Market Response to the Addition and Deletion of Participation Index : Evidence from Turkey

This paper investigates the impact of index additions (deletions) on the stock price and trading volume of the Participation-30 Index in Turkey, over the period April 2011 -June 2015, by using event study methodology. Results show that stock prices generally respond negatively to index additions and positively to index deletions during the research periods. Trading volumes of added and deleted stocks are affected positively in the announcement day; while the effective day exhibits the exact opposite behaviour. According to our findings, results of Participation-30 Index in Turkey are similar to the non-Muslim countries' results found in the previous studies.