Using additions to the S&P 500 between 2000 and 2003, I explore the price and volume effects that the securities face on their respective addition announcement day. Attempts to identify price pressures surrounding an addition to the S&P 500 by focusing on opening and closing stock/index prices and trading volumes. The results are more consistent with the efficient market hypothesis than the price pressure hypothesis. Observed are large increases in trading activity leading to a shift in demand for the added security. However, positive abnormal returns are not concluded from this study