Once a company gets in, it won't leave for a very long time, and during that time period there is going to be $X buying your stock every month regardless of price. In fact, you could argue that this is reinforcing the EMH! The market knows that somebody is going to stop by next week with a big pile of cash and say "I'll take however many shares you'll give me for this money". So why would the market let currency fluctuations influence the price any more than it has to?
If you aren't in the S&P 500, on the other hand, you have no guarantee of a big buyer just around the corner. You have to make sure that your asking prices are as closely aligned with bidding prices as possible, or trading volume collapses.
Invoking the EMH in this context is bizarre, though: if it was fully true, an active fund manager would be as useful as an active roulette manager.
Without fund managers doing the work of price discovery cheap index funds would cease to work. Fund managers are right to be miffed about that.
