基于事件研究法的沪深300指数效应实证研究

发布时间：2018-01-13 01:02

本文关键词：基于事件研究法的沪深300指数效应实证研究　出处：《金融纵横》2010年09期 　论文类型：期刊论文

【摘要】：为检验股指期货推出对标的指数成分股票价格的影响,本文选取2010年1月沪深300指数调整的成分股票为样本,以调整公告日前20日至公告日后20日为事件窗口,运用事件研究法对我国股市的指数效应进行实证研究。结果表明:在股指期货推出的背景下,沪深300指数呈现明显的指数效应,调入指数的股票组合在调入前后具有显著的负价格效应,产生持续的负累计异常收益;而调出指数的股票组合在调入前后具有先负后正的价格效应,产生显著的正累计异常收益,因此投资者可以利用沪深300指数成分股调整实现套利。
[Abstract]:In order to test the impact of the introduction of stock index futures on the underlying index component stock price, this paper selects the Shanghai and Shenzhen 300 index adjusted component stocks as the sample in January 2010. Using the event window from 20th before the announcement date to 20th after the announcement date, this paper makes an empirical study on the exponential effect of China's stock market by using the event research method. The results show that: under the background of the introduction of stock index futures. The index of Shanghai and Shenzhen 300 showed obvious exponential effect, and the stock portfolio of the index had a significant negative price effect before and after the transfer, resulting in a continuous negative cumulative abnormal return. However, the stock portfolio of the index before and after the transfer has the price effect of first negative and then positive, resulting in significant positive cumulative abnormal returns, so investors can make use of the adjustment of Shanghai and Shenzhen 300 index component to carry out arbitrage.
【作者单位】：南京航空航天大学;
【分类号】：F832.51
【正文快照】： 一、引言指数效应是证券市场的一种异常现象,是指当股票被纳入或剔除指数成分股后,其股价和交易量往往会在短期内出现大幅上升或下降,从而在指数调整时形成套利机会,进而增强投资者对指数调整的关注程度,进一步强化指数效应。作为行为金融研究的重要范畴,了解指数样本股调整

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