Series: IMF Working Papers
Author(s): Yishay Yafeh , and Stijn Claessens
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2011
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...