We exploit a novel dataset covering the universe of transactions in the Colombian Stock Exchange to analyze episodes of additions to and deletions from MSCI equity indexes. We find additions and deletions to have large price effects: the median cumulative abnormal return in absolute value is 5.5%. We show that these price effects are due to large demand shocks by different classes of international investors–not only passive funds and ETFs, but also active mutual funds, pension funds and government funds–which are not absorbed by arbitrageurs. Consistent with recent asset pricing models with limits to arbitrage, we estimate stock demand curves to be very inelastic: the demand elasticity for the median stock in our sample is-0.34, implying that a 1% increase in the demand for the stock increases its price by 2.9%.