沪深300指数效应存在性研究

发布时间：2018-05-10 09:59

本文选题：指数效应 + 异常收益　；参考：《南京理工大学》2012年硕士论文

【摘要】：指数效应作为与有效市场假说相悖的金融学异象之一,被大量的学者所关注,他们对股市中是否存在这一效应进行研究,并且试图对其进行解释。迄今为止,已经有不少学者发现在不同的股票市场上指数效应的存在,与此同时,他们发展了数种关于指数效应的假说以对这种效应进行解释,一开始只是在传统金融学范围进行解释,后来逐渐发展到投资者心理角度。这些假说包括长期需求曲线向下假说、价格压力假说、信息假说、市场分割假说等。因为我国指数的发展较晚,所以国内学者对指数效应的研究还比较少。本文主要是为了研究我国沪深300指数是否存在指数效应,并试图解释其存在的原因。文章采用事件研究法,以指数调整事件宣告日前后60日为事件窗口期,分析在此期间的价格效应和成交量效应。结果发现调入事件存在显著的价格效应,并且能够持续,而调出事件则不如调入事件明显,较调入事件存在一定的滞后,且长期来看累积平均异常收益趋向于正值。基于以上特点,本文试图用市场分割理论对其进行解释。笔者收集了股东数量、机构股东数量、公司规模等数据,并求得调整前后影子成本的变化,发现影子成本能够解释指数效应的存在原因。另外,本文还通过回归分析得到了影响累计异常收益的部分因素。
[Abstract]:As one of the anomalies of finance contrary to the efficient market hypothesis, the exponential effect has been concerned by a large number of scholars. They study the existence of this effect in the stock market and try to explain it. Up to now, many scholars have found the existence of exponential effect in different stock markets. At the same time, they have developed several hypotheses to explain this effect. It was explained at first in the context of traditional finance, then gradually in the perspective of investor psychology. These hypotheses include long-term demand curve downward hypothesis, price pressure hypothesis, information hypothesis, market segmentation hypothesis and so on. Because of the late development of the index in our country, there are few researches on the index effect in our country. The purpose of this paper is to study whether there is an exponential effect in China's Shanghai and Shenzhen 300 index and to explain the reasons for its existence. In this paper, the event research method is used to analyze the price effect and the volume effect during the event window period, which is 60 days before and after the exponential adjustment of the event announcement date. The results show that the transfer event has significant price effect and can be sustained, while the outward event is less obvious than the call in event, and has a certain lag compared with the call in event, and the cumulative average abnormal income tends to be positive in the long run. Based on the above characteristics, this paper tries to use the theory of market segmentation to explain it. The author collects the data of the number of shareholders, the number of institutional shareholders and the size of the company, and obtains the changes of shadow cost before and after adjustment, and finds that shadow cost can explain the existence of exponential effect. In addition, some factors affecting cumulative abnormal returns are obtained by regression analysis.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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