This paper uses event study method to analyze exponential effect of HS 300 index, introduces shortterm event window and longterm event window to separately examine the market reaction to the prices and exchange amount of the stocks adding to and deleting from HS 300. FamaFrench Threefactor Pricing Model is used to calculate the excess profit of the stocks in the study of the price effect of the stocks. Empirical research indicates that HS300 index has significant exponential effect, but the exponential effect for the stocks adding to or deleting from HS 300 is not symmetric, the exponential effect for the stocks adding to HS300 is more obvious, which fit for Market Segmentation Hypothesis.