This maybe is the reason: Small-Caps Fall as Russell 2000 Reshuffles
"Index managers who are directly or indirectly tracking the Russell indexes will need to rebalance their portfolios at the end of the day, which always causes a spike in trading activity near the close. During the rebalancing at this time last year, about 7.5 billion shares were executed just in NYSE-listed stocks, 50 % higher than the daily average of 5.4 billion," CNBC.com reports.
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