This research investigates stock market reactions to the KOSPI 200 Index changes. We find that stocks added to the Index exhibit a significant positive cumulative abnormal return in the short run. The positive market reaction, however, is followed by an immediate price reversal and, furthermore, turns an insignificant positive cumulative abnormal return in the long run. We also find that the bid-ask spread of the added stocks remains unchanged while their demand increases. So index change is not affect to firm value. According to the price pressure hypothesis, temporary increased demand of added firms is caused by index funds but our result remarks that increase of demand is caused by individual investors. On the other hand delisted stocks exhibit a significant negative cumulative abnormal return in the short run but an insignificant in the long run. Also volume and bid-ask spread remain unchanged but price falling trend is more remarkable than Index inclusion. One of the reason for this result is market scale. Decrease of the number of shareholders and increase of shadow costs suggest that Index change is more powerful signals for bad news to be delisted to the Index than good news to be included to Index in Korea Exchange Market.