Do Recent Changes in the Dow Jones Industrial Average Support the Price-Pressure Hypothesis

Freeman, Patricia, Geungu Yu, and Phillip Fuller. “Do Recent Changes in the Dow Jones Industrial Average Support the Price-Pressure Hypothesis.” Southwestern Economic Review (Spring 2007): 179-186

8 Pages Posted: 1 Jun 2017

See all articles by Patricia Freeman

Patricia Freeman

Jackson State University

Geungu Yu

Jackson State University

Phillip Fuller

Jackson State University

Date Written: May 29, 2017

Abstract

The price-pressure hypothesis (PPH) assumes that a temporary increase (decrease) in returns and volume results as firms are added to (deleted from) an index around the announcement date. This event study analyzed recent unexamined changes in the Dow Jones Industrial Average (DJIA) since 1996. Examination of returns of firms added to and firms deleted from DJIA did not support the PPH. Only deleted stocks’ volume exhibited a slight increase following the announcement dates. Otherwise, the volume analyses for stocks either added to or deleted from the DJIA tended not to support the PPH.

Keywords: Price-pressure hypothesis, DJIA additions

JEL Classification: G11, G12

Suggested Citation

Freeman, Patricia and Yu, Geungu and Fuller, Phillip, Do Recent Changes in the Dow Jones Industrial Average Support the Price-Pressure Hypothesis (May 29, 2017). Freeman, Patricia, Geungu Yu, and Phillip Fuller. “Do Recent Changes in the Dow Jones Industrial Average Support the Price-Pressure Hypothesis.” Southwestern Economic Review (Spring 2007): 179-186, Available at SSRN: https://ssrn.com/abstract=2976956

Patricia Freeman

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Geungu Yu

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

Phillip Fuller (Contact Author)

Jackson State University ( email )

1400 John R. Lynch St
Jackson, MS 39217
United States

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