Abstract
How the information from the market indexes is interpreted is the most concerned topic to the investors and the analysts. The public is not only the reactor, but also the observer to others’ reaction. Market reaction to one of the major indexes, the NASDAQ Q-50 Index, is the main issue of this study. Prior research on S&P 500 Index’s inclusion reach many impressive conclusions through different hypotheses. However, few studies have focused their attention on the NASDAQ market, which is as important as the Standard and Poor’s. Therefore, this study focused on discussing the market’s reaction toward the NASDAQ Q-50 Index to see how the information reveal is going to affect the market. By following Chen et al. (2004) study, this study proposed to examine the change of abnormal return and the shadow cost before and after the inclusion period to verify the hypothses.