 2009 on the prices of three stocks that are newly included into FBM30, 27 stocks from KLCI that remained in FBM30, and 73 stocks from KLCI that are dropped from FBM30. Using event study methodology, the findings reveal that companies that are newly included into and companies that remain in FBM30 have insignificant abnormal return. However, for the companies that are dropped from KLCI experienced significant abnormal negative return when FBM30 comes into effect. 2010 Thesis NonPeerReviewed application/pdf en http://etd.uum.edu.my/2487/1/Lu_Ming_Pey.pdf application/pdf en http://etd.uum.edu.my/2487/2/1.Lu_Ming_Pey.pdf Lu, Ming Pey (2010) The Impact of Change to Components of Composite Index on the Affected Stocks. Masters thesis, Universiti Utara Malaysia. http://lintas.uum.edu.my:8080/elmu/index.jsp?module=webopac-l&action=fullDisplayRetriever.jsp&szMaterialNo=0000769061
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
topic HG Finance
spellingShingle HG Finance
Lu, Ming Pey
The Impact of Change to Components of Composite Index on the Affected Stocks
description Based on the belief that stock market performance should reflect stock liquidity, Bursa Malaysia (BM) works with Financial Times Stock Exchange (FTSE) to introduce a new market index, known as FTSE-BM30 or FBM30, to replace Kuala Lumpur Composite Index (KLCI). With the introduction of FBM30 on 6th July, 2009, KLCI was discontinued. FBM30 is composed of 30 blue chip stocks while KLCI is made up of 100 stocks. With the introduction of a new index with smaller number of stocks, at least 70 stocks that were previously used to calculate KLCI have to be dropped. The purpose of this study is to look at investors' reactions to the actual introduction of FBM30 on 6th July, 2009 on the prices of three stocks that are newly included into FBM30, 27 stocks from KLCI that remained in FBM30, and 73 stocks from KLCI that are dropped from FBM30. Using event study methodology, the findings reveal that companies that are newly included into and companies that remain in FBM30 have insignificant abnormal return. However, for the companies that are dropped from KLCI experienced significant abnormal negative return when FBM30 comes into effect.
format Thesis
author Lu, Ming Pey
author_facet Lu, Ming Pey
author_sort Lu, Ming Pey
title The Impact of Change to Components of Composite Index on the Affected Stocks
title_short The Impact of Change to Components of Composite Index on the Affected Stocks
title_full The Impact of Change to Components of Composite Index on the Affected Stocks
title_fullStr The Impact of Change to Components of Composite Index on the Affected Stocks
title_full_unstemmed The Impact of Change to Components of Composite Index on the Affected Stocks
title_sort impact of change to components of composite index on the affected stocks
publishDate 2010
url http://etd.uum.edu.my/2487/1/Lu_Ming_Pey.pdf
http://etd.uum.edu.my/2487/2/1.Lu_Ming_Pey.pdf
http://etd.uum.edu.my/2487/
http://lintas.uum.edu.my:8080/elmu/index.jsp?module=webopac-l&action=fullDisplayRetriever.jsp&szMaterialNo=0000769061
_version_ 1644276704839991296
score 13.211869

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