| The development and expansion of China’s stock index system is the result of the continuous development of Shanghai and Shenzhen stock exchanges.At present,in the stock market of the world’s major developed economies,the component stock index is the most representative of the stock market changes,the most easily accepted by investors index form.Started late in China as in the stock market,the developing countries,the csi300 index since 2005,since its launch,although the index system have been more than ten years of development,but it is still unable to meet the market a wide range of investment demand,and urgently need to introduce some new can accurately reflect the index of Shanghai and shenzhen market products.Until the launch of MSCI in June 2018,this move greatly accelerated the development of China’s index market,and also marked the opening of China’s capital market.Based on the above reasons,this paper adopts the method of event study and adopts the Shanghai and Shenzhen 300 index and MSCI index adjusted stocks from 2018 to 2021 as the research and analysis samples to conduct empirical analysis on the influence of adjustment events on abnormal return rate and trading volume of stocks respectively.The main findings are as follows:(1)From the empirical results,the index effect is universal in China’s stock market,and the index effect of transferring stocks is significantly stronger than that of transferring stocks.(2)From the analysis of the long-term event window,we have not found the law of "V"-shaped changes in the transferred stocks.For the transferred stocks,it is a long-term decline in the stock price.After a period of small-scale horizontal fluctuations,there has been a significant increase in stock prices.(3)Changes in the yields of the CSI 300 index adjusted constituent stocks can be partially explained by efficient market hypothesis,demand curve hypothesis,information-driven hypothesis and signal hypothesis,etc.In the adjustment of MSCI index,the phenomenon explained by information content hypothesis and market segmentation hypothesis is more obvious.The overall stock market’s reaction to MSCI is larger than that of CSI 300,with faster reaction speed and longer acting time,which reflects the gap between The overall construction of Chinese stock market and that of mature markets from the side,and also shows the space for further development of the stock market.(4)From the perspective of trading volume,the recalled stocks did not have obvious changes in trading volume in the early period,but later showed a significant decline in trading volume activity,indicating that investors will proceed first when they receive bad information about stocks.Screen and observe,and then re-adjust and sell the stock.The transfer of stocks is particularly sensitive to changes in the CSI 300 index and the MSCI index.If there’s any good news,it will cause a substantial increase in market activity,and it will finally lead to a obviously increase in trading volume. |
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