Honghui Chen, Vijay Singal and Robert F. Whitelaw, “Comovement Revisited” June 2015, SSRN #2619736.
The often cited paper on comovement is Nicholas Barberis, Andrei Shleifer and Jeffrey Wurgler, “Comovement,” 75 Journal of Financial Economics (2005)
This article was written by David Blitzer, chairman of the index committee, S&P Dow Jones Indices.
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