A Research On Price And Volume Effects Of Revisions To Chinese Stock Index: An Empirical Analysis On Price And Volume Effects Of Revisions To The SSE180 Index

The price and volume effects of revisions to indexes are generally sigificant in foreign matured stock markets. Abnormal price and volume can be expected when revisions happen.This paper researches the price and volume effects of the revisions to the SSE180 index who came out July 1,2002. First,it calculates,ananlyzes and compares the abnomal returns and volume of included and excluded stocks in three revisions. Second, a cross-sectional model is conducted to analyze the relation between price and volume quantitily and the four foreign hypotheses are tested. Finally, according to Chinese real conditions, it gives some explanations to the effects.The research result showsrthe revisions to the SSE180 index affect the price and volume of related stocks evidently ;the effects of the included stocks are far more great than that of the excluded stocks; the effects of the third revision are outstanding;the effects of revisions to the SSE180 index are different from foreign matured stock markets and far less than them; there exists some consisitency and inconsisitency between price efffects and volume effects. The author consider these: the weak effects of included stocks lies in the very small number of institutional investors who duplicate the SSE180 index directly; the strong effects of excluded stocks is because the acts of exclusion release signals of no good prospects to the market. The outstanding effects of the third revision are mainly because of the market's approval and acceptence of the SSE180 index and of more and more stocks and investors being included in the revisions as time goes on. The effects of the revisions to the SSE180 index are evidently different from matured stock markets and reflects that Chinese stock market is weak-efficient.