Date of Award


Document Type

Thesis - ECU Access Only


Edith Cowan University

Degree Name

Master of Business


Faculty of Business and Law

First Supervisor

Marilyn Clark-Murphy


In the 1970’s Managed Investment Funds began to source funds directly from the public for investment in the capital markets. The main selling feature of the funds was that they could accumulate a pool of investment capital which would then be invested to earn returns, through economies of scale, in excess of those that could be earned by the investors individually.

Investors in managed funds usually benchmark the performance of their investments, and by default the performance of the fund managers, against the returns available on the index. So that they may at least mimic the return on the index many fund managers will weight the assets in their portfolio to match that of the index.

The present study uses a raw return, a dividend adjusted return and a market model return to analyse the impact on investors returns of shares that either enter or exit Australia’s benchmark market index. The period of the study is between the introduction of the benchmark S&P ASX 200 Index in April 2000 and December 2004.

The present study finds conclusive evidence that the announcement of changes to the index does not contain any information of which the market is unaware. In fact there is strong evidence that investors begin to respond to potential changes in the in index constituents six months prior to the actual change.

These results differ significantly from those found in studies on the US and the UK markets and are of importance to those investors that attempt to track returns of the index.

The results of the present study also provide strong evidence of the dominance of the funds management industry in the Australian market. This has significance for the small investor who is trying to compete and manage their portfolio for themselves.

LCSH Subject Headings

Investment analysis - Australia

Portfolio management - Australia

Mutual funds - Australia

Stock exchanges - Australia