This study examined the asymmetric market reactions to firms newly included in and excluded from the KOSPI 200 index from 2001 to 2008. The empirical analysis through event study methodology showed that for newly included firms, stock prices temporarily rose after the news announcement and then reversed, supporting the price pressure hypothesis, while for excluded firms, the stock price trend was not pronounced. Additionally, in testing the liquidity hypothesis regarding stock price increases at the time of news announcement, no significant differences were found between before and after the change announcement date, indicating that the effect was not attributable to reduced information asymmetry costs from liquidity improvement. The two-stage least squares (2SLS) regression analysis examining whether changes in shadow cost affect cumulative abnormal returns (CAR) supported Merton's investor recognition hypothesis only for newly included firms that realized positive cumulative abnormal returns. That is, changes in investor recognition, changes in information asymmetry, changes in unsystematic risk, and changes in shadow cost around the announcement date of newly included firms reduce the discount rate (required rate of return) needed for estimating the firm's intrinsic value, thereby realizing positive cumulative abnormal returns. The above results were confirmed through robustness tests to not be attributable to temporary demand shocks from institutional investors' index baskets, nor to stock price increases driven by momentum effects.