Additions to market indices and the Comovement of stock returns around the world

Stijn Claessens, Yishay Yafeh

Research output: Working paper/preprintWorking paper


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 informatio
Original languageEnglish
Place of PublicationWashington, District of Columbia
PublisherInternational Monetary Fund
Number of pages34
ISBN (Electronic)9781455218950
StatePublished - 2011

Publication series

NameIMF Working Paper
PublisherInternational Monetary Fund

Bibliographical note

Description based upon print version of record.


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