As soon as stocks get included in an index, certain index funds have to begin forming positions in them (and usually start doing so slightly ahead of time)
Likewise, if a stock is removed, index funds begin immediately winding back investments in them.
The process usually occurs over a week or so leading up to the official rebalance and sometimes the week after has flow on.
Ann: S&P DJI Announces March 2019 Quarterly Rebalance, page-5
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