Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 13 - 33 |
| Number of pages | 21 |
| Journal | Emerging Markets Review |
| Volume | 24 |
| DOIs | |
| Publication status | Published - 2015 |
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Impact of changes in the CSI 300 Index constituents. / Wang, Chuan; Murgulov, Zoltan; Haman, Janto.
In: Emerging Markets Review, Vol. 24, 2015, p. 13 - 33.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Impact of changes in the CSI 300 Index constituents
AU - Wang, Chuan
AU - Murgulov, Zoltan
AU - Haman, Janto
PY - 2015
Y1 - 2015
N2 - We investigate the price and trading volume effects of CSI 300 Index reconstitutions. In contrast to the Standard Poor s (S P) 500 Index, whose reconstitutions are carried out irregularly, as required, CSI 300 Index reconstitutions are scheduled semi-annually and performed based on predetermined rules. We find that, on average, prices increase (decrease) significantly for CSI 300 Index additions (deletions) followed by significant post-event price reversals; however, these price changes are less in magnitude than evidenced in extant research for the S P 500 Index. The trading volume increases significantly for both CSI 300 Index additions and deletions in the short run. The trading volume subsequently reverts to normal levels for index additions but remains higher for index deletions. The findings are consistent with the price pressure hypothesis.
AB - We investigate the price and trading volume effects of CSI 300 Index reconstitutions. In contrast to the Standard Poor s (S P) 500 Index, whose reconstitutions are carried out irregularly, as required, CSI 300 Index reconstitutions are scheduled semi-annually and performed based on predetermined rules. We find that, on average, prices increase (decrease) significantly for CSI 300 Index additions (deletions) followed by significant post-event price reversals; however, these price changes are less in magnitude than evidenced in extant research for the S P 500 Index. The trading volume increases significantly for both CSI 300 Index additions and deletions in the short run. The trading volume subsequently reverts to normal levels for index additions but remains higher for index deletions. The findings are consistent with the price pressure hypothesis.
U2 - 10.1016/j.ememar.2015.05.005
DO - 10.1016/j.ememar.2015.05.005
M3 - Article
VL - 24
SP - 13
EP - 33
JO - Emerging Markets Review
JF - Emerging Markets Review
SN - 1566-0141
ER -