Existing research has examined return comovement phenomena that occur independently of fundamental value from an investor sentiment perspective and has presented results showing that behavioral finance biases of individual investors cause return comovement. However, in the case of benchmark index inclusion events, only the return comovement phenomenon has been documented, and verification from an investor sentiment perspective has not been conducted. Therefore, this study analyzes whether the return comovement resulting from KOSPI 200 index inclusion can be explained by investor sentiment from a behavioral finance perspective. Additionally, it examines which investors' trading behavior—among individual, institutional, and foreign investors—primarily causes return comovement. The main analytical results of this study are summarized as follows. First, consistent results are observed across all periods of 3 months (short-term) and 12 months (long-term) before and after KOSPI 200 index inclusion. In the group with the highest return comovement with existing KOSPI 200 index constituent stocks, the relevance of individual and institutional investors' trading behavior is the highest, and significant differences are observed compared to the group with the lowest return comovement. Second, the changes in beta and changes in individual and institutional investors' trading behavior for the 3-month and 12-month periods before and after index inclusion show significant positive (+) values. Furthermore, in the analysis targeting the post-inclusion period, beta increases significantly as the relevance of individual and institutional investors' trading behavior between existing index constituent stocks and newly included stocks increases. Therefore, return comovement resulting from index inclusion is primarily driven by the trading behavior of individual and institutional investors. In summary, the return comovement resulting from KOSPI 200 index inclusion is related not only to individual investors' trading behavior but also to institutional investors' trading behavior, yielding results that differ from events such as stock splits, and this phenomenon can be explained from the category and habitat perspectives of investor sentiment proposed by Barberis et al. (2005).