Effect Of The Csi 300 Index Arbitrage Analysis Of Empirical Research And Its Abnormal Profits

When an index adjusts its constituent stocks, the stocks which being added into or deleted from the index exhibit positive (negative) abnormal returns on announcement day or implement day, and the volume increase sharply, such is index effect. In developed countries, the index effects have been studied deeply, and obtain a large number of theoretical achievemnents. The studies of index effect lag behind in our country, although some studies have proved some index have index effect significantly, but quantity and quality is not enough, especially for HS300index.In this paper, event-study being executed to analyze the index effect of HS300index, SSE CONSTITUENT INDEX and CSI Hong Kong100INDEX. The empirical study results are as follows:(1) The stocks being deleted from the3index exhibit negative price effect.(2) the stocks being added into CSI Hong Kong100INDEX and HS300index exhibit positive price effect, although the cumulative abnormal is lower than the deleted stocks.(3) The CSI Hong Kong100INDEX and FTSE250INDEX exhibit price effect significantly ten days before announcement day, during this time, there is no effect in HS300INDEX and SSE CONSTITUENT INDEX.(4)When the index have significant price effect, the volume of stocks increase sharply, which is consistent with price pressure hypothesis. The purpose of index effect study is not only to prove the existent of abnormal returns, but also to obtain the abnormal returns. In this paper, I also try to analyze how index futures affect index effect. Studies indicate the volatility of HS300index decrease after the launchment of HS300index, besides HS300index futures can expand investor’s portfolio, which can increase the demand of the stocks being added into the stocks, so price effect become more significant. Finally, in order to dig the abnormal returns, alpha-arbitrage being taken to construct investment portfolio.