Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/15929
Title: Impact of Strait Times Index inclusion on investor's attention
Authors: LIU JIA
Keywords: Straits Times Index, Investor's Attention
Issue Date: 11-May-2009
Source: LIU JIA (2009-05-11). Impact of Strait Times Index inclusion on investor's attention. ScholarBank@NUS Repository.
Abstract: In October 2007, FTSE and the Straits Times announced the plan to publish the revamped ST Index and eighteen other concept-wise and industry-wise indices like ST China index, ST Technology index, etc. Nearly 200 stocks were added into the FTSE ST index family. Does the inclusion into the index make investors pay more attention to the new constituent stocks? In this paper, we compare the stock return response to earning announcements between the two announcement seasons: Oct 2007 (before) and Feb 2008. We have plotted the graphs of the stock return response and the immediate/delayed response, and conducted regression analysis on immediate/delayed responses. If investor's attention is a determinant of stock prices, we should observe less stock return drift, more immediate response and less delayed response in Feb 2008 earning announcements. Indeed, though not strong, we have found evidence of investor's attention in Feb 2008 earning announcements.
URI: http://scholarbank.nus.edu.sg/handle/10635/15929
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Liu Jia- Thesis.PDF244.96 kBAdobe PDF

OPEN

NoneView/Download

Page view(s)

305
checked on Dec 2, 2017

Download(s)

378
checked on Dec 2, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.