Additions to Market Indices and the Comovement of Stock Returns Around the World [electronic resource] Yafeh, Yishay.
- Washington, D.C. : International Monetary Fund, 2011.
- IMF eLibrary
IMF Working Papers; Working Paper No. 11/47.
IMF Working Papers; Working Paper No. 11/47
- Government document
1 online resource (34 p.)
- Local subjects:
- Asset Pricing.
Common law tradition.
Information and Market Efficiency.
International Financial Markets.
Rates of return.
Stock exchange index.
Stock market index.
Stock market indices.
Total market capitalization.
- 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, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information-related factors are also important in explaining the increased comovement.
- Description based on print version record.
- Claessens, Stijn.
- Other format:
- Print Version:
- Publisher Number:
- Access Restriction:
- Restricted for use by site license.
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