Comovement and index fund trading effect: evidence from Japanese stock market

Hirofumi Suzuki ()
Additional contact information
Hirofumi Suzuki: Sumitomo Mitsui Banking Corporation

Economics Bulletin, 2015, vol. 35, issue 2, 949-958

Abstract: 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."

Keywords: comovement; Beta; Index inclusion (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
Date: 2015-04-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2015/Volume35/EB-15-V35-I2-P97.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-14-00303

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().