entry to msci index, page-55

Depends whether they're full replication or not, and if not their tolerance for tracking error. The thing with index funds is that they really really care about trading costs, given those can quickly eat in to their returns and make the difference between an index-tracker and an index-lagger. If they trade through black pools you won't even see them on an exchange, and when they are trading on exchange they'll probably have very good algorithms that will limit their market impact. Volumes are likely to change around index inclusion dates, but not necessarily share prices; that is the passive guys bread and butter.