The 2000 implementation of float-capitalization index weights in the Dow Jones STOXXSM indices changed the demand for large European stocks. In this paper, we test for imperfect-substitution and price-pressure effects due to the change in the demand for stocks. Our results show that we cannot...

The 2000 implementation of float-capitalization index weights in the Dow Jones STOXX-super-SM indices changed the demand for large European stocks. In this paper, we test for imperfect-substitution and price-pressure effects due to the change in the demand for stocks. Our results show that we...