The Market Reaction to Changes in the Brazilian Stock Exchange Indexes
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Abstract
This study investigates the price and volume behavior of stock added and excluded to the IBOVESPA, IBrX50, and IBrX100 indexes during the years 1994 to 2002 and FGV100 index during the years 2000 to 2002. In contrast to findings in the US, we find no evidence of abnormal returns around the announcement of changes in the IBOVESPA. We find short-term positive abnormal return to stocks added to the IBOVESPA and IBrX50. There is evidence of negative cumulative returns for stocks excluded from the indexes. We also find positive abnormal trade volume on the date before the stocks were added to the IBOVESPA index.
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