Abstract
The purpose of this study is to investigate the change of stock price and trading volume associated with addition to health care index in Korean Market. Authors find that in the short term, the information on inclusion into health care index has a positive response in Korean stock market. However, a price reversal phenomenon happens after the changing day of the index. Average abnormal volume to included-firms has smaller values than that of whole market. Change rate of trading volume compared with each firm's trading volume is also similar to the result of average abnormal volume. Therefore, these outcomes make that the price pressure hypothesis is accepted, but the information hypothesis and the liquidity hypothesis are not accepted.
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