文章基本信息

标题：Comovement and index fund trading effect: evidence from Japanese stock market
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作者：Hirofumi Suzuki
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2015
卷号：35
期号：2
出版社：Economics Bulletin
摘要：We examine comovement in two famous Japanese stock indexes (the Nikkei 225 and the MSCI Japan) by employing the Barberis et al. (2005) methodology. First, we compare the equal-weighted Nikkei 225 with the value-weighted Nikkei 225 and find that the index fund trading effect is strong in the medium term. Second, we confirm that there is stronger comovement in the Nikkei 225 than in the MSCI Japan, which indicates the importance of "indexing demand."
关键词：comovement ; Beta ; Index inclusion