| Authors: | Charamis, Dimitrios Floros, Christos Tabouratzi, Efthalia Zounta, Stella |
| Publisher: | Scientific Research |
| Issue Date: | 1-Jan-2017 |
| Journal: | Theoretical Economics Letters |
| Volume: | 7 |
| Issue: | 04 |
| Keywords: | Stock market returns, Volatility, Index ratios, US, Joiners, Leavers, GARCH |
| Abstract: | We consider recent data from three major US indices (S & P500, NASDAQ 100, and DJIA) to examine the effect of joiners and leavers on stock market returns and volatility. We report (a) a positive effect of leavers on stock market returns (S & P500, DJIA), (b) a positive effect of leavers on stock market volatility (S & P500), and (c) a negative effect of joiners on DJIA stock market returns and volatility. No effects reported for NASDAQ100. We compare these results with the profitability, P/E and Price to Book index ratios. These findings are recommended to financial managers and investors dealing with US stock indices. |
| DOI: | 10.4236/tel.2017.74050 |
| URL: | https://www.scirp.org/html/3-1501125_76209.htm |
| URI: | https://uniwacris.uniwa.gr/handle/3000/1528 |
| Type: | Article |
| Department: | Department of Accounting and Finance |
| School: | School of Administrative, Economics and Social Sciences |
| Affiliation: | University of West Attica (UNIWA) |
| Appears in Collections: | Articles / Άρθρα |
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