凤尾变鸡头:被忽视的指数成分股交换

When the “Tail of the Lion” Becomes the “Head of the Dog”:The Ignored Switching of CSI 300/500 Member Stocks

沪深300和中证500同时调整成分股,沪深300调出的股票大部分会进入中证500。这些交换的成分股既有沪深300调出效应,也有中证500调入效应。已有文献专注于沪深300调出样本整体的调出效应,却忽视了交换股还有中证500调入效应。本文首先使用断点回归设计研究交换股,证明了指数效应在国内存在。随后,使用Fama-French五因子模型研究交换股与其它沪深300调出股的差异,解释了为何国内研究认为指数效应不存在:交换股主要表现出调入效应,抵消了其它沪深300调出股的调出效应,忽视指数成分股交换导致了整体调出效应"不显著",甚至为正。

The CSI 300 index regularly adjusts its member stocks. Stocks deleted from the CSI 300 index may not enter the CSI 500 index, but they usually do. Such stocks switching from the CSI 300 to the CSI 500 index, therefore, should be affected by the CSI 300 index deletion effect and the CSI 500 index addition effect. Literatures have focused on the overall CSI 300 index deletion effect but ignored the CSI 500 index addition effect in the switching group. An old Chinese saying goes, "Better to be the head of a dog than the tail of a lion." When small-cap stocks in the CSI 300 become relatively large ones in the CSI 500, that is, when the "tail of the lion" becomes the "head of the dog", there will be more money tracking them.Since the establishment of the CSI 500 index in January 15, 2007, more and more assets have been tracking it. In 2009, when the first mutual fund tracking the CSI 500 index was established, there were no fewer than nine funds tracking the CSI 300 index, all of them large in scale. By the end of 2015, there was 36.5 billion yuan tracking the CSI 500 index and 124.8 billion yuan tracking the CSI 300 index—the former was close to one third of the latter. There was more money tracking the CSI 300 index, but the weights of the switching stocks in the CSI 500 index were much larger than in the CSI 300 index. The effect of addition to the CSI 500 index has probably exceeded the effect of deletion from the CSI 300 index.In this paper, we use fuzzy regression discontinuity design to study the price effects of switching between groups. Stocks that switched from the CSI 300 index to the CSI 500 index showed a significant addition effect in the three trading days after the announcement. The addition effect is about 6% and is robust to different bandwidths. However, stocks that switched from the CSI 500 index to the CSI 300 index had no significant price effect. The asymmetric price effect seems to be the result of investor awareness or short sale restrictions.The price effects of the switching group have an obvious time trend. Before 2015, when there was less money tracking the CSI 500 index, the price effects of the switching group were only slightly influenced by the CSI 500 index. After 2015, as the tracking assets increased, the price effects of the switching group were heavily influenced by the CSI 500 index. Specifically, for stocks that switched from the CSI 300 index to the CSI 500 index, the price effect was non-significant before 2015 but significant after 2015. For stocks that switched from the CSI 500 index to the CSI 300 index, the CSI 300 deletion effect was dominant before 2015, but the price effect became non-significant after 2015. It seems the CSI 500 index deletion effect offset most of the CSI 300 addition effect.To compare the price effects of the switching group with other deleted stocks, we study these two groups with a Fama-French five factor model. The results indicate that these two groups differ significantly. The addition effect plays a dominant role in the switching group, while other deleted stocks show a significant deletion effect. The switching group has a 6% higher abnormal return than the latter group. The results remain robust when controlling for fundamentals and liquidity of the stocks. For stocks that are added to the CSI 300 index, it does not seem to matter whether they come from the CSI 500 index or not. This implies that investors, or more precisely arbitragers, pay little attention to the deletion of stocks.Overall, our results support the price pressure hypothesis(PPH). The price effects result from short-term price pressure and nearly fully reverse soon after the execution day. As more and more assets track the CSI 500 index, the CSI 500 addition effect of the switching group dominates its CSI 300 addition effect. Ignoring this addition effect may lead to a non-significant or even positive deletion effect.The contributions of this paper are as follows.(1) The domestic literature has neglected the CSI 500 addition effect of stocks that switched from the CSI 300 index to the CSI 500 index. We prove that the switching group has a significant addition effect. The price effect is caused by short-term buying pressure, and this conclusion supports the price pressure hypothesis.(2) When practitioners try to take advantage of the index effect, they should not only pay attention to one index but also to other related indexes.(3) The addition effect and deletion effect are asymmetrical, and exploring the original causes of this asymmetry can provide insights into investor behavior and market efficiency.(4) Regular index adjustment also provides a good sample for other studies. Future studies based on this sample should not ignore the case of indexes exchanging their component stocks.