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Additions to Market Indices and the Comovement of Stock Returns Around the World

Additions to Market Indices and the Comovement of Stock Returns Around the World »

Source: Additions to Market Indices and the Comovement of Stock Returns Around the World

Volume/Issue: 2011/47

Series: IMF Working Papers

Author(s): Yishay Yafeh , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455218950

Keywords: Index inclusion, stock price comovements, category, habitat and information theories, index-based investment, investors, institutional investors, stock market, stock price, stock prices,

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms' returns experience an increase in comovement with the rest of the index, refle...

Additions to Market Indices and the Comovement of Stock Returns Around the World

Additions to Market Indices and the Comovement of Stock Returns Around the World »

Volume/Issue: 2011/47

Series: IMF Working Papers

Author(s): Yishay Yafeh , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

DOI: http://dx.doi.org/10.5089/9781455218950.001

ISBN: 9781455218950

Keywords: Index inclusion, stock price comovements, category, habitat and information theories, index-based investment, investors, institutional investors, stock market, stock price, stock prices,

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms' returns experience an increase in comovement with the rest of the index, refle...