Phil,
heaps and heaps of research on index additions and deletions...most of it in academic journals however. Here's a recent paper on the chinese market.
http://www.macrothink.org/journal/index.php/ajfa/article/view/193
Find inclusions increase returns and liquidity and exclusions opposite.
The references will list some similar studies in other markets (which they most likely also summarise in their study). I have come across similar work for Australian stocks that have similar findings...just could take 30+ mins to find them.
another very interesting recent work looks at how stocks included in an index become positively correlated to the index...lynas seems to (at least in the past) just from my observation been unrelated to the index.
http://www.afajof.org/journal/forth_abstract.asp?ref=633
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