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The Index Effect at the Oslo Stock Exchange Benchmark Index

Danielsen, Lars Ulrik Skyvulstad; Sandvik, Edvard Bjerkengen
Master thesis
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URI
http://hdl.handle.net/11250/2621528
Date
2019
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  • Master of Science [1116]
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.
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Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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