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Book Cover
Author Claessens, Stijn, author

Title Additions to market indices and the comovement of stock returns around the world / Stijn Claessens and Yishay Yafeh
Published [Washington, D.C.] : International Monetary Fund, [2011]
Online access available from:
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Description 1 online resource (35 pages)
Series IMF working paper, 2227-8885 ; WP/11/47
IMF working paper ; WP/11/47
Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Data Set, Empirical Approach and Basic Statistics; 1. Sample Composition.; 2. Variable Definitions and Sample Statistics; A. Basic Statistics on Post-inclusion Comovement across Countries; 3. Index Inclusion Effects -- Univariate Regressions; III. Demand-based vs. Information-based Explanations for Comovement; A. The Determinants of Changes in Comovement -- The Benchmark Regression; 4. Index Inclusion Effects -- Benchmark Multivariate Regressions; 1. Regression Coefficients on Year Dummies
9. Selected Summary Statistics on Deletions from Indices around the WorldV. Concluding Remarks; References; Footnotes
B. Tests of the Demand Based View of ComovementC. Presence of Index-Oriented Investors; 5. Post Inclusion Change in Firm-specific Daily Beta and the Presence of (Index-Prone) Institutional and Individual Investors; D. Tests of the Information-Diffusion View of Comovement; 6. Summary of Tests of the Information-Diffusion Theory of Comovement; IV. Robustness Tests and Extensions; A. Other Possible Determinants of Post-Inclusion Increased Comovement; 7. Post Inclusion Change in Firm-specific Beta Analyst Coverage and Changes in Liquidity; 8. Vijh's Liquidity Groups
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
Bibliography Includes bibliographical references
Subject Stock price indexes.
Stocks -- Prices.
Form Electronic book
Author Yafeh, Yishay, author
International Monetary Fund. Research Department, issuing body
ISBN 1283569809