(1) 3 (2) (3 ) 90 (3) 90 4 (1) (2) (3) ( ) (4)

200433 2002 03 1 ( ) ( ) 1997 1999 ( ) ( ) (Scholes, 1972) Shleifer (1986) Harris and Gruel(1986) 500(S&P500) ( ) ( ) ( ) ( ) 1990 12 1991 4 180 100 1 180 180 ( ) 180 2002 4 2002 7 1 180 2003 1 2 1995 5 5 7 1998 3 27 2003 6 8 54 810 24 645 2 180 180 2002 9 27 6 6 30 9 30 1 2 1

24 10 180 40 10 2002 7 1 180 1 1995 1 23 1995 5 5 40 (1) 3 (2) (3 ) 90 (3) 90 4 (1) (2) (3) ( ) (4) 7 1 1997 2003 5 7 1 1997 2003 5 1997 12 29 16 16 2002 9 23 6 6 1999 11 8 10 10 2003 1 20 3 3 2002 1 21 10 10 2003 5 19 3 3 2002 5 27 10 10 www.sse.org.cn 4 4 2

( ) ( ) ( ) 1. 2. ( ) (2) Woolridge and Gosh (1986) Shleifer (1986) Harris and Gruel(1986) S&P500 ( ) ( ) Shleifer(1986) 1976 83 S&P500 102 S&P500 2.79% 1981 83 Jain (1987) Harris and Gruel(1986) ) 1978 83 S&P500 84 S&P500 3.13% Lamoureux and Wansley (1987) Pruitt and Wei(1989) 3

1989 S&P500 Lynch and Mendenhall(1997) 1990-95 S&P500 Beneish and Gardner(1995) / Madhavan (2001) Russell, Breazeale and Cuny(2002) MidCap 400 SmallCap 600 Chung Kryzanowski (1998) 300 Brealey (2000) 100 Liu(2001) Nikkei 500 Elayan Li Pinfold (2001) NZSE10 NZSE40 Deininger, Kaserer, and Roos (2000) DAX MDAX Bildik and Gülay (2001) ISE-30 ISE-100 Barontini and Rigamonti (2000) Mib30 Bechmann (2002) KFX Neumann and Voetmann (2001) STOXX 1. 1997-2003 1 3 6 55 55 4 180 1997 7 5 1 7 100 7 50 48 www.stockstar.com www.sse.gov.cn 2. (1) AD 0 15 (AD-15, AD+15) (AD-195 AD-16) (AR) (MAR) (AD-15, AD+15) (MCAR) (2) Harris and Gruel(1986) 3 2003 5 19 7 3 4 Campbell, Lo and Makinlay(1997) 4

MVR = 1 N t VR it N i= 1 (1) V V it m. VR it = (2) Vmt Vi. V it t i A V i V it V mt t V m V mt VR it t i A VR it 1 ( ) 1. 2 5 %(AR>0) %(AR<0) AR>0 AR<0 1997-2003 1 1.30% 1% 0 76% 1997 1 0.5% 1999 2 1.97% 10% 0 2002 03 1 4 1.59% 1 0 81 1997 2003 1-0.40% 0 1997 1.51% 2002 03 1-1.79% 1 0 83 2 MAR t(mar) %(AR>0) 1997-2003 1 50 1.30 3.302 * 76 1997 16 0.50 0.587 69 1999 8 1.97 1.465 *** 75 2002-03 1 26 1.59 4.614 * 81 %(AR<0) 1997-2003 1 48-0.40-1.260 62 1997 15 1.51 1.990 ** 33 1999 9 0.34 0.463 56 2002-03 1 24-1.79 5.660 * 83 * ** *** 1% 5% 10% 2002 03 1 4 5

1997 1999 2 2002 03 1 1997 1999 2 2. 3 MVR 4 t 1 %(VR>1) 1 3 1997 2003 1 1.35 1 1 1 46 1997 1999 1 VR>1 31% 13% 2002 03 1 4 1.76 1% 1 1 69 1997-2003 1 1 1997 1999 1 2002 03 1.37 5 1 1 75% 2002-03 1 1997 1999 3. 1997 1999 2 2002 03 1 4 2002 03 1 3 MVR t(mvr>1) %(VR>1) 1997-2003 1 50 1.35 2.204 * 46 1997 16 0.96-0.267 31 1999 8 0.81-0.848 13 2002-03 1 26 1.76 3.736 * 69 1997-2003 1 48 1.00-0.469 46 1997 15 0.72-1.620 13 1999 9 0.44-2.001 22 2002-03 1 24 1.37 1.786 ** 75 * ** *** 1% 5% 10% ( ) 2002 03 1. 6

4 2002 03 1 MAR(%) t(mar) %(AR>0) MCAR(%) t(mcar) MVR t(mvr>1) %(VR>1) AD-15-0.08-0.240 42-0.08-0.241 1.88 3.537 * 50 AD -14 0.48 1.388 50 0.39 0.811 1.78 3.458 * 54 AD -13 0.13 0.383 58 0.53 0.883 2.66 7.373 * 62 AD -12-0.13-0.388 42 0.39 0.571 2.10 5.078 * 54 AD -11-0.76-2.205 ** 27-0.37-0.476 1.00-0.308 35 AD -10-0.10-0.283 42-0.46-0.550 1.28 1.016 35 AD -9-0.43-1.254 38-0.89-0.983 1.08 0.107 35 AD -8 0.34 0.975 50-0.56-0.575 1.13 0.220 35 AD -7 0.04 0.128 54-0.52-0.500 0.98-0.413 23 AD -6 0.36 1.060 65-0.15-0.139 1.13 0.475 38 AD -5-0.12-0.345 38-0.27-0.236 1.08 0.078 35 AD -4-0.18-0.515 65-0.45-0.375 1.13 0.350 38 AD -3-0.38-1.099 46-0.82-0.665 1.34 1.083 38 AD -2-0.17-0.508 46-1.00-0.777 1.29 1.039 42 AD -1 0.94 2.728 * 65-0.06-0.046 1.49 1.884 ** 69 AD 1.59 4.614 * 81 1.59 4.614 * 1.76 3.736 * 69 AD+1 0.97 2.824 * 58 2.56 5.260 * 1.21 0.720 42 AD+2-0.11-0.308 35 2.45 4.117 * 1.11 0.134 31 AD+3-0.65-1.880 ** 42 1.81 2.625 * 1.04 0.182 42 AD+4-0.24-0.691 42 1.57 2.039 ** 1.08 0.065 42 AD+5-0.62-1.800 ** 38 0.95 1.126 1.17 0.394 46 AD+6-0.01-0.017 50 0.94 1.037 1.11 0.073 38 AD+7 0.28 0.828 54 1.23 1.262 0.98-0.398 42 AD+8 0.21 0.607 50 1.44 1.392 *** 0.97-0.507 31 AD+9-0.18-0.537 35 1.25 1.151 0.97-0.515 23 AD+10-0.40-1.171 27 0.85 0.744 1.08 0.222 35 AD+11-0.43-1.255 38 0.42 0.350 0.83-1.101 19 AD+12 0.15 0.440 50 0.57 0.458 0.60-2.258 15 AD+13 0.28 0.824 50 0.85 0.662 0.87-0.962 31 AD+14 0.19 0.566 50 1.05 0.786 1.20 0.605 38 AD+15 0.02 0.062 54 1.07 0.776 0.96-0.473 38 * ** *** 1% 5% 10% MCAR 4 (AD-15, AD+15) MAR MCAR MVR t (AD-15, AD-1) (AD, AD+15) MCAR 15 MAR 1 11 0 1 1% 65% MVR 5% 1 1 69% 1 0.97% 1% 7

0 58% 1.21 1 2 6 MAR 0 3 5 5% 0 MCAR(0, 4)=1.57 5% 0 MCAR(0, 8)=1.44% 10% 0 1 MCAR(0, 15)=1.07% 5 : 2002-03 1 MAR(%) t(mar) %(AR<0) MCAR(%) t(mcar) MVR t(mvr>1) %(VR>1) AD -15-0.35-1.109 71-0.35-1.109 1.18 0.302 42 AD -14-0.26-0.808 75-0.61-1.356 1.28 0.743 29 AD -13-0.09-0.296 54-0.70-1.278 1.36 1.340 54 AD -12 0.15 0.471 54-0.55-0.871 1.23 0.395 42 AD -11-0.15-0.482 54-0.71-0.995 0.95-0.703 33 AD -10 0.02 0.070 50-0.68-0.880 0.98-0.310 38 AD -9-0.01-0.020 46-0.69-0.822 0.85-1.201 29 AD -8-0.41-1.300 46-1.10-1.229 1.08 0.119 33 AD -7 0.03 0.084 50-1.07-1.13 1.02 0.223 33 AD -6-0.40-1.260 54-1.47-1.471 1.15 0.340 29 AD -5 0.17 0.537 50-1.30-1.241 1.01 0.347 33 AD -4 0.79 2.486 * 38-0.52-0.470 1.11 0.248 38 AD -3-0.02-0.056 54-0.53-0.467 0.98-0.646 21 AD -2-0.71-2.253 ** 67-1.25-1.053 1.24 0.795 50 AD -1-0.73-2.310 ** 58-1.98-1.613 *** 1.05-0.075 50 AD -1.79-5.660 * 83-1.79-5.660 * 1.37 1.786 ** 75 AD+1-0.44-1.400 58-2.24-4.993 * 1.32 1.549 58 AD+2 0.63 2.003 ** 42-1.60-2.920 * 1.60 3.725 * 50 AD+3 0.76 2.386 * 29-0.85-1.336 1.55 3.436 * 54 AD+4 0.54 1.697 38-0.31-0.436 1.78 3.725 * 63 AD+5-0.42-1.325 67-0.73-0.938 1.81 3.972 * 67 AD+6 0.75 2.380 * 33 0.03 0.031 1.66 3.711 * 50 AD+7 0.10 0.308 38 0.12 0.138 1.81 4.781 * 54 AD+8-0.17-0.531 63-0.04-0.047 1.25 1.204 54 AD+9-0.20-0.621 67-0.24-0.241 1.44 2.828 * 42 AD+10 1.05 3.299 * 50 0.80 0.765 1.62 3.784 * 46 AD+11 0.60 1.891 ** 33 1.40 1.278 1.65 3.827 * 42 AD+12-0.65-2.058 ** 75 0.75 0.657 0.94-0.558 38 AD+13 0.20 0.621 54 0.95 0.799 0.97-0.256 33 AD+14 0.00-0.001 46 0.95 0.772 1.22 1.267 33 AD+15 0.51 1.612 42 1.46 1.150 1.23 1.322 42 * ** *** 1% 5% 10% 2. 4 5 (AD-15, AD+15) MAR 8

MCAR MVR t (AD-15, AD-1) (AD, AD+15) MCAR 15 MAR 1 2 MAR -0.73% -0.71% 5% 0 58% 65% MAR 0 MVR 1.02 1.24 1 50% 1 1 0 2 3 6 10 11 2 3 MAR 5% 0 0 42% 29% 2 3 1% 1 MCAR MCAR(0, 3) 0 6 MAR 1% 0 0 33% 5% 1 MCAR(0, 6) =0.03% 0 3. CAR 1-T,j AR 0,j CAR 1-T,j 1 T j, AR 0,j j CAR 1-T,j = a + b AR 0,j +ε t (3) b 1 b 0 6 (3) 1 5 10 15 3 b -0.23 0.11 b 0 5% b= -1 b= 0 b -0.2311 1% b= -1 b= 0 6 a b p (b=-1) p (b=0) R 2 CAR 1-5,j -0.008 0.1029 0.00 * 0.67 0.008 CAR 1-10,j -0.0058-0.1012 0.00 * 0.72 0.005 CAR 1-15,j -0.0015-0.2311 0.03 ** 0.49 0.02 CAR 1-5,j 0.0057-0.2565 0.1 0.56 0.016 CAR 1-10,j 0.0041-1.13 0.28 0.02 ** 0.212 CAR 1-15,j 0.0042-1.3785 0.4 0.00 * 0.304 * ** 1% 5% b 0 b -1.1300-1.3785 5% b= -1 9

b= 0 1 ( ) ( 1997 1999 2000 2003 1 4 2 / / Beneish and Gardner(1995) 7 7 1 0.98 Wilcoxo 2 Liu(2001) 7 2002-03 1 V i( 8) i(+8) V p ( H 0 : V i( 8) = V i(+8) ) 1.41 0.98 0.0001 1.21 1.39 0.0074 Vi( 8) V i(+8) i H 0 : V i( 8) = Vi(+8) Wilcoxon 3 ( ) Shleifer(1986) Liu(2001) CAR i (0,4) 10

4 5 ( VR it 1) ( ABCVR i ) t= 0 CAR i (0,4) 0.0121 0.0030ABCVR i (t=1.93) R 2 =0.10 CAR i (0,4) 0.0102+0.0021 ABCVR i (t=2.204) R 2 =0.14 10% 6 2002 03 1 1997 1999 180 100 : Amihud, Y. and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics, 17, 223-49. Barontini, R., and S. Rigamonti, 2000, "Stock Index Futures and the Effect on the Cash Market in Italy: Evidence from Changes in Indexes' Composition," working paper, Universit_a Cattolica del S. Cuore. Bechmann, K. L., 2002, "Price and Volume Effects Associated with Changes in the Danish Blue Chip Index: The KFX Index," working paper, Department of Finance Copenhagen Business School Beneish, M. D. and J. C. Gardner, 1995, Information Costs and Liquidity Effects from Changes in the Dow Jones 5 CAR i (0,3) CAR i (0,5) 6 Wurgler and Zhuravskaya (2002) S&P500 11

Industrial Average List, Journal of Financial and Quantitative Analysis, 30:135-157. Beneish, M. and R. Whaley, 1996. An anatomy of the 'S&P game': the effects of changing the game, Journal of Finance, 51, 1909-1930. Bildik, R., and G. Gülay, 2001, "Effects of Changes in Index Composition on Stock Market: Evidence from Istanbul Stock Exchange," working paper. Istanbul Stock Exchange Brealey, R. A., 2000, "Stock Prices, Stock Indexes and Index Funds," Bank of England Quarterly Bulletin, 40, 61-68. Breazeale, J.P. and C.J. Cuny, 2002, Stock Price Effects of Changes in the S&P MidCap 400 and the S&P SmallCap 600 Indices, Working Papers, Mays Business School, Texas A&M University. Brown, S. and J. Warner, 1980, Measuring security price performance, Journal of Financial Economics, 8, 205-58. Brown, S. and J. Warner, 1985, Using daily stock returns: The case of event studies, Journal of Financial Economics, 14, 3-31. Campbell, J.Y. A.W. Lo and A. C. MacKinlay, 1997, The Econometrics of Financial Markets, Princeton: Princeton University Press. Chakrabarti, R., W. Huang and N. Jayaraman, 2002, Do International Investors Demand Curves for Stocks Slope Down Too?, Working paper, DuPree College of Management, Chung, R. and L. Kryzanowski, 1998, Are the market effects associated with revision of the TSE 300 index robust?, Multinational Finance Journal, 2, 1-36. Dhillon, U. and H. Johnson, 1991, Changes in the Standard and Poor s 500 list, Journal of Business 64, 75-85. Deininger, C., C. Kaserer, and S. Roos, 2000, Stock Price Effects Associated with Index Replacements in Germany," working paper, Department of Business Administration, University of Wuerzburg Elayan, F., W. Li and J. Pinfold, 2001, Price Effects of Changes to the Composition of New Zealand Share Indices, The New Zealand Investment Analyst, 21-25. Harris, L. and E. Gurel, 1986, Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressure, Journal of Finance 41, 815-29. Jain, P., 1987, The effect on stock price from inclusion in or exclusion from the S&P 500, Financial Analysts Journal 43, 58-65. Kaul, A., V. Mehrotra, and R. Morck, 2000, Demand curves for stocks do slope down: New evidence from an index weights adjustment, Journal of Finance 55, 893-912. Lamoureux, C. G. and J. W. Wansley, 1987, Market Effects of Changes in the Standard & Poor s 500 Index, Financial Review, 22, 53-69. Liu, S-H, 2001, Changes in the Nikkei 500: New Evidence for Downward-Sloping Demand Curves for Stocks, working paper, University of Missouri. Lynch, A. and R. Mendenhall, 1997, New evidence on stock price effects associated with changes in the S&P 500 index, Journal of Business 70, 351-83. Madhavan, A., 2001, "The Russell Reconstitution Effect," working paper, ITG Inc. Masse, I., R. Hanrahan, J. Kushner, and F. Martinello, 2000, "The Effect of Additions to or Deletions from the TSE 300 Index on Canadian Share Prices," Canadian Journal of Economics, 33, 341-359. Neumann, R., and T. Voetmann, 2001, "Float Capitalization Index Weights in Dow Jones STOXX: Price and Volume Effects," working paper, Danske Bank, Pruitt, S. W. and K. C. J. Wei, 1989, Institutional ownership and changes in the S&P 500, Journal of Finance, 44, 509-513. Scholes, M., 1972, The market for securities: Substitution vs. price pressure and the effect of information on share price, Journal of Business 45, 179-211. Shleifer, A., 1986, Do demand curves for stocks slope down?, Journal of Finance, 41, 579-90. Takeuchi, S., 1990, Accuracy of Nikkei average in tracking market questioned, Japan Economic Journal, 32-35. Woolridge, J. R. and C. Gosh, 1986, Institutional trading and security prices: the case of changes in the composition of the S&P 500 index, Journal of Financial Research, 9(1), 13-24. Wurgler, J. and E. Zhuravskaya, 2002, Does Arbitrage Flatten Demand Curves for Stocks? Journal of Business, 75, 583-608. Changes in the Shenzhen composition index Abstract: This study mainly investigates the price and volume effects of changes in the Shenzhen composition index from 2002 to January 2003.On average,price increases significantly in the event day for stock added with partial post-event reversal; while price decreases significantly in the event day with full post-event reversal for stock deleted. Trading volume both increases significantly in the event day.but we haven t see the same phenomena in the index changes of 1997 and 1999,it maybe due to the development of investment fund. Furthermore,Long-term trading volume drops(rises) significantly for stocks added(deleted). These evidences maybe due to the asymmetry between ineex stocks and non-index stocks that have substitute. Keywords: index revision, price pressure, imperfect substitutes 12