FTSE 100 and FTSE 250 Quarterly Review – December 2016

After market close on 30 November 2016 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 16 December 2016 and take effect from the start of trading on Monday, 19 December 2016.

FTSE 100

Joining: ConvaTec Group [CTEC],  Smurfit Kappa [SKG]

Leaving: Polymetal International [POLY], Travis Perkins [TPK]

FTSE 250

Joining: Ferrexpo [FXPO], NewRiver REIT [NRR], Nostrum Oil & Gas [NOG], Polymetal International [POLY], Travis Perkins [TPK]

Leaving: Countrywide [CWD], DFS Furniture [DFS], Laird [LRD], NCC Group [NCC], Smurfit Kappa [SKG]

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FTSE 100 and FTSE 250 Quarterly Review – September 2016

After market close on 31 August 2016 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 16 September 2016 and take effect from the start of trading on Monday, 19 September 2016.

FTSE 100

Joining: Polymetal International [POLY]

Leaving: Berkeley Group [BKG]

FTSE 250

Joining: Berkeley Group Holdings [BKG], GVC Holdings [GVC], Hunting [HTG]

Leaving: Polymetal International [POLY], Pendragon [PDG], Circassia Pharmaceuticals [CIR]

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FTSE 100 and FTSE 250 Quarterly Review – June 2016

After market close on 1 June 2016 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 17 June 2016 and take effect from the start of trading on Monday, 20 June 2016.

FTSE 100

Joining: Hikma Pharmaceuticals [HIK]

Leaving: Inmarsat [ISAT]

FTSE 250

Joining: Ascential [ASCL], CMC Markets [CMCX], Countryside Properties [CSP], CYBG [CYBG], Hill & Smith Hldgs [HILS], Metro Bank [MTRO], Smurfit Kappa Group [SKG]

Leaving: Highbridge Multi-Strategy Fund [HMSF], Interserve [IRV], Jimmy Choo [CHOO], Lookers [LOOK], Melrose Industries [MRO], Northgate [NTG], Ophir Energy [OPHR]

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FTSE 100 and FTSE 250 Quarterly Review – March 2016

After market close on 2 March 2016 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 18 March 2016 and take effect from the start of trading on Monday, 21 March 2016.

FTSE 100

Joining: Informa [INF], Mediclinic International [MDC], Morrison (Wm) Supermarkets [MRW] and Paddy Power Betfair [PPB]

Leaving: Aberdeen Asset Management [ADN], Hikma Pharmaceuticals [HIK], Smiths Group [SMIN] and Sports Direct International [SPD]

FTSE 250

Joining: Kaz Minerals [KAZ], McCarthy & Stone [MCS], Paysafe Group [PAYS], Softcat [SCT]

Leaving: 888 Holdings [888], Enterprise Inns [ETI], Nostrum Oil & Gas [NOG], Poundland Group [PLND]

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FTSE 100 and FTSE 250 Quarterly Review – December 2015

After the close on 2 December 2015 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 18 December 2015 and take effect from the start of trading on Monday, 21 December 2015.

FTSE 100

Joining: DCC, Provident Financial, Worldpay Group

Leaving: G4S, Meggitt, Morrison (Wm) Supermarkets

FTSE 250

Joining: Assura, Hastings Group Holdings, Ibstock, Renewables Infrastructure Group

Leaving: Foxtons Group, Hunting, Kaz Minerals, Petra Diamonds, Premier Oil

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FTSE 250 index reviews

Every quarter the FTSE set of indices (incl. FTSE 100 and FTSE 250 indices) are reviewed and the component stocks changed if required.

Elsewhere we have looked at the impact on the share prices of companies entering or leaving the FTSE 100 Index, here we look at the FTSE 250 Index.

Companies leaving the FTSE 250 Index

The charts below show the share price behaviour of nine companies that left the FTSE 250 Index (relegated to the FTSE Small Cap Index, not promoted to the FTSE 100 Index). The time period for each chart is 30 trading days, starting from 15 days before the index review announcement. The vertical line in each chart indicates the announcement day of the company leaving the index (this is the date under the company name).

FTSE 250 index reviews – companies leaving the index

It can be seen that, in most cases, the share price falls (quite sharply in some cases) in the few days immediately before the index review announcement, then rises in the few days following the announcement, and then falls again five or six days after the announcement.

Companies joining the FTSE 250 Index

The charts below show the share price behaviour of nine companies that joined the FTSE 250 Index (promoted from the FTSE Small Cap Index, not relegated from the FTSE 100 Index). As above, the time period for each chart is 30 trading days, starting from 15 days before the index review announcement. The vertical line in each chart indicates the announcement day of the company joining the index (this is the date under the company name).

FTSE 250 index reviews – companies joining the index

It can be seen that, in most cases, the share price rises in the six to ten days before the announcement; following which the price either trades flat or falls back.


Extract taken from The UK Stock Market Almanac 2015.

Order your copy of the new 2016 edition now!

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FTSE 100 and FTSE 250 Quarterly Review – June 2015

After the close on 3 June 2015 FTSE Russell confirmed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 19 June 2015 and take effect from the start of trading on Monday, 22 June 2015.

FTSE 100

Joining: Inmarsat

Leaving: Aggreko

FTSE 250

Joining: Aldermore Group, Auto Trader Group, B&M European Value Retail, John Laing Group, Onesavings Bank, Shawbrook Group, Wizz Air Holdings, Woodford Patient Capital

Leaving: BlackRock World Mining Trust, De La Rue, Imagination Technologies Group, Infinis Energy, Law Debenture Corp, Personal Assets Trust, RPS Group, Soco International

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FTSE 100 and FTSE 250 Quarterly Review – March 2015

After the close on 4 March 2015 the FTSE Group confimed the following changes to the FTSE 100 and FTSE 250 indices. The changes will be implemented at the close Friday, 20 March 2015 and take effect from the start of trading on Monday, 23 March 2015.

FTSE 100

Joining: Hikma Pharmaceuticals

Leaving: Tullow Oil

FTSE 250

Joining: AA, Imagination Technologies Group, Virgin Money Holdings

Leaving: Afren, Game Digital, Oxford Instruments

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Stock Index changes (other indices) – paper review

Previously, we have reviewed the academic literature on index changes for the FTSE 100 and S&P 500 indices; here we present a brief review and listing of academic papers on other indices.

This article presents a brief review and listing of academic papers on stock index changes.


Generally, most of the papers found similar effects for companies added to or deleted from indices as has previously been reported for the S&P 500 and FTSE 100 indices. Namely, shares experience positive abnormal returns and increased trading volumes following the announcement of their addition to an index.

An exception was Beneish and Gardner (1995) who found that share prices and volumes were not affected for new DJIA companies (probably due to a lack of index funds associated with the DJIA) although shares saw big falls when deleted from the index.

Shankar and Miller (2006) found that shares experienced greater increases (declines) when companies were introduced (deleted) from the series of S&P indices, than those companies that just moved between S&P indices.

One of the greatest points of difference is whether the index change effects on shares are permanent or temporary. The papers finding the effects permanent were: Hacbedel (2007) with respect to the MSCIEM, and Liu (2011) for the Nikkei 225. While those finding the effects temporary were: Shankar and Miller (2006) for the S&P SmallCap 600 Index,  Chakrabarti, Huang, Jayaraman and Lee (2005) for the MSCI indices, and Biktimirov, Cowan and Jordan (2004) for the Russell 2000.


INDEX (of papers listed below)

[Papers listed in reverse date order; indicates major paper.]

  1. What Happens When a Stock is Added to the Nasdaq-100 Index? What Doesn’t Happen? [2014]
  2. Market reactions to changes in the Nasdaq 100 Index [2013]
  3. Regression Discontinuity and the Price Effects of Stock Market Indexing [2013]
  4. The price effects of index additions: A new explanation [2011]
  5. Does Inclusion in a Smaller S&P Index Create Value? [2010]
  6. Why Do Index Changes Have Price Effects? [2007]
  7. Market Reaction to Changes in the S&P SmallCap 600 Index [2006]
  8. Price and volume effects of changes in MSCI indices – nature and causes [2005]
  9. Do Demand Curves for Small Stocks Slope Down? [2004]
  10. Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List [1995]



What Happens When a Stock is Added to the Nasdaq-100 Index? What Doesn’t Happen?
Authors [Year]: Susana Yu, Gwendolyn P. Webb, Kishore Tandon [2014]
Journal [Citations]:
Abstract: Additions to the Nasdaq-100 Index are based primarily on market capitalization rather than on judgments about a firm’s stature in its industry. We analyze abnormal returns upon announcement that a stock will be added to the Nasdaq-100 Index in a multivariate analysis that incorporates several possible alternative factors. We find that only liquidity variables are significant, but that factors representing feedback effects on the firm’s operations and level of managerial effort are not. This evidence suggests that additions to the Nasdaq-100 Index are associated with liquidity benefits but not with certification effects of the type associated with additions to the S&P indexes.
Ref: BA006


Market reactions to changes in the Nasdaq 100 Index
Authors [Year]: Ernest N. Biktimirov and Yuanbin Xu [2013]
Journal [Citations]:
Abstract: We examine stock market reactions to changes in the Nasdaq 100 index. We find asymmetric price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq 100 Index experience significant increases ininstitutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq 100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results provide support for the liquidity hypothesis.
Ref: AA723

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Index changes (S&P 500) – paper review

The S&P 500 Index Effect describes the tendency for companies joining the S&P 500 Index to experience a positive and permanent impact on their share prices and betas.

Academic research on the topic has addressed:

  1. Whether the effect actually exists and, if it does, if the effect is symmetric (i.e. do companies leaving the index experience a fall in price and beta), and whether the effect is permanent.
  2. What causes the effect
  3. Are these S&P 500  index changes information-free events
  4. The effect on index funds

This article presents a brief review and listing of academic papers on the S&P 500 Index Effect.


1. Form of the effect

The following papers found that the share prices of companies joining the S&P 500 Index experienced positive abnormal returns and that this effect was permanent: Beneish and Whaley (1997), Beneish and Whaley (2002), Chen, Noronha and Singal (2004), Cai (2007), Kappou, Brooks and Ward (2008) and Hrazdil and Scott (2009).

While some found the effect on price only temporary: Harris and Gurel (1986), Lynch and Mendenhall (1997) and Pruitt and Wei (1989).

Some found the effect asymmetric, whereby prices did not fall for companies leaving the S&P 500: Chen, Noronha and Singal (2004) and Zhou (2011).

After inclusion in the index these papers found that comovement (beta) increased: Barberis, Shleifer and Wurgler (2005), Kasch and Sarkar (2011) and Kasch and Sarkar (2012).

2. Causes of the effect

Several possible causes for the effect have been proposed-

The excess demand is due to indexing in the presence of downward sloping demand curves: Shleifer (1986), Beneish and Whaley (1996), Lynch and Mendenhall (1997) and Wurgler and Zhuravskaya (2002).

The bid-ask spread decreases which results in improved liquidity: Hegde and McDermott (2003) and Erwin and Miller (1998) .

Investor awareness increases: Dhillon and Johnson (1991), Chen, Noronha and Singal (2004), Elliott, Van Ness, Walker and Wan (2006) and Xie (2013).

Analyst coverage increases: Kalok Chan and Hung Wan Kot and Gordon Y.N. Tang (2013).

Operating performance of the companies improves: Denis, McConnell, Ovtchinnikov and Yu (2003), Kalok Chan and Hung Wan Kot and Gordon Y.N. Tang (2013), Jain (1987) and Dhillon and Johnson (1991).

3. An information-free event?

The following found that inclusion in the S&P 500 Index was not an information-free event: Geppert, Ivanov and Karels (2011), Gygax and Otchere (2010), Cai (2007) and Denis, McConnell, Ovtchinnikov and Yu (2003).

4. The effect on index funds

The following papers looked at the effect of index changes on index funds: Madhavan and Ming (2002), Chen, Noronha and Singal (2006), Dunham and Simpson (2010), Kappou, Brooks and Ward (2010) and Green and Jame (2011).

INDEX (of papers listed below)

[Papers listed in reverse date order; indicates major paper.]

  1. Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter? [2013]
  2. A comprehensive long-term analysis of S&P 500 index additions and deletions [2013]
  3. Media coverage, analyst recommendation upgrade and information content of inclusions into S&P indexes [2013]
  4. Is There an S&P 500 Index Effect? [2012]
  5. An examination of the information content of S&P 500 index changes: Analysis of systematic risk [2011]
  6. Strategic trading by index funds and liquidity provision around S&P 500 index additions [2011]
  7. Comovement Revisited [2011]
  8. Asymmetric Changes in Stock Prices and Investor Recognition Around Revisions to the S&P 500 Index [2011]
  9. Do Index Fund Managers Trade Opportunistically Around Index Changes? An Empirical Examination of S&P 500 Index Funds [2010]
  10. Analysis of the probability of deletion of S&P 500 companies: Survival analysis and neural networks approach [2010]
  11. S&P 500 Index Inclusions and Analysts’ Forecast Optimism [2010]
  12. The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume [2010]
  13. Index composition changes and the cost of incumbency [2010]
  14. S&P 500 Index Revisited: Do Index Inclusion Announcements Convey Information about Firms’ Future Performance? [2009]
  15. The Effect of Demand on Stock Prices: Evidence from the S&P Index Float Adjustment [2008]
  16. A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500′s ‘gold seal’ [2008]
  17. What’s in the News? Information Content of S&P 500 Additions [2007]
  18. What Drives the S&P 500 Inclusion Effect? An Analytical Survey [2006]
  19. Index Changes and Losses to Index Fund Investors [2006]
  20. The addition and deletion effects of the standard & poor’s 500 index and its dynamic evolvement from 1990 to 2002: demand curves, market efficiency, information, volume and return [2006]
  21. Comovement [2005]
  22. The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation [2004]
  23. The liquidity effects of revisions to the S&P 500 index: an empirical analysis [2003]
  24. Price Pressure on the NYSE and Nasdaq: Evidence from S&P 500 Index Changes [2003]
  25. S&P 500 Index Additions and Earnings Expectations [2003]
  26. S&P 500 Index Replacements [2002]
  27. The Hidden Costs of Index Rebalancing: A Case Study of the S&P 500 Composition Changes of July 19, 2002 [2002]
  28. Does Arbitrage Flatten Demand Curves for Stocks? [2002]
  29. Price Effects of Addition or Deletion from the Standard & Poor’s 500 Index: Evidence of Increasing Market Efficiency [2001]
  30. The liquidity effects associated with addition of a stock to the S&P 500 index: evidence from bid/ask spreads [1998]
  31. A Scorecard from the S&P Game [1997]
  32. New Evidence on Stock Price Effects Associated with Charges in the S&P 500 Index [1997]
  33. An Anatomy of the “S&P Game”: The Effects of Changing the Rules [1996]
  34. Changes in the Standard and Poor’s 500 List [1991]
  35. Institutional Ownership and Changes in the S&P 500 [1989]
  36. The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500 [1987]
  37. Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures [1986]
  38. Do Demand Curves for Stocks Slope Down? [1986]
  39. Does Delisting from the S&P 500 Affect Stock Price? [1986]


Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?
Authors [Year]: Yangyang Chen and Constantine Koutsantony and Cameron Truong and Madhu Veeraraghavan [2013]
Journal [Citations]: Journal of International Financial Markets, Institutions and Money, 23, pp379–401
Abstract: This study investigates the stock price response to Standard & Poor’s (S&P) 500 index inclusions during the period 1996–2010 and the role of options listings and options trading volume with regard to the information content of index inclusion announcements. Specifically, we address the following questions: (1) Is the magnitude of abnormal returns from the announcements of S&P 500 inclusions significantly lower for stocks with options listings? and (2) Is the magnitude of abnormal returns from the announcements of S&P 500 inclusions significantly lower for stocks with a high level of options trading volume? Our findings indicate that options listings themselves are not related to the magnitude of abnormal returns from the announcements of S&P 500 inclusions. We also find that greater levels of options trading volume do not convey private information about the S&P 500 index changes. We document that any measurable impact of options trading on the stock price response to S&P 500 inclusion announcements lies primarily in the level of abnormal options trading volume in the period immediately preceding the announcements.
Ref: AA645

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