earticle

영어

This study is about to empirically investigate the stock prices and volumes effects associated with addition to the SRI index. Using the 89 listed firms in the stock market from 2009 to 2011, the author analyze the stock prices and volumes by an event study. The results are summarized as follows. Firstly, it has come out that the informations on addition to the SRI index can positively affect in the market, but the price rollback has been founded at the next day after the change-day. This results may support the price pressure hypothesis. Secondly, it was observed that the excess volumes of the firms incorporated into the index were the high level in a short term, but these were not lasted on in a long term. Thirdly, the change rates of volume were higher than those of the disclosure days, but not in a long term. Consequently, the author are able to embrace the price pressure hypothesis, and furthermore the liquidity hypothesis can be also adopted because the stock prices rose up and the volumes increased for a short period of time. However the stock prices were not rising up for a long time so that it can be not adopt the downward-sloping demand curve hypothesis and the information hypothesis.