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
Author :
Publisher : International Monetary Fund
Total Pages : 36
Release :
ISBN-10 : 9781455218950
ISBN-13 : 1455218952
Rating : 4/5 (952 Downloads)

Book Synopsis Additions to Market Indices and the Comovement of Stock Returns Around the World by : Yishay Yafeh

Download or read book Additions to Market Indices and the Comovement of Stock Returns Around the World written by Yishay Yafeh and published by International Monetary Fund. This book was released on 2011-03-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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