发表期刊：Finance Research Letters

作者：姚东旻、周世愚、陈翊靖

摘要：In this study, we used regression discontinuity and difference-in-differences methods to verify whether price effects exist in the China Securities Index (CSI 300). Results suggest that the stocks included in this index had an extra abnormal rate of return of approximately 15% compared with the control group. Furthermore, the excluded stocks had a negative abnormal return of approximately 10% before the exclusion announcement, which reversed after the announcement. However, the price effects of the excluded stocks were not significant. Overall, the results indicate that price effects in the CSI 300 are asymmetrical.

关键词：Price effects; Stock market; Regression discontinuity

引用：Dongmin YAO, Shiyu Z, Yijing C. Price effects in the Chinese stock market: Evidence from the China securities index (CSI300) based on regression discontinuity[J]. Finance Research Letters, 2022, 46: 102435.

文章链接：

https://www.sciencedirect.com/science/article/abs/pii/S1544612321004244