| The index effect,refers to the anomalous reaction of the index to the stock and the call of the stock in terms of price and volume as the index component adjusts.In general,for the index into the stock,stock prices,trading volume increased;for the index transferred out of stock,stock prices fell,trading volume increased.At present,the research on the index effect has become an important aspect of the market participation in the main behavioral research.As of December 31,2016,there are 436 equity-based passive index funds in China,with a total size of 455.9 billion yuan.The growth of the index fund shows that the index is also becoming more and more important in China’s stock market.Therefore,it is of great practical significance to study the index effect.In addition,with the continuous expansion of the scale of securities margin trading,passive index fund managers can buy or sell securities through financing,without having to track the fund to track the minimum error,eager to buy or sell stocks directly in the stock market Therefore,it is also of great significance to study the impact of margin trading on the index effect and tracking error.This article uses the method of event research to take the CSI 300 index from June 2005 to June 2017 as the research object.It analyzes the CSI 300 Index price effect and the volume effect,and it compares the changes of the index effect before and after the launch of the margin trading business,on the basis of the interception of time in June 2011 to.In addition,the paper also compares the tracking error of six CSI 300 ETF Fund before and after the launch of the margin trading business.The reasons for the change make further explanation.The day of the announcement is the date of the incident,with AD+13 days generally expresses the effective date.In the aspect of constructing event window,this article estimates the window period from the date of AD-185 to the date of AD-6.In the calculation of abnormal transaction volume,this articleestimates the window period from the date of AD-120 to the date of AD-6.In addition,this article uses AD-5 to AD+30 as the event window.The effect of index effect on the stock price is called the price effect,which is measured by the excess return of the stock.One of the most important issues in the event research method is the accurate calculation of the excess return.In this paper,the CAPM model is used to calculate the excess return.Abnormal trading volume is based on Harris and Curel’s estimation method.On the basis of empirical analysis,the conclusions of this paper are mainly three: First,from the price effect,the transfer of stock and recall of stock are obvious asymmetry,the cumulative average excess return rate of transferred to stock was 2.974%,While the cumulative average excess return rate of recal stocks was-1.863%,indicating that the price of the transferred stocks reacted more prominently.From the perspective of volume effect,from the first day of announcement day(AD+1)Unusual volume of the recall stock has been placed in the top of the ransfer of stock,that is to say the volume of the recal stock effect is more obvious.Second,for the transfer of stocks,the introduction of margin financing and securities lending has played a certain role in stabilizing the price fluctuations in the stock market,and has basically had no effect on the volume effect.For the call-out stocks,the introduction of margin financing and stock trading has intensified the price of the stock market,but it has increased liquidity.but it has increased liquidity.Third,after the launch of margin financing and securities lending,the tracking error of six CSI 300 ETF joint-stock fund became smaller,indicating that fund managers are not in a hurry to adjust their position between the announcement date and the effective date,and may choose to purchase of newly transferred stocks by financing Or sell securities to sell off the stock to reduce the fund tracking error. |
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