The Impact of Dow Jones Index Additions and Deletion : The 2004 Case
Beneish and Gardner (1995) examined the impact on stocks that were either added to or removed from the Dow Jones Industrial Averages ((DJIA) based on data from 1929 through 1988. They implied that the price-pressure hypothesis (PPH) can be supported with the deletions, but not the additions. However, examining the impact of the changes to the DJIA that occurred in April 2004, we found no significant evidence for the PPH either with the additions or with the deletions for the -1 to 1 time period. The study is inconclusive as to the impact of the DJIA additions or deletions on trading volume