EQUITY INVESTMENTS - Trading Patterns and Excess Comovement of Stock Returns - In April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the effects of index-linked trading on the excess comovement of stock returns. A large increase occurred in the correlation of trading volume of stocks added to the index with the volume of ...
| Year of publication: |
2007
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|---|---|
| Authors: | Greenwood, Robin M. ; Sosner, Nathan |
| Published in: |
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 63.2007, 5, p. 69-81
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