2025年12月指数样本股调整预测

• The report utilizes an event study framework to analyze the effects of index sample stock adjustments, focusing on the short-term positive abnormal returns observed before the announcement date of the adjustments[4][7][12] - The prediction model for the CSI 300 Index sample stock adjustments follows the methodology outlined in the CSI 300 Index Compilation Scheme, which includes the following steps: 1. Define the sample space: The sample space consists of A-shares listed on the Shanghai and Shenzhen stock exchanges that meet specific criteria, such as listing duration and market capitalization[29][33] 2. Filter by trading volume: Stocks are ranked by average daily trading volume from November 1, 2024, to October 31, 2025, and the bottom 40% of old samples are excluded[29][33] 3. Filter by market capitalization: Stocks are ranked by average daily market capitalization, retaining the top 240 new samples and the top 360 old samples, considering buffer zone rules[29][30] 4. Exclude stocks penalized by the CSRC, financially unprofitable stocks, and stocks suspended for a long time[30] - The prediction model for the CSI 500 Index sample stock adjustments follows the methodology outlined in the CSI 500 Index Compilation Scheme, which includes the following steps: 1. Define the sample space: The sample space consists of A-shares listed on the Shanghai and Shenzhen stock exchanges that meet specific criteria, such as listing duration and market capitalization[34][39] 2. Filter by trading volume: Securities are ranked by average daily trading volume over the past year, and the bottom 20% are excluded[35] 3. Filter by market capitalization: Remaining securities are ranked by average daily market capitalization over the past year, and the top 500 are selected as index samples[35] 4. Apply adjustment and buffer rules: New samples ranked within the top 400 by market capitalization are prioritized for inclusion, while old samples ranked within the top 600 are prioritized for retention[39] - The historical prediction accuracy for the CSI 300 Index sample stock adjustments from June 2019 to November 2025 is as follows: - Correct predictions for sample stock additions: 178 out of 229, with an accuracy rate of 78%[26] - Correct predictions for sample stock removals: 219 out of 229, with an accuracy rate of 96%[26] - The historical prediction accuracy for the CSI 500 Index sample stock adjustments from June 2023 to November 2025 is as follows: - Correct predictions for sample stock additions: 177 out of 250, with an accuracy rate of 71%[28] - Correct predictions for sample stock removals: 230 out of 250, with an accuracy rate of 92%[28] - The backtesting results for the June 2025 CSI 300 Index sample stock adjustments show: - Predicted additions: Average cumulative excess return of 2.29% before the announcement date and -2.24% after the announcement date[18][20] - Predicted removals: Average cumulative excess return of -0.67% before the announcement date and 0.22% after the announcement date[18][20] - The backtesting results for the June 2025 CSI 500 Index sample stock adjustments show: - Predicted additions: Average cumulative excess return of -0.73% before the announcement date and 0.60% after the announcement date[24][25] - Predicted removals: Average cumulative excess return of 2.65% before the announcement date and -0.13% after the announcement date[24][25]