Stoxx Europe Indices and Index Premium

Abstract

With their transparent and rules-based index review policy and surging popularity, Stoxx Europe indices provide an excellent opportunity to study the index inclusion effect in a pan-European setting. Using a dataset spanning the period from 1999 to 2019, we find sizable positive abnormal returns for additions to Euro Stoxx 50. CARs averaged 7% from thirty days before the announcement to the effective inclusion date. No such effects have been observed for Stoxx Europe 600. We find evidence for both downward-sloping demand curves and investor awareness hypotheses.