Comovement and FTSE 100 index changes
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- Jerry Coakley & Periklis Kougoulis, 2004. "Comovement and FTSE 100 Index Changes," Money Macro and Finance (MMF) Research Group Conference 2004 11, Money Macro and Finance Research Group.
References listed on IDEAS
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Cited by:
- Khelifa Mazouz & Abdulkadir Mohamed & Brahim Saadouni, 2019. "Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index," Journal of Business Ethics, Springer, vol. 154(3), pages 683-699, February.
- Ahmed Rakha & Hansi Hettiarachchi & Dina Rady & Mohamed Medhat Gaber & Emad Rakha & Mohammed M. Abdelsamea, 2021. "Predicting the Economic Impact of the COVID-19 Pandemic in the United Kingdom Using Time-Series Mining," Economies, MDPI, vol. 9(4), pages 1-19, September.
- Chu, Gang & Goodell, John W. & Li, Xiao & Zhang, Yongjie, 2021. "Long-term impacts of index reconstitutions: Evidence from the CSI 300 additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
- Claessens, Stijn & Yafeh, Yishay, 2008.
"Additions to Market Indices and the Comovement of Stock Returns around the World,"
CEPR Discussion Papers
7052, C.E.P.R. Discussion Papers.
- Yishay Yafeh & Mr. Stijn Claessens, 2011. "Additions to Market Indices and the Comovement of Stock Returns Around the World," IMF Working Papers 2011/047, International Monetary Fund.
- Li, Jie & Zhang, Yongjie & Feng, Xu & An, Yahui, 2019. "Which kind of investor causes comovement?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 1-15.
- Khelifa Mazouz & Brahim Saadouni, 2007. "The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 501-510.
- Su, Fei & Wang, Xinyi, 2021. "Investor co-attention and stock return co-movement: Evidence from China’s A-share stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Mazouz, Khelifa & Saadouni, Bharim, 2007. "New evidence on the price and liquidity effects of the FTSE 100 index revisions," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 223-241.
- Mazouz, Khelifa & Daya, Wael & Yin, Shuxing, 2014. "Index revisions, systematic liquidity risk and the cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 283-298.
- Mazouz, Khelifa & Mohamed, Abdulkadir & Saadouni, Brahim, 2016. "Stock return comovement around the Dow Jones Islamic Market World Index revisions," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 50-62.
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Keywords
behavioural finance; style investment; index funds; comovement; FTSE 100.;All these keywords.
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