To what extent is a company's abnormal return, volume, and volatility impacted after inclusion in or exclusion from the BEL 20?

Abstract

This thesis examines how revisions to the BEL 20 index shape stock returns, volume, and volatility. Because the index follows transparent and rules based criteria, it provides a clean setting to isolate the market impact of changes in index membership. The study builds a long multi year sample of inclusions and exclusions, removes cases driven by corporate actions, and applies a standard event study around both the announcement and the implementation dates. Abnormal outcomes are assessed under mean adjusted, market adjusted, and risk adjusted specifications so that firm level, market controlled, and factor based lenses can be compared. Three findings stand out. First, price effects around inclusions appear briefly and then fade, while exclusions show a small dip that is followed by recovery. Second, trading volume rises strongly at implementation and then normalizes, with only limited persistence. Third, volatility spikes in a narrow window around the event and then returns to typical levels. Together, these patterns point to temporary flow pressure rather than a durable shift in fundamental value. A cross sectional check asks whether recent operating momentum explains which inclusions earn positive event window returns. Comparing firms by the sign of the cumulative abnormal return shows no clear difference in prior revenue growth, which suggests that short run winners are not simply the firms with stronger recent sales trends. The evidence therefore favors mechanisms related to order flow, attention, and liquidity rather than a repricing of superior fundamentals. The contribution is a BEL 20 specific picture of index effects that integrates returns, volume, and volatility across complementary models and horizons, along with clear implications for practice. For investors, any tradable window is brief and reversal risk is material.