摘要：There is no agreement on the possible abnormal returns of stocks included or delisted from the stock exchange indexes. The existence of positive returns for inclusions and negative for exclusions has been found in some research, but others deny it. In the Spanish case, most studies have shown this trend, but they might be obsolete as they are too old and focus in the years before financial crisis started. This paper aims to study the importance for stock prices of an inclusion or exclusion of any selective index. In particular, it analyzes the Spanish Ibex 35 from 2005 to 2009 with a different time horizon, from 15 days before the announcement until 15 days after the change is effective. The results showed that most of the stocks included in the Ibex 35 tend to get positive returns, which however is not greater on average than the cumulative negative return of the companies in which the price falls. Similarly, in the case of exclusions, although most of them show a price decrease, their cumulative negative return is not much higher than the positive accumulated return by the rest of the stocks. This could be a consequence of the financial crisis scenario which is changing patterns.
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