Index Effect is an anomalous phenomenon in the securities market. Under the frame of effective market theory, the explanation of index effect is insufficient. However, behavioral finance theory analyzes its influence on financial decision, financial product price and financial market development from the perspective of investor recognition, behaviors and feelings and reasonably explains these phenomena from noising transaction hypothesis and investor feeling hypothesis. This paper uses Hushen 300 Index and the SSE 180 Index for study sample, checks abnormal earning rate and abnormal transaction quantity before and after the share adjustment, arrives at a conclusion that index effect is obviously existing, uses behavioral finance theory to explain its reason, points out the application of index effect and gives suggestions for protecting medium and small investors and consumating supervision.