The Price Effect Test Of The Adjustment Of The Constituent Stocks Of The CSI 300 Index

The so-called index effect means that when the index constituents transfer or transfer the index,Related stocks often accompanied by abnormal price or volume.According to previous scholars' research,generally speaking,the stock will increase in price,and the stock will be transferred.There will be a drop in prices,and the price effect of stocks generated by the index adjustment event is getting more and more attention from investors.The index adjustment event generally uses the method of event research to study the index transfer and the transferred stocks.The event window is constructed by the announcement date and the adjustment date of the index event.The announcement day is the publication of the sample by the China Securities Index Corporation.The time for the index adjustment list plan,the adjustment date is the time for the CSI Index Company to adjust the index according to the announced sample stocks.In the paper,we divide the events into short-term time windows and long-term time windows according to the length of time,using the capital pricing model(CAMP).The model calculates the expected return on the index-adjusted stock,thereby calculating the price effect of the excess return measurement index adjustment.In the empirical study of the index effect,we first analyze the index-adjusted stock samples from 2010 to 2018,and obtain the price effects of their index adjustments.We find that the index adjustment effect of the transferred stocks is not significant,but they During the period before the adjustment date,there is a certain excess return,but it is not significant enough.Therefore,we carry out interval statistics on the dozens of trading days before the adjustment,and analyze the excess returns of different interval time periods and the winning rate of the entire interval.It is concluded that the 20 trading days before the adjustment date are relatively optimal and have positive excess returns.Similarly,we also conducted the same analysis on the transfer of stocks,and we also found that there was also a negative in the trading day before the adjustment date.Excess returns,so we then calculate the cumulative rate of return for historical index adjustment events.From the calculation results,we find that in 2015,the entire transfer of stocks and the transfer of stocks have a certain cumulative average excess return.And after 2015,we found that excess returns slowly decrease or even become negative.We analyze them.As this may be due to events in the history of indexation is concerned more and more people,so as to obtain excess returns will reduce or even disappear.Our empirical results support the price pressure hypothesis.When we analyze the long-term and short-term event windows,we find that the stock transfer has a certain excess return in the short-term.In the long run,there will be a reversal phenomenon.Although stocks have significant negative excess returns in the short term,there has been no reversal in the long run.This and the theory in the hypothesis,index adjustment will lead to an increase or decrease in stock demand,because the index tracking investors' trading will affect the liquidity of the stock.The price pressure of buying or selling will cause the stock price to deviate from its equilibrium level.However,the excessive demand for stocks was quickly offset by rising or falling prices.This hypothesis mainly emphasizes that index funds or investment institutions with index funds as the target will react to the stocks transferred or transferred in the short term,emphasizing the short-term response,but there will be some reversal in the long run..