How to order
IMF Publications

Working Papers in full text
2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All


Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile



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

Author/Editor: Claessens, Stijn | Yafeh, Yishay
Authorized for Distribution: March 1, 2011
Electronic Access: Free Full Text (PDF file size is 967KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

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.
 
Order a print copy
Series: Working Paper No. 11/47
Subject(s): Cross country analysis | Demand | International capital markets | Investment | Stock markets | Stock prices
Author's keyword(s): Index inclusion; stock price comovements; category | habitat and information theories; index-based investment
 
English  
    Published:   March 1, 2011        
            Format:   Paper
    Stock No:   WPIEA2011047   Pages:   34
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
Please address any questions about this title to publications@imf.org.