Empirical Study And Character Analysis On CSI 300 Index Effect

Index effect means that price and volume of stocks included or delisted from the stock exchange indexes will have abnormal market reflection. In recent ten years, the scale of index, index funds, index futures growing rapidly in our market, and the developing mode of index industry is formed partly. So the index effect of A-share market draw wide attention of institutions and scholars.Base on eleven regular reviews from January 2009 to December 2013, this paper makes an empirical study and character analysis on the index effect of CSI 300 Index through price effect, volume effect, volatility effect and index effect model. It shows that CSI 300 Index has a significant index effect from the announcement day to the effective day. The index effect of CSI 300 is non-significant before the announcement day or after the effective day.The Index effect is short-term and asymmetric, and Price Pressure Hypothesis (PPH) is most suitable to explain the CSI 300 Index effect. The index effect of CSI 300 Index is more significant along with the development of index products, especially after 2010. Finally, this paper makes recommendations tofund managers, index company and individual investors.