Abstract This paper analyze the effect of index revisions on the underlying stocks liquidity and shareholder’s wealth effect with events analysis by sampling SSE 50 Index from 2005 to 2011 and explores the influence factors. The results show that there exists the index sample effect in SSE 50 Index in China, but the effect of index revisions on the Stock Liquidity is significantly better than the influence of Shareholders’ Wealth Effect; the liquidity of inside index listed company is better than the outside index listed company. Besides, that the impacts of company size, liquidity, and profitability and growth ability are not very big to the Stock Liquidity and Shareholders’ Wealth Effect in short term. But the companies with great growth ability under the effect of index revisions, the liquidity of its stocks have been strengthened.
SHU Wei,HE Ling-Yun,CHEN Tian-Tian et al. A Research on the Underlying Stocks Liquidity and Shareholder’s Wealth Effects of Index Revisions: Evidence from SSE 50 Index. Economic Survey, 2013, 1(2): 0155.
2013, Vol. 1 
