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Comovement and FTSE 100 Index Changes

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Author Info

  • Jerry Coakley

    (University of Essex)

  • Periklis Kougoulis

    (University of Essex)

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File URL: http://repec.org/mmfc04/11.pdf
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Bibliographic Info

Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2004 with number 11.

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Date of creation: 17 Sep 2004
Date of revision:
Handle: RePEc:mmf:mmfc04:11

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Web page: http://www.essex.ac.uk/afm/mmf/index.html

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References

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  1. Nicholas Barberis & Andrei Shleifer, 2000. "Style Investing," NBER Working Papers 8039, National Bureau of Economic Research, Inc.
  2. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
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Cited by:
  1. Yishay Yafeh & Stijn Claessens, 2011. "Additions to Market Indices and the Comovement of Stock Returns Around the World," IMF Working Papers 11/47, International Monetary Fund.

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