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Market Behavior Around Stock Index Revisions

The purpose of this paper is to investigate the price and volume reactions around stock index revisions. This study uses CAC40 intraday data in the pre and post index revision periods comprised between 1992 and 2001. The impact of index additions or deletions can be interesting from a theoretical as well as from a practical viewpoint. Firstly, the Price Pressure Hypothesis (PPH) can be tested against the Liquidity Cost Hypothesis (LCH) and the Information Content Hypothesis (ICH). Finally, results of the study can help dealers to choose the best moment to buy/sell concerned securities.