Abstract
This paper considers the effects of changes in the composition of the Nifty and Jr. Nifty index for the period 1996-2003. The study finds no significant price effects on the announcement day . However price effects were observed only for the Nifty index on the effective day, which were subsequently reversed by the ninth day. Similar results were found for the Nifty deletions too. For the Jr. Nifty, no price effects were observed either on announcement day or on the effective day-for both inclusions as well as exclusions. There were no abnormal volumes associated with price effects for the Nifty index. Since the price effects are confined only to Nifty and were absent for the Jr. Nifty, certification effect may be ruled out. There is prima facie support for the price pressures hypothesis.
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