被动资金视角下的A股指数效应与套利策略OACHSSCD

Main focuses are the return effects of Chinese A-share indexes revisions and arbitrage strategy construction.With the investigation on the short-term effects of index revisions made by China main three A-share indexes on a sample of stocks since 2009,it is of significance to find the rising trend in the return of added stocks compared to deleted firms during the two-week window from the announcement of the index revision to the implementation day through basic statistic method.However,this trend is completely reversed after the revision is implemented.Through further regression,a possible explanation was obtained for this phenomenon from the early portfolio adjustment of passive funds.Results from empirical tests guide us form the trading strategy with high excess return based on the passive funds scale.