TY - JOUR T1 - Market Reactions to Changes in the S&P/TSX SmallCap Index JF - The Journal of Index Investing SP - 57 LP - 64 DO - 10.3905/jii.2014.5.2.057 VL - 5 IS - 2 AU - Ernest N. Biktimirov AU - Boya Li Y1 - 2014/08/31 UR - https://pm-research.com/content/5/2/57.abstract N2 - Stocks added to major indexes generally experience positive abnormal returns. However, researchers disagree on whether these abnormal returns are permanent or temporary, and offer competing explanations. We examine stock price and trading volume reactions to changes in the Canadian S&P/TSX SmallCap Index. Our primary finding is that significant changes in prices and trading volume occur for stocks added to or deleted from the S&P/TSX SmallCap Index. The effect depends on whether a stock is a pure addition or deletion as opposed to being shifted between S&P/TSX indexes.TOPICS: Mutual funds/passive investing/indexing, fundamental equity analysis, developed ER -