CoachA demand shock is a change in the quantity of a security that some investors must hold for reasons unrelated to its value. An index change is the cleanest example: the quantity, the date and the identity of the buyers are known, and the buyers’ benchmark is the closing price of the effective date, so they are indifferent to the price they pay at that close.
Examples
Example 15.9 (Thirteen days of volume)
An index has trillion and trackers with trillion, so . A company with 400 million shares at $50, of which 65% float, has billion: a weight of 0.26% and a demand of $5.2 billion. It trades $400 million a day: the trackers need thirteen average days of volume, at one close.