港股通成分股调入调出效应与预测

• The report constructs a prediction model for the periodic adjustment of Hong Kong Stock Connect constituent stocks based on the inclusion and exclusion rules of the index. The model uses historical data from 2016 H2 to 2025 H1, covering 18 adjustment periods, to analyze the market effects of inclusion and exclusion events[3][19][41] - The inclusion effect shows that stocks added to the index typically achieve significant excess returns from the announcement date to the effective date, with an average cumulative return of 5.45% during this window. Conversely, excluded stocks exhibit negative returns, with an average cumulative return of -9.58% during the same period[3][19][40] - The prediction model demonstrates high recall rates for inclusion predictions and high precision rates for exclusion predictions. For example, in the June 2025 adjustment, the inclusion prediction achieved a recall rate of 1.00 and a precision rate of 0.83, while the exclusion prediction achieved a precision rate of 0.92 and a recall rate of 0.60[41][43] - The inclusion effect is characterized by short-term trading opportunities, with excess returns peaking shortly after the effective date and then declining. The exclusion effect, on the other hand, shows a more consistent and predictable downward trend, making it a more reliable signal for event-driven strategies[19][27][39] - The model's prediction results for March 2026 indicate that the predicted inclusion stocks have an average daily market capitalization exceeding HKD 90 billion, with a focus on the healthcare and information technology sectors. Predicted exclusion stocks, however, have a lower average market capitalization, mostly ranging between HKD 30 billion and HKD 55 billion, and are concentrated in non-essential consumption and traditional industries[43][44][47]