The effects of index constituent changes to Borsa Istanbul’s BIST 100 and BIST 30 indices

Abstract

This thesis examines the quarterly index revisions of BIST 100 and BIST30 indices of Borsa Istanbul Stock Exchange and tries to capture the effects and implications of these events on the prices and the volumes of the revised stocks. The purpose of this study is to search the effects of being in the scope of BIST 100 or BIST 30 indices on the stock performance by using abnormal return and abnormal volume concepts with the event study method. It is examined for a total of 296 changes in BIST 100 index and a total of 96 changes in BIST 30 index for the period of 2009 through 2017. The results have shown that although both of the stocks that included to BIST 100 index and BIST 30 index have positive abnormal returns, the results are statistically insignificant. However, the stocks excluded from the indices have statistically significant negative abnormal returns. Nevertheless, the abnormal volumes exist with statistically significant results for both of the index composition change events.