Abstract

This study examines the effects index changes have on securities that are added to or deleted from the S&P 500 Index from 2000 to 2019. Furthermore, it attempts to examine the relationship between the price movement of securities around index changes (as measured by abnormal returns) and the growth in indexing. I find that the increase in indexing diminishes the addition (deletion) effect, which seems to contradict the price pressure hypothesis. Vijh and Wang (2022) argued that the increased indexing or institutional ownership in the S&P 400 Index contributes to the diminishing addition (deletion) effects. Ultimately, multiple forces are clearly at work when it comes to index changes.