The role of the S&P/TSX Composite Index constituents in tracking the Canadian equity market

Simple item page
dc.contributor.authorShams, Shirin
dc.contributor.authorUniversity of Lethbridge. Faculty of Management
dc.contributor.supervisorShamsul, Alam
dc.date.accessioned2015-06-29T20:01:04Z
dc.date.available2015-06-29T20:01:04Z
dc.date.issued2015-06-29
dc.degree.levelMastersen_US
dc.description.abstractIn this study, we examine whether flexibility in stocks addition to and deletion from the S&P/TSX Composite Index enhanced its ability to act as a performance benchmark and represent the Canadian equity market. In May 2002, the first major change happened to the TSE 300 Index and the TSE 300 Index was converted to S&P/TSX Composite Index. Consequently, along with the new inclusion criteria the number of Index’s constituents were not forced to be exactly 300. To compare the Index’s two functions before and after the change, this study utilizes data from the 1992-2011 sample period. Our results suggest that the Index’s returns better replicates the equity market’s returns after May 2002 because the committee were able to add higher performing stocks and delete the poor performing ones. Furthermore, the Index represents the equity market better after the change mainly due to the higher capitalization of the survived stocks.en_US
dc.embargoNoen_US
dc.identifier.urihttps://hdl.handle.net/10133/3708
dc.language.isoen_CAen_US
dc.proquest.subject0508en_US
dc.proquest.subject0454en_US
dc.proquest.subject0501en_US
dc.proquestyesYesen_US
dc.publisherLethbridge, Alta. : University of Lethbridge, Faculty of Management
dc.publisher.facultyManagementen_US
dc.relation.ispartofseriesThesis (University of Lethbridge. Faculty of Management)
dc.subjectaddition/deletion events
dc.subjectindex performance
dc.subjectS&P/TSX Composite Index
dc.subjectTSE 300 Index
dc.titleThe role of the S&P/TSX Composite Index constituents in tracking the Canadian equity marketen_US
dc.typeThesisen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
SHAMS_SHIRIN_MSC_2015.pdf
Size:
970.95 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Business, Dhillon School of
University of Lethbridge Theses