Empirical Analysis Of Index Effects Of SSE50 Index

This paper examines index effects of Shanghai Stock 50 Index using indexreplacements information by January 2006. The empirical results show that, whencomposite stock enrolls index, at announcement day abnormal return rate is consistentwith anticipated income return, but ratio is on the small side. This may be related withour national indices spin-off's smaller volume. From announcement day to sith seventhtrade date stock price has been falling continually, at the same time coupled with tradingvolume relatively magnifying, share price appearance reversal within a weeksubsequently. These phenomena have obvious differences with foreign findings and withexistence each hypothesis. During ten trade dates before announcement day the stockcalled off has got overt negative abnormal return rate. Such phenomena likely result fromprecise anticipates or achievement of stock adjusts information. Within one week afterannouncement day the reaction about calling off stock is quite distinctness, appearingnegative price effect and positive trading volume effect.