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MSCI Rebalances - Emerging Market (EM) Index
This study investigates the effect of shares included and deleted from the MSCI Emerging Market Index (EM) between 2016 and 2020, during quarterly (QIR) and semi-annual index (SAIR) reviews. The analysis finds that when a share is included in MSCI Emerging Market Index, its price increases slightly...
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| Format: | Thesis |
| Language: | Eng |
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Department of Finance and Tax
2024
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| _version_ | 1867613338694844416 |
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| access_status_str | Open Access |
| author | Macminn, Karlene |
| author2 | Holman, Glen |
| author_browse | Holman, Glen Macminn, Karlene |
| author_facet | Holman, Glen Macminn, Karlene |
| author_sort | Macminn, Karlene |
| collection | Thesis |
| description | This study investigates the effect of shares included and deleted from the MSCI Emerging Market Index (EM) between 2016 and 2020, during quarterly (QIR) and semi-annual index (SAIR) reviews. The analysis finds that when a share is included in MSCI Emerging Market Index, its price increases slightly following the announcement. After the announcement, there is a further increase during the period preceding the actual index change. The price increase for inclusions is permanent. When shares are excluded from the MSCI Emerging Market Index, the share price decreases slightly following the announcement, but gradually increases over time. This is not consistent with the starting premise that deletions would result in a negative share performance. Trading volumes increase slightly on actual announcement date and remain at a high level on actual effective date (i.e. date that the actual index changes) for both inclusions and deletions. Deletions has a greater and more significant impact on volume than inclusions. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/40021 |
| institution | University of Cape Town (South Africa) |
| language | Eng |
| last_indexed | 2026-06-10T12:34:33.896Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/40021 MSCI Rebalances - Emerging Market (EM) Index Macminn, Karlene Holman, Glen Finance and Tax This study investigates the effect of shares included and deleted from the MSCI Emerging Market Index (EM) between 2016 and 2020, during quarterly (QIR) and semi-annual index (SAIR) reviews. The analysis finds that when a share is included in MSCI Emerging Market Index, its price increases slightly following the announcement. After the announcement, there is a further increase during the period preceding the actual index change. The price increase for inclusions is permanent. When shares are excluded from the MSCI Emerging Market Index, the share price decreases slightly following the announcement, but gradually increases over time. This is not consistent with the starting premise that deletions would result in a negative share performance. Trading volumes increase slightly on actual announcement date and remain at a high level on actual effective date (i.e. date that the actual index changes) for both inclusions and deletions. Deletions has a greater and more significant impact on volume than inclusions. 2024-06-27T09:30:10Z 2024-06-27T09:30:10Z 2023 2024-05-14T12:03:13Z Thesis / Dissertation Masters MCom http://hdl.handle.net/11427/40021 Eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | Finance and Tax Macminn, Karlene MSCI Rebalances - Emerging Market (EM) Index |
| thesis_degree_str | Master's |
| title | MSCI Rebalances - Emerging Market (EM) Index |
| title_full | MSCI Rebalances - Emerging Market (EM) Index |
| title_fullStr | MSCI Rebalances - Emerging Market (EM) Index |
| title_full_unstemmed | MSCI Rebalances - Emerging Market (EM) Index |
| title_short | MSCI Rebalances - Emerging Market (EM) Index |
| title_sort | msci rebalances emerging market em index |
| topic | Finance and Tax |
| url | http://hdl.handle.net/11427/40021 |
| work_keys_str_mv | AT macminnkarlene mscirebalancesemergingmarketemindex |