A study on the impact of inclusions in and exclusions from S and p BSE strategy indices on stock prices and their sustainability during crises

Abstract

This study offers important new information about equity investment strategies, particularly in relation to the SandP BSE strategy indices. The study investigates three major aspects of the Indian stock market using SandP BSE strategy indices. It first analyses how investors react to announcements of inclusion into and exclusion from these indices, filling a gap in existing literature where no prior research has examined price effects for BSE strategy indices. It then evaluates the impact of major global crises COVID-19 and the Russia Ukraine war on the returns and volatility of these indices using GARCH models, highlighting how different investment strategies respond during turbulent periods. Finally, the study constructs and evaluates a multi-factor equity strategy index by combining low-volatility and value factors, comparing its performance with existing strategy indices to demonstrate the potential advantages of multi-factor investing. The findings are societally relevant in the domains of economic stability, financial literacy and decision-making frameworks for various stakeholders. newline