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Comovement and index fund trading effect: evidence from Japanese stock market

Author

Listed:
  • Hirofumi Suzuki

    (Sumitomo Mitsui Banking Corporation)

Abstract

We examine comovement in two famous Japanese stock indexes (the Nikkei 225 and the MSCI Japan) by employing the Barberis et al. (2005) methodology. First, we compare the equal-weighted Nikkei 225 with the value-weighted Nikkei 225 and find that the index fund trading effect is strong in the medium term. Second, we confirm that there is stronger comovement in the Nikkei 225 than in the MSCI Japan, which indicates the importance of "indexing demand."

Suggested Citation

  • Hirofumi Suzuki, 2015. "Comovement and index fund trading effect: evidence from Japanese stock market," Economics Bulletin, AccessEcon, vol. 35(2), pages 949-958.
    • Handle: RePEc:ebl:ecbull:eb-14-00303
    as

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    References listed on IDEAS

    as
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    4. Chakrabarti, Rajesh & Huang, Wei & Jayaraman, Narayanan & Lee, Jinsoo, 2005. "Price and volume effects of changes in MSCI indices - nature and causes," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1237-1264, May.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    comovement; Beta; Index inclusion;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General

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