Price effects in the Chinese stock market: Evidence from the China securities index (CSI300) based on regression discontinuity

Dongmin Yao, Shiyu Zhou and Yijing Chen

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: 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.

Keywords: Price effects; Stock market; Regression discontinuity (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004244

DOI: 10.1016/j.frl.2021.102435

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