Empirical Analysis of SSE 180 Index Effects

Based on the four index replacement samples from 2002 to 2004, the pap er has examined the price effects and trading volume effects of SSE180. Standard ized residual method solves the problem of clustering in event study. The result s show that both additions and deletions respond to the replacement information. The additions have positive and permanent abnormal returns while the negative a bnormal returns of deletions reverse in the following 30 days. The asymmetric pr ice effects of additions and deletions can be explained by investor awareness an d market segmentation hypothesis.