Comovement and FTSE 100 index changes

Jerry Coakley, Periklis Kougoulis and John C. Nankervis

International Journal of Behavioural Accounting and Finance, 2014, vol. 4, issue 2, 93-112

Abstract: We employ the Barberis et al. (2005) methodology to investigate the impact of changes to the FTSE 100 index on return comovement 1992-2002. For FTSE entries, the average weekly increase in the beta coefficient is 0.38 in univariate regressions and 0.60 in bivariate regressions that control for the return on non-FTSE stocks. Stocks deleted from the index display the opposite pattern post exit. The results are robust to a number of factors including size, industry and non-trading effects. They are difficult to explain within a classical framework but complement those found for the USA, Japan and Canada in supporting behavioural finance views of comovement.

Keywords: behavioural finance; style investment; index funds; comovement; FTSE 100. (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Working Paper: Comovement and FTSE 100 Index Changes (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbeaf:v:4:y:2014:i:2:p:93-112

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