Index Effects: Further Evidence for the S&P/ASX 200

Studies of index effects were first conducted of changes to the SP (i) that index effects of additions to, and deletions from, the S&P/ASX200 are smaller than those for the S&P500, (ii) the positive abnormal returns for additions to the S&P/ASX200 on announcement dates increased on a cumulative basis up to implementation dates, when the returns trended downwards, (iii) the negative abnormal returns for deletions found on announcement dates began to reverse after implementation dates and subsequently became positive, and (iv) these return effects were accompanied by elevated trading volumes.