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Index Revision and Firm Size Effect

Any stock market index represents the general movement in the market. The indices are regularly revised and updated in terms of exclusion of some firms and inclusion of more eligible firms. Previous studies have produced evidence that the market reacts strongly to these additions and deletions. Although these revisions are done according to previously decided and well laid down policies, there is still strong evidence of price pressure present. However our focus in this paper is not to document the evidence of price pressure but to study the impact of the revision process on the different sizes of firms. The total sample has been divided into three portfolios: small, medium and large depending on firm size. The reaction of these portfolios, to inclusion and exclusion from the index, has been studied using the standard event study methodology.