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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Nataliya Pankova
The Impact of the Exchange-Traded Funds on the Index Reconstitution Effect
2017
In this study I investigate an index-reconstitution effect presence for the FSTE 100 index. I found a significant evidence of the price reversals for both additions and deletions. I attempt to explain the price-reversals with the price-pressure hypothesis: how the buying and selling activity of the exchange-traded funds and index funds influence the behavior of prices, but the result is that no significant conclusions can be drawn from the monthly data I use. There is an evidence of too much noise in the data: since there are too many different world indices that contain the stocks under my investigation, there is no clear pattern in buying or selling activity following the month of an addition or deletion. Thus, I suggest that there is an evidence of market inefficiency and propose a field for further investigation: to look at the daily ownership of funds around the moment of the reconstitution.

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