J.P. Morgan: Asia Pacific Index Constituent Adjustments and Keppel REIT Event Update

Overview

This report is an Asia Pacific index review published by J.P. Morgan's Global Quantitative and Derivatives Strategy team, detailing index constituent adjustments and corporate events effective or upcoming as of May 12, 2026. It covers specific changes in ASX300, FTSE Emerging Markets Small Cap Index, MSCI Emerging Markets Index, and FTSE Singapore/EPRA Nareit Index, with a focus on Keppel REIT's index weight changes due to a distribution in specie and potential passive fund flows.

Core views

Regarding index constituent deletions, ASX300 Index removed Bellavista Resources, involving a selling size of approximately 1.537 million shares, equivalent to 301% of its average daily trading volume. FTSE Emerging Markets Small Cap Index removed 5 Chinese A-shares, including Beijing VRV Software (300352.SZ), Doushen Education (300010.SZ), Konka Group (000016.SZ), Kunwu Jiuding (600053.SH), and Hile Bio-Pharmaceutical (603718.SH), with estimated passive selling ranging from 933,000 to 4.976 million shares, accounting for 5% to 18% of their respective average daily trading volumes. Regarding the Keppel REIT event, following FTSE Russell's notification on April 21, 2026, it was confirmed that Keppel REIT will remain in the FTSE Singapore Index with unchanged total shares but increased investable weight. For FTSE Singapore Index trackers, the corresponding Keppel REIT shares will be obtained from holding Keppel Ltd shares, with no additional trading impact expected. However, in the FTSE EPRA Nareit Index, this adjustment will trigger approximately 4.68 million shares of passive buying demand, accounting for about 22% of its average daily trading volume, effective after the close on May 13, 2026. Additionally, the MSCI Emerging Markets Index plans to remove Wintech (600745.SH), generating approximately 5.974 million shares of passive selling, accounting for 24% of its average daily trading volume. In the FTSE Developed Market Index, Keppel REIT is included but no immediate trading impact is expected.

Analysis framework

The report adopts an event-driven analysis approach, closely tracking announcements and rule changes from major index providers such as FTSE Russell, MSCI, and ASX. By quantifying the theoretical fund flows resulting from index adjustments (i.e., 'passive buying/selling' size) and comparing them with individual stocks' average daily trading volumes (ADV), it assesses the potential impact on market liquidity and stock prices. This method helps investors anticipate short-term supply-demand imbalances, particularly for stocks with high passive fund ownership.

Methodology notes

• Event Game and Behavioral FinanceEvent-driven analysis

  Index Rebalance Event-Driven

  Utilizing index constituent adjustments as a deterministic event to predict mandatory rebalancing trades by passive funds, thereby capturing short-term price volatility or liquidity opportunities.

• Quantitative/Factor/Portfolio Theory

  Passive Fund Flow Estimation

  Estimating passive fund buying/selling volumes through index weight changes and fund size, and comparing them with average daily trading volumes to measure market impact costs.

Asset mapping & comparison

Structured mapping from thesis to named assets (strengths, weaknesses, peers, risks).

• Keppel REIT (KREIT SP)

  Benefit: Passive buying from FTSE EPRA Nareit Index adjustment

  Strengths

  Retained in FTSE Singapore Index with increased investable weight; receives approximately 4.68 million shares of passive buying support

• Wintech (600745.SH)

  Negative Impact: Removed from MSCI Emerging Markets Index

  Weaknesses

  Faces approximately 5.974 million shares of passive selling, accounting for 24% of average daily trading volume

  Risks

  Short-term liquidity impact may pressure stock price

• Bellavista Resources (BVR AU)

  Negative Impact: Removed from ASX300 Index

  Weaknesses

  Faces approximately 1.537 million shares of passive selling, accounting for 301% of average daily trading volume

  Risks

  Extremely high relative selling pressure may lead to significant price decline

• Beijing VRV Software (300352.SZ)

  Negative Impact: Removed from FTSE EM Small Cap Index

  Weaknesses

  Faces approximately 3.491 million shares of passive selling, accounting for 5% of average daily trading volume

• Doushen Education (300010.SZ)

  Negative Impact: Removed from FTSE EM Small Cap Index

  Weaknesses

  Faces approximately 4.976 million shares of passive selling, accounting for 10% of average daily trading volume

• Konka Group (000016.SZ)

  Negative Impact: Removed from FTSE EM Small Cap Index

  Weaknesses

  Faces approximately 3.845 million shares of passive selling, accounting for 8% of average daily trading volume

• Kunwu Jiuding (600053.SH)

  Negative Impact: Removed from FTSE EM Small Cap Index

  Weaknesses

  Faces approximately 933,000 shares of passive selling, accounting for 18% of average daily trading volume

• Hile Bio-Pharmaceutical (603718.SH)

  Negative Impact: Removed from FTSE EM Small Cap Index

  Weaknesses

  Faces approximately 1.579 million shares of passive selling, accounting for 8% of average daily trading volume

Key data

• Keppel REIT Passive Buying Demand4.68 million sharesFrom FTSE EPRA Nareit Index adjustment, accounting for 22% of average daily trading volume
• Wintech Passive Selling Size5.974 million sharesFrom MSCI Emerging Markets Index deletion, accounting for 24% of average daily trading volume
• Bellavista Resources Passive Selling Size1.537 million sharesFrom ASX300 Index deletion, accounting for 301% of average daily trading volume
• FTSE EM Small Cap Index A-share Passive Selling933,000-4.976 million sharesInvolving 5 A-shares, accounting for 5%-18% of respective average daily trading volumes

Impact & implications

The report suggests that Keppel REIT's adjustment in the FTSE EPRA Nareit Index will provide significant passive buying support (22% of daily trading volume), potentially creating positive liquidity impact on short-term stock prices. In contrast, stocks removed from ASX300 and FTSE EM Small Cap Index will face varying degrees of passive selling pressure, with Bellavista Resources experiencing particularly high relative selling pressure (301% ADV). Investors should be cautious of short-term price volatility risks. Wintech's removal from the MSCI EM Index will also introduce substantial liquidity pressure.

What to watch

• Keppel REIT's formal inclusion in FTSE EPRA Nareit Index after market close on May 13, 2026
• Trading volume and price volatility of removed constituents around the adjustment effective date