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That is unexpected and interesting observations you've made there. 

Let's look at the fundamentals:

As new companies enter an index then there will be more demand.  Funds that track that index will have to buy up new shares. And people in superannuation who are restricted to only buying shares that belong to that index, could be buying in for the first time.  So definitely there's an increase in demand.

However, I've never tracked the effect personally.  I'd be interested to know over what time period you looked.  When a share goes ex-dividend, the resulting drop in share price is immediate.  But when a stock is added to an index, I can see a range of dates that could be important.

1. The announcement date. Typically a week before the actual index change, is possibly a time when buyers with discretion could start buying in.
2. The index change date. Those without discretion, so index funds and people restricted within super, can start buying in from this date.
3. Buying over time. Funds may need to acquire their stock over a period of time due to limited volumes, so the demand could be spread out over time.