The Impact of Changes in the FTSE 100 Index
نویسندگان
چکیده
منابع مشابه
Comovement and FTSE 100 Index Changes
We employ the Barberis, Shleifer and Wurgler (2004) methodology to investigate the impact of changes to the FTSE 100 index on return comovement over the 1992-2002 period. For FTSE stock inclusions the average increase in the beta coe¢ cient is 0.38 in univariate regressions for weekly returns and 0.60 in bivariate regressions that control for the return on non-FTSE stocks. Stocks deleted from t...
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ژورنال
عنوان ژورنال: The Financial Review
سال: 2007
ISSN: 0732-8516,1540-6288
DOI: 10.1111/j.1540-6288.2007.00179.x