Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange
This paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market i...
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| Format: | Article |
| Language: | English |
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Sciendo
2019-05-01
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| Series: | Croatian Review of Economic, Business and Social Statistics |
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| Online Access: | https://doi.org/10.2478/crebss-2019-0005 |