自１９９９年我国首批指数基金出现以来，我国的指数基金开始稳步发展。本文以我 国的指数基金为对象，对我国指数化投资的绩效展开研究。通过对跟踪误差进行分析，从总 体上反映出，样本指数基金的跟踪误差表现尚可。进而对跟踪误差方差进行分解，发现样本 指数基金的风险结构符合有关指数化投资的金融理论。虽然，样本基金中华安ＭＳＣＩ中国 Ａ股表现异常，但可以认为整体上我国的指数基金运行良好。

After the first index fund launched in 1999, the index fund market has been growing steadily in China. In this paper, we seek to measure and understand the tracking error of China based index funds. The results show that sample index funds exhibit an acceptable level of tracking error in general. Furthermore, by means of decomposition of tracking error variance we find that risk structure of sample funds keeps consistency with financial theory about indexing. While there is an exception such as Hua An MSCI China A share e.g., whole performance of the better run index funds suggests that indexing is practicable under China conditions.

This paper investigates market effects associated with China Security Index 300 (CSI 300) reconstitutions with sample period from April 2005 to Feb 2008. Several findings are listed as followings: Firstly, cumulative abnormal returns for added stocks increase slightly after announcements, while the returns for removed stocks decrease significantly though reverse immediately after index reconstitutions. Considering the whole event period, prices for deletions do not fall dramatically; it’s consistent with asymmetric change of investors’ awareness proposed by H Chen et al (2004). Secondly, both the results of cumulative abnormal returns and volume ratios do not provide evidence to support price pressure hypothesis or index membership hypothesis. We attribute those results to few funds tracking stock indices exactly with the same components and weights as which in the underlying indices in emerging markets, i.e., enhanced index funds are more familiar. Thirdly, the percentage of the additions’ (or deletions’) shares held by funds is not affected obviously by CSI 300 reconstitutions. Finally, we examine index change effects due to IPO that frequently occur in emerging markets, and find that additions witness a full reversal after the first trading day.

Since the first index fund launched in 1999, the index fund market has been growing steadily in China. In this paper, we seek to measure and understand the tracking error of China based index funds. The results show that sample index funds exhibit an acceptable level of tracking error in general. Furthermore, by means of decomposition of tracking error variance we find that risk structure of sample funds keeps consistency with financial theory about indexing. While there is an exception such as Hua An MSCI China A share e.g., whole performance of the better run index funds suggests that indexing is practicable under China conditions.