The MSCI-Canada index rebalancing and excess comovement
Jerry Coakley,
Periklis Kougoulis and
J. C. Nankervis
Applied Financial Economics, 2008, vol. 18, issue 16, 1277-1287
Abstract:
Major changes to the MSCI Canada Standard Country index were announced and implemented in May 2000. This rebalancing involved the addition of some 17 and deletion of 13 stocks and had the net effect of increasing the market capitalization by US$50 billions. We investigate the associated changes in stock return comovement around this event on the Toronto Stock Exchange, the third largest North American exchange. We find that the average beta of the added stocks increases by as much as a factor of 1.6 while the average R2 increases by up to 5%. Robustness tests indicate the results are not driven by nonsynchronous trading.
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100701537722 (text/html)
Access to full text is restricted to subscribers.
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:taf:apfiec:v:18:y:2008:i:16:p:1277-1287
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/09603100701537722
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().