The empirical results show that, whencomposite stock enrolls index, at announcement day abnormal return rate is consistentwith anticipated income return, but ratio is on the small side.

• 研究发现,成份股加入指数,在公告日出现了与预期一致的异常收益率,但比率较小,可能是和我国指数衍生产品规模较小有关。