• DOI:10.1093/RFS/HHM052
Corpus ID: 153354266

Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights

@article{Greenwood2008ExcessCO,
  title={Excess Comovement of Stock Returns: Evidence from Cross-Sectional Variation in Nikkei 225 Weights},
  author={R. Greenwood},
  journal={Review of Financial Studies},
  year={2008},
  volume={21},
  pages={1153-1186}
}

• R. Greenwood
• Published 2008
• Economics
• Review of Financial Studies

Relative to their weights in a value-weighted index, a number of stocks in Japan's Nikkei 225 stock index are overweighted by a factor of 10 or more. I document a strong positive relation between overweighting and the comovement of a stock with other stocks in the Nikkei index, and a negative relationship between index overweighting and comovement with stocks outside of the index. The cross-sectional approach resolves endogeneity problems associated with event study demonstrations of excess… Expand

View via Publisher

Save to Library

Create Alert

Cite

Launch Research Feed