- 期刊
The Index Rebalancing Strategy in Chinese Equity Markets
摘要
This work aims to explore the performance of index rebalancing strategy within the context of Chinese market. Specifically, this work applies this traditional hedge fund strategy to Shanghai-Shenzhen 300 Index (CSI 300), a Chinese equity index that monitors the performance of top 300 stocks in Chinese equity market. When the index reconstructs, there would be buying pressure on the stocks newly added and selling pressure for those removed. Index rebalancing strategy thus aim to take advantage from this price inefficiency. This work gets a generally positive result by running a back test using historical data. The investigation thus leads to the conclusion that index rebalancing strategy could be a profitable investment strategy in Chinese equity market. The work shows the possibility to apply traditional western hedge fund strategy in Chinese market and render further researches in relevant fields meaningful.
參考文獻
延伸閱讀
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