研究期間：10108~10207;Abstract Past literature examining the price and liquidity reactions of the additions to and deletions from index is based on the assumption that the change of index constituents is information-free event. Empirical evidences demonstrate a significant “S&P 500” effect, that is, for those stocks which are newly added to index list experience positive price changes and those stocks which are deleted from index constituents suffer price depressions. These price effects are significantly different from zero both at the announcement and effective dates. However, there are some interesting issues that are not well documented. First, past evidences of various studies come from U.S. It is interesting to understand that whether the “S&P 500” is also applied to other countries, particularly to emerging markets, and the association of the abnormal returns and the national institutions and investor protections. Second, due to the unavailability of ownership data, few studies has address the issue of the foreigners’ and local investors’ reactions to the additions and deletions. Finally, some studies confirmed that the e.p.s. forecasts by financial analysts on newly added firms have increased after the effective date, and the realizations of e.p.s. do increase. What are the factors that raising e.p.s? It is probably attributed to improvement in operating performance, or expansion in operating scale. The expansion in scale occurs because these additions are more likely to access to capital market after they become the member of S&P 500 index. There is lack of study to examine these possibilities. We submit three-year project to address these three important issues by employing different sample.