Hau, Harald; Massa, Massimo; Peress, Joël - C.E.P.R. Discussion Papers - 2005
Do exchange rates react to exogenous capital movements? We explore this issue based on the redefinition of the MSCI international equity indices announced on 10 December 2000 and implemented in two steps on 30 November 2001 and 31 May 2002. The index changes implied major changes in the...