Applications of Computational Verbs to the Study of the Effects of Russell’s Annual Index Reconstitution on Stock Markets

At the end of June each year, the Russell indexes arereconstituted. Around the Russell reconstitution date, the Russellindexes appear to have some well-formed patterns called Russellrebalance patterns. In this paper, I will use computational verbtheory to verify the existence of such stock market pattern andprovide a quantitatively way for the scrutiny of similar patterns.The main contributions of this paper are: 1. The Russell 2000rebalance pattern; namely, increase before Russell rebalancedate and peak afterward is verified. 2. Find a less risky marketpattern in Russell 1000; namely, peak after Russell rebalancedate.