The Csi 300 Index Adjustment Effect Of Theoretical Analysis And Empirical Research

The index effect is defined as the abnormal market effect of price and volume of the stocks added into and deleted from an index when the index adjusts its sample stocks timely.It proposes a challenge to the efficient market hypothesis.It is an important events for not only the stock market operating mechanism and the stock market participants’behavior,but also for the study of the effectiveness of the stock market.This paper adopts the event study methodology for researching the adjustment events of CSI300from February2009to October2011.Respectively,the event window were classified as before and after AD and ED for the research,and apply three econometric models for analyzing abnormal returns,it ultimately verifies the presence of the index effect of China’s stock market.The empirical results are as following:In terms of price effect:First,the abnormal returns of the added or deleted stocks are significantly positive or negative prior to AD,indicating that some investors have anticipated the index adjustment information.Second,the stocks added into CSI300index have a significantly positive price effect after AD,but it tends to fall on ED+40,which suggests that the price effect of the adjustment is not long.As for the stocks deleted from CSI300,they have a significantly negative price effect index after AD,but the reversal from negative to positive begins from ED,indicating that the price effect is also short.Third,in the comparative analysis of the three models’results,more abnormal returns based on the market model passed the significant test,thus provide a strong basis for this paper to adopt the market model.Generally,the result analysis of the added stocks based on the three models are in line with each other,but for the deleted event,the F-F three factors model seems too sensitive,mainly due to the characteristics of the model itself.Last,in terms of volume effect,both the added and the deleted stocks have an expansion of the volume effect before AD.and the adjusted events also pose a positive effect on the volume of the stocks on not only AD and ED,but after ED,resulting in the expansion of stock volume,until ED+13the average turnover ratio-MVR tends to1gradually,this indicates that the volume effect is temporary,consistent with the performance of the price effect.It turn out that the most suitable theoretical hypothesis for explaining the index effect of China’s CSI300index is the price pressure hypothesis.