Trading Patterns And Excess Comovement Of Stock Returns
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In April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the effects of index-linked tradin
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Relative to their weights in a value-weighted index, a number of stocks in Japan's Nikkei 225 stock index are overweighted by a factor of 10 or more. I document
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Pages: 59
Pages: 59
Type: BOOK - Published: 2009 - Publisher:
In April 2000, in one day, 30 stocks were replaced in the Nikkei 225 index in Japan. We analyze the change in comovement of returns of stocks added to and delet
Language: en
Pages: 36
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Type: BOOK - Published: 2011-03-01 - Publisher: International Monetary Fund
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
Language: en
Pages: 43
Pages: 43
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This paper investigates how individual investor trading can cause stock prices to move for reasons unrelated to fundamentals. We use a sample of dual-listed sto