In theory that could be true. But as others have pointed out, there are many other reasons for delisting besides bankruptcy. The scenario you paint is possible

In theory that could be true. But as others have pointed out, there are many other reasons for delisting besides bankruptcy. The scenario you paint is possible, but I still think it's unlikely---less than 15% of the stocks involved were omitted, and that includes not only delisted stocks but stocks omitted for other reasons, so the bankrupt firms would likely be much less than 15% of the total. And while stocks are unlimited on the upside, they can't go below zero on the downside, so there's a limit to how much those omitted losers could drag down the big outlying winners.