Price and volume effects associated with inclusion in the health care index list

Abstract

This study is to examine the behavior aspects of stock price and trading volume associated with inclusion to health care index in Korean Market. In a short term perspective, the information on inclusion into health care index has a positive effect in stock market. However, after the event day, a stock price reversal is occurred. Average abnormal volume to included-firms has smaller values than that of whole market. Therefore, the study results indicate that we can accept the Price Pressure Hypothesis, but the Information Hypothesis and the Liquidity Hypothesis cannot be accepted. This study provides investment decision-makers and policy-makers with strategic insights to explore the effects on price and volume of health care index list in Korean market.