Comparative Analysis Of The Adjustment Effect Of CSI 300 And Mingsheng Index

The index effect means that when a certain index is declared to be adjusted,the stock price will rise sharply in the announcement day or the effective day,and the stock price will fall in the corresponding time,and the volume will be magnified.This phenomenon has been extensively and thoroughly studied in the capital markets of developed countries such as Europe and America,and has gained a lot of theoretical achievements.The research on the index effect in China started relatively late,but it has also obtained some research results,which proved the existence of the market index effect in China,but the research is relatively inadequate.The index effect is not only an important event in the study of the operating mechanism of the stock market and the behavior of the participants in the stock market,but also an important event to study the effectiveness of the stock market.In order to solve this problem,using the event study method,this paper takes the adjustment events of the Shanghai and Shenzhen 300 index and the Ming Sheng index(MSCI China A share index)between June 2015 and November 2017 as the research samples,and divides the event window into the bulletin day AD and the effective day ED respectively,and validating the existence of the index effect in the stock market of our country.The empirical results show that the Shanghai and Shenzhen 300 index and the Ming Sheng index have significant exponential effect after the adjustment of the announcement day and the adjustment effective day,and the index effect in the two events window is not the same.After adjusting the announcement day,there is a significant positive abnormal return rate in the stock mix and the stock combination has a significant negative rate of return.The effective date of the short term,the stock index effect recall transferred to significant decreases gradually in the long term.In general,the index effect of the two indices is significant in the short term,and the abnormal return is basically symmetrical,which tends to stabilize or reverse for some time after the effective day,which is basically consistent with the price pressure interpretation of the exponential effect.