沪深300指数效应实证研究及其异常收益套利分析

发布时间：2018-01-19 13:34

本文关键词： 沪深300指数指数效应价格压力说套利　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：指数效应是指当某一指数宣告调整成份股后,调入股价格在公告日或实施日左右大幅上涨,而调出股股价会相应的时间内呈下跌态势,成交量均放大。在欧美等发达国家资本市场,该现象被进行了广泛而透彻的研究,并获得了大量的理论成果。我国对指数效应的研究则起步较晚,迄今为止对一些指数的研究证明了我国市场指数效应的存在性,但研究相对不足,尤其是沪深300指数。本文采用事件研究法对沪深300等指数调出入股票组合进行实证分析发现：(1)各指数调出股票负价格效应较为显著。(2)对于调入股票组合,中证香港100指数和股指推出的沪深300指数存在着显著的正价格效应,但累计异常收益要小于调出股票组合,其他指数调入股价格效应不显著。(3)中证香港100指数和FTSE250指数在公共日前10个交易日有着显著的指数效应,但沪深300指数在此阶段无显著变化。(4)各指数在价格效应显著时,成交量也显著放大,异常收益亦出现反转现象,通过实证分析符合价格压力说。对指数效应研究的目的不仅仅是为了证明异常收益的存在,故本文在此基础之上,进一步讨论了沪深300指数期货推出对指数效应的影响,沪深300指数推出减少了现货市场的波动性,并能为投资者提供套利组合,在一定程度上加大了对调入股票组合的需求,增强了指数效应。最后本文采用Alpha套利的方法对沪深300指数调整股票进行套利分析,结果证明在4种个股权重下均能够获得一定水平的收益。
[Abstract]:Index effect means that when a certain index is announced and adjusted, the price of the transferred stock will rise substantially on the announcement day or the implementation day, and the stock price of the transferred stock will show a downward trend in the corresponding time. In developed countries, such as Europe and America, the phenomenon has been extensively and thoroughly studied, and a lot of theoretical results have been obtained. So far, the research on some indexes has proved the existence of market index effect in China, but the research is relatively insufficient, especially the Shanghai and Shenzhen 300 index. In this paper, we use the event study method to analyze the stock portfolio of Shanghai and Shenzhen 300 index. It is found that the negative price effect of each index is significant. There is a significant positive price effect in the CSI 300 index and the CSI 300 index, but the cumulative abnormal return is smaller than that of the stock portfolio. Other indexes transferred into the stock price effect is not significant.) the Hong Kong 100 index and the FTSE250 index have significant index effect in the first 10 trading days of the public day. However, the CSI 300 index has no significant change at this stage.) when the price effect is significant, the turnover is also significantly enlarged, and the abnormal return is reversed. The purpose of the index effect research is not only to prove the existence of abnormal returns, so this paper is based on this basis. Further discussed the Shanghai and Shenzhen 300 index futures on the impact of the index effect, the introduction of the Shanghai and Shenzhen 300 index to reduce the volatility of the spot market, and can provide arbitrage portfolio for investors. To a certain extent increased the demand for the transfer of stock portfolio, enhanced the exponential effect. Finally, this paper uses the Alpha arbitrage method to carry out arbitrage analysis of Shanghai and Shenzhen 300 index adjusted stock. The results show that under the weight of 4 kinds of stocks, we can get a certain level of income.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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