Applications of Computational Verbs to the Study of the Effects of Russell’s Annual Index Reconstitution on Stock Markets
نویسنده
چکیده
At the end of June each year, the Russell indexes are reconstituted. Around the Russell reconstitution date, the Russell indexes appear to have some well-formed patterns called Russell rebalance patterns. In this paper, I will use computational verb theory to verify the existence of such stock market pattern and provide a quantitatively way for the scrutiny of similar patterns. The main contributions of this paper are: 1. The Russell 2000 rebalance pattern; namely, increase before Russell rebalance date and peak afterward is verified. 2. Find a less risky market pattern in Russell 1000; namely, peak after Russell rebalance date. Copyright c © 2006 Yang’s Scientific Research Institute, LLC. All rights reserved.
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