| Project/Area Number |
14330033
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Business administration
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
HANAEDA Hideki Hitotsubashi University, Graduate School of Commerce and Management, Professor, 大学院・商学研究科, 教授 (50103693)
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| Co-Investigator(Kenkyū-buntansha) |
MIYAKAWA Takao Reitaku University, The International School of Economics and Business Administration, Professor, 国際経済学部, 教授 (60017473)
SERITA Toshio Aoyama Gakuin University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (80226688)
KIMURA Yukio Mejiro University, Faculty of Human and Social Sciences, Professor, 人間社会学部, 教授 (20327109)
HIROTA Masato Tokyo Metropolitan university, Faculty of Economics, Visiting Professor, 経済学部, 客員教授
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| Project Period (FY) |
2002 – 2003
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| Project Status |
Completed (Fiscal Year 2003)
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| Budget Amount *help |
¥9,300,000 (Direct Cost: ¥9,300,000)
Fiscal Year 2003: ¥4,400,000 (Direct Cost: ¥4,400,000)
Fiscal Year 2002: ¥4,900,000 (Direct Cost: ¥4,900,000)
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| Keywords | stock price index / Nikkei 225 index / Dow Jones Industrial Average / Dow formula / The Tokyo Stock Price Index (TOPIX) / stock split / corporate finance / stock price / 時価総額方式株価指数 / MSCI株価指数 / S＆P500 |
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| Research Abstract |
We studied the characteristics and problems of stock price index, particularly, the Dow Jones Average and market capitalization weighted index. We examined stock price nd volume effects associated with a change in the composition of the Nikkei 225 index in Japan in April 2000. Our results include the following : first, we show that newly added firms experience significant positive excess retums after the announcement of the change ; in contrast, deleted and remaining firms' retums are negatively affected ; second, volume tests show significant increase in trading activity after the announcement for both added and deleted firms ; third, cross-sectional analysis provides evidence that higher arbitrage risk and demand shocks increase the absolute value of excess retums. We did field research study using the responses from 3632 mail survey to examine managers thinking about stock ownership in Japan, First, we show that firms that undergo stock splits experience positive abnormal announcement returns. Second, average daily yen trading volume and average daily volume turnover decrease after ex-date of the stock split, suggesting that stock splits negatively affect liquidity. Third, we show that in Japan, stock splits alter the ownership structure of firms.
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