He used several models, naming those of Baberis et al.(2002) to conduct his research. According to the Category bases co-movement, an addition of a stock into the index should experience a beta increase. A stock deleted from the index should experience a beta decrease. The stocks that were added to the Nifty index experienced a statistically significant positive increase in the betas (slope co-efficient) post inclusion. The average beta change for the complete period is 0.14. After splitting his data set into different intervals, the interval of 1999-2006 had an increase in beta was 0.13 and the interval of 2007-2010 he noticed an increase beta of 0.15. The beta increase for both of these intervals was significant. For stocks deleted from the Nifty index Parthasarthy (2011) found an increased beta change, meaning that there was no evidence of decreased co-movement between deleted stocks and the Nifty index. In his research he used different methodologies naming those Vijh (1994), Barberis et al. (2002) to compare his results to. The deletions experienced a beta increase of 0.05, instead of a beta decrease. This, number was not statistically significant. The deletions were also divided into the same intervals as the additions, the results of these intervals were a beta increase of 0.07 for the first and 0.002 for the second interval. Again these numbers were not statistically significant, but surely different than the expected beta decrease such as in developed markets. Due to asymmetric response to additions and deletions the category view from Barberis et al. (2002) is not supported. Parthasarathy (2011) suggests that the Fundamental based model explains the Nifty index changes in the emerging Indian Stock market. The increased (decreased) co-movement may be either due to trading strategies of institutional investors post inclusion, or due to fundamental reasons. Parthasarathys results are more in line with the results of Chen et al (2003) who explains the beta increase due to investors awareness.
He used several models, naming those of Baberis et al.(2002) to conduct his research. According to the Category bases co-movement, an addition of a stock into the index should experience a beta increase. A stock deleted from the index should experience a beta decrease. The stocks that were added to the Nifty index experienced a statistically significant positive increase in the betas (slope co-efficient) post inclusion. The average beta change for the complete period is 0.14. After splitting his data set into different intervals, the interval of 1999-2006 had an increase in beta was 0.13 and the interval of 2007-2010 he noticed an increase beta of 0.15. The beta increase for both of these intervals was significant. For stocks deleted from the Nifty index Parthasarthy (2011) found an increased beta change, meaning that there was no evidence of decreased co-movement between deleted stocks and the Nifty index. In his research he used different methodologies naming those Vijh (1994), Barberis et al. (2002) to compare his results to. The deletions experienced a beta increase of 0.05, instead of a beta decrease. This, number was not statistically significant. The deletions were also divided into the same intervals as the additions, the results of these intervals were a beta increase of 0.07 for the first and 0.002 for the second interval. Again these numbers were not statistically significant, but surely different than the expected beta decrease such as in developed markets. Due to asymmetric response to additions and deletions the category view from Barberis et al. (2002) is not supported. Parthasarathy (2011) suggests that the Fundamental based model explains the Nifty index changes in the emerging Indian Stock market. The increased (decreased) co-movement may be either due to trading strategies of institutional investors post inclusion, or due to fundamental reasons. Parthasarathys results are more in line with the results of Chen et al (2003) who explains the beta increase due to investors awareness.
Simons%2C%20M.J.%20%28292791%29.docx