01782cas a2200253 a 4500 AALejournalIMF007072 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455218950 1018-5941 BD-DhAAL BD-DhAAL Yafeh, Yishay. Additions to Market Indices and the Comovement of Stock Returns Around the World / Yishay Yafeh, Stijn Claessens. Washington, D.C. : International Monetary Fund, 2011. 1 online resource (34 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Claessens, Stijn. IMF Working Papers; Working Paper ; No. 2011/047 Full text available on IMF http://elibrary.imf.org/view/journals/001/2011/047/001.2011.issue-047-en.xml IMF e-Library