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Tesi etd-11122021-113946

Type of thesis
Corso Ordinario Secondo Livello
Author
FLORI, LEONARDO
URN
etd-11122021-113946
Title
No pressure, no diamonds: index effects around MSCI Standard Index rebalances
Structure
Cl. Sc. Sociali - Scienze Economiche
Course
SCIENZE ECONOMICHE E MANAGERIALI - SCIENZE ECONOMICHE E MANAGERIALI
Committee
Tutor Prof. MONETA, ALESSIO
Relatore Prof. BARONTINI, ROBERTO
Membro Prof. BOTTAZZI, GIULIO
Membro Prof. TURCHETTI, GIUSEPPE
Membro Dott. MOSCHELLA, DANIELE
Membro Prof. FREY, MARCO
Keywords
  • event study
  • fuzzy regression discontinuity design
  • index effects
  • markets efficiency
Exam session start date
02/12/2021;
Availability
parziale
Abstract
The aim of this work is to contribute to the long-standing debate in the financial literature about index inclusion and exclusion effects. We focus on MSCI Standard Indexes, both developed and emerging markets segments, in the last 20 years. We found, in line with the previous literature, significant price and volume effects after the announcement and in the run up to the rebalance. Mild evidence of anticipatory effects is present too. We also found that, despite an initial reversal, the price effect seems to be persistent in the long run, and it does not seem to have reduced over time. Buying and selling pressure by passive funds that track the indexes can play a role (Price Pressure Hypothesis), but it can not explain the permanent effect. We test alternative hypotheses, and conclude that the most plausible is the Imperfect Substitutes Hypothesis. However, the evidence is strong only for the developed markets segment, and further studies should try to address this asymmetry between different indexes.
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