Front Matter
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Front Matter Page

Research Department


  • I. Introduction

  • II. The Data Set, Empirical Approach and Basic Statistics

    • A. Basic Statistics on Post-inclusion Comovement across Countries

  • III. Demand-based vs. Information-based Explanations for Comovement

    • A. The Determinants of Changes in Comovement – The Benchmark Regression

    • B. Tests of the Demand Based View of Comovement

    • C. Presence of Index-Oriented Investors

    • D. Tests of the Information-Diffusion View of Comovement

  • IV. Robustness Tests and Extensions

    • A. Other Possible Determinants of Post-Inclusion Increased Comovement

  • V. Concluding Remarks

  • Table

  • 1. Sample Composition.

  • 2. Variable Definitions and Sample Statistics

  • 3. Index Inclusion Effects – Univariate Regressions

  • 4. Index Inclusion Effects – Benchmark Multivariate Regressions

  • 5. Post Inclusion Change in Firm-specific Daily Beta and the Presence of (Index-Prone) Institutional and Individual Investors

  • 6. Summary of Tests of the Information-Diffusion Theory of Comovement

  • 7. Post Inclusion Change in Firm-specific Beta Analyst Coverage and Changes in Liquidity

  • 8. Vijh’s Liquidity Groups

  • 9. Selected Summary Statistics on Deletions from Indices around the World

  • Figure

  • 1. Regression Coefficients on Year Dummies

  • References

Additions to Market Indices and the Comovement of Stock Returns Around the World
Author: Yishay Yafeh and Mr. Stijn Claessens