Additions to Market Indices and the Comovement of Stock Returns Around the World [electronic resource] Yafeh, Yishay.

Author/Creator:

Yafeh, Yishay.

Publication:

Washington, D.C. : International Monetary Fund, 2011.

Series:

IMF eLibrary
IMF Working Papers; Working Paper No. 11/47.
IMF Working Papers; Working Paper No. 11/47

Format/Description:

Government document
Book
1 online resource (34 p.)

Local subjects:

Asset Pricing.
Bond.
Common law tradition.
Equity market.
Equity markets.
Event Studies.
Financial economics.
Financial institutions.
Financial intermediation.
Financial markets.
Financial system.
Financial systems.
Information and Market Efficiency.
Institutional investors.
International Financial Markets.
Investment decisions.
Investment strategies.
Investors.
Mutual funds.
Nasdaq.
Portfolio Choice.
Rates of return.
Shares outstanding.
Stock exchange.
Stock exchange index.
Stock exchanges.
Stock indices.
Stock market.
Stock market index.
Stock market indices.
Stock markets.
Stock price.
Stock prices.
Stock returns.
Stock trading.
Total market capitalization.
Australia.
Canada.
Grenada.
Japan.
United Kingdom.

Summary:

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.

Notes:

Description based on print version record.

Contributor:

Claessens, Stijn.
Yafeh, Yishay.

Other format:

Print Version:

ISBN:

1455218952:
9781455218950

ISSN:

1018-5941

Publisher Number:

10.5089/9781455218950.001

Access Restriction:

Restricted for use by site license.

Online:

Connect to full text
http://hdl.library.upenn.edu/1017.12/1515325