The index effect at the oslo stock exchange benchmark index

Abstract

In this thesis we study the index effect at the Oslo Stock Exchange Benchmark Index (OSEBX) surrounding the reconstitution of the index that takes place two times a year. This done by calculating expected returns and abnormal returns for each constituent in the period 2002-2018. We also investigate abnormal trading volumes surrounding the reconstitution. We find that there is an index effect surrounding the dates securities are included to and excluded from OSEBX. We also draw practical implications from our results by using the constituents at each revision to construct trading strategies that beat the market portfolio in most of the reconstitutions.