Additions to Market Indices and the Comovement of Stock Returns Around the World

WPIEA2011047 Image
Price:  $18.00

Author/Editor: Yishay Yafeh, Stijn Claessens
Release Date: © March, 2011
ISBN : 978-1-45521-895-0
Stock #: WPIEA2011047
English
Stock Status: On back-order

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Description

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.

Taxonomy

Demand , Economic development , International capital markets , International financial system , Investment




More publications in this series: Working Papers


More publications by: Yishay Yafeh ; Stijn Claessens