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In the literature review, studies conducted specifically on city indices were not found; therefore, pioneering studies on stock market indexes, index returns, and stock returns were summarized from a wide scope perspective. Accordingly, in the case that any risk factor or a piece of information affected the stock markets, and this effect was determined as a gain above the market return, and if this effect occurred continuously in certain periods or moments, existence of an abnormal return was mentioned.
In his study, Shleifer (1986) identified an abnormal return for each stock that was announced as included in the Standard & Poor’s 500 index since September 1976. After this abnormal return was reflected in the indices, he found that this price movement continued for 10 days. This abnormal return incident causes all index funds to move upwards. On the other hand, he could not find a relationship between the emergence of abnormal returns and the disclosure of bond ratings.