بررسی واکنش بازار نسبت به ورود به یا خروج از فهرست شاخص پنجاه شرکت فعالتر در بورس اوراق بهادار تهران

The purpose of this research is to investigate the impacts of changes (inclusion & exclusion) in the index of top 50 active companies in tehran stock exchange on the price and trading volume of these companies. we use the event study methodology & analyze data of 165 firm-year within period of first quarter of year 1382 to first quarter of year 1391. results indicate that market do not show significant price reaction to changes in the list of top 50 active companies. however, results of analyzing abnormal stock trading volume and bid-ask spread difference show changes in assets’ liquidity due to inclusions and exclusions. we also compare systematic risk and idiosyncratic risk, before and after the announcement day. results show that systematic risk of these companies has not changed in both inclusions and exclusions events before and after announcement. in other words, the announcement of inclusions and exclusions do not have effect on systematic risk. about idiosyncratic risk, there is no significant difference between before and after the announcement of inclusion in the index, but in exclusion events, the idiosyncratic risk before the announcement is more than the idiosyncratic risk after the announcement. also exclusion event has decreased the idiosyncratic risk.