Impact of changes in the CSI 300 Index constituents

Research output: Contribution to journalArticleResearchpeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)13 - 33
Number of pages21
JournalEmerging Markets Review
Volume24
DOIs
Publication statusPublished - 2015

Cite this

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title = "Impact of changes in the CSI 300 Index constituents",
abstract = "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.",
author = "Chuan Wang and Zoltan Murgulov and Janto Haman",
year = "2015",
doi = "10.1016/j.ememar.2015.05.005",
language = "English",
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journal = "Emerging Markets Review",
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publisher = "Elsevier",

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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 journalArticleResearchpeer-review

TY - JOUR

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AU - Wang, Chuan

AU - Murgulov, Zoltan

AU - Haman, Janto

PY - 2015

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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

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VL - 24

SP - 13

EP - 33

JO - Emerging Markets Review

JF - Emerging Markets Review

SN - 1566-0141

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