沪深300指数调样效应的研究

发布时间：2018-06-05 23:19

本文选题：沪深300指数 + 指数效应　；参考：《陕西师范大学》2013年硕士论文

【摘要】：指数调样效应,也被称为指数效应,它是指当指数成分股调整时,指数调入股票和调出股票在价格和交易量方面出现的异常反应。一般来说,对于指数调入股票,股票价格上涨,交易量上升；对于指数调出股票,股票价格下跌,交易量下降。目前,对指数效应的研究已经成为市场参与主体行为研究的一个重要方面。自Shleifer(1986)提出指数效应现象以来,它就因为与有效市场假说相违背而备受关注,多年来,各国学者对指数效应现象进行了大量的研究,但至今对于指数效应的解释都未能达成统一看法。目前对指数效应的解释主要存在以下五种假说：价格压力假说、向下需求曲线假说、流动性假说、信息含量假说、市场分割假说。这些假说最主要的差异在于：指数成分股的调整对股票价格和交易量的影响是不是长期的；调入股票和调出股票在异常收益率和异常交易量上的影响是不是对称的；指数成分股的调整是不是零信息事件等。虽然上面这些假设都是充满争议的,但都已获得相关的数据支持。研究结论的差异可以归因于选择样本期的不同及作者对长短期定义的不同。本文采用事件研究方法,以沪深300指数在2009年6月至2011年12月间的6次定期调整和2次临时调整的调整成分股为研究对象,重点研究了沪深300指数成分股的调整对股票价格和交易量的影响。事件研究法是现代金融学的经典研究方法,它用估计窗估计模型参数,用短期事件窗和长期事件窗来考察样本在短长期的表现。本文设定了两个时间基点：宣布日(AD)和生效日(ED)；设定宣布日前120个交易日(AD-120)至宣布日前5个交易日(AD-5)为估计窗,宣布日前5个交易日至生效日后15个交易日(ED+15)为短期事件窗,宣布日前5个交易日(AD-5)至生效日后60个交易日(ED+60)为长期事件窗。指数效应对股票价格的影响称为价格效应,用股票的超额收益来衡量,事件研究法中至关重要的一个问题是准确计算超额收益,国内对指数效应的研究大多采用简单收益模型和CAPM模型,但大量的研究表明,基于Fama-French三因素模型最能解释股票收益的变化,本文采用Fama-French三因素模型来计算股票的超额收益,这也是本文的重点创新所在。实证研究发现沪深300指数存在显著地指数效应,但是调出股票和调入股票的指数效应并不对称,调入股票的指数效应更为显著,符合有效市场分割假说。从短期事件窗的分析中,我们可以看出调出股票在宣布日和生效日出现显著地异常收益率和异常交易比率,而调入股票的价格和交易量效应并没有调出股票显著,这可能是因为指数基金进行策略性交易引起的——它们为了避开生效日当天的价格压力放弃跟踪误差最小化的管理目标,选择在生效日前后调整投资组合；在宣布日至生效日期间,调出股票价格显著下跌,交易量显著增加,而调入股票的价格和交易量显著上涨,这与指数效应理论相吻合。在这期间股票价格和交易量的变化,一方面是由指数基金调整投资组合所造成的,另一方面也可能是由其他投资者的跟风和投机行为所引起的。在长期事件窗的分析中,我们发现调入股票的指数效应更为显著。宣布日后,调入股票价格和交易量都显著增长,虽然在生效日之后出现反转现象,但并没有回到宣布日之前的价格水平；对于调出股票,股票价格在生效日之后一段时间出现显著反转,在宣布日后60个交易日,也就是宣布日后半年,调出股票的价格不仅回到指数调整前的水平,而且得到正的累计异常收益率；调出股票的交易量在生效日后出现反转基本回到宣布日之前的水平。从调入股票和调出股票的市场反应我们得出：调入股票的指数效应符合流动性假说和信息含量假说,而调出股票的指数效应符合价格压力假说。
[Abstract]:The index effect, also known as the index effect, refers to the abnormal reaction of the index into the stock and the volume of the stock when the index is adjusted. Generally speaking, the stock price is rising and the volume of the transaction is rising. At present, the research on index effect has become an important aspect of market participants' behavior research.
Since Shleifer (1986) puts forward the phenomenon of exponential effect, it has attracted much attention because of the violation of the effective market hypothesis. For many years, many scholars have done a lot of research on the phenomenon of index effect, but so far there is no unified view on the interpretation of the index effect. The following five hypotheses have been mainly explained for the index effect. The price pressure hypothesis, the downward demand curve hypothesis, the liquidity hypothesis, the information content hypothesis, the market segmentation hypothesis. The most important difference of these hypotheses is whether the influence of the adjustment of the index shares on the stock price and the volume of the transaction is not long; the effect of the transfer of stock and the out of stock on the abnormal return and the abnormal volume of transaction is the effect of the adjustment of stock and the transfer of the stock. It is not symmetrical; the readjustment of an index component is not a zero information event. Although all these assumptions are controversial, they have been supported by relevant data. The differences in the conclusion of the study can be attributed to the difference in the selection period and the difference between the author's definition of the length and the short term.
This paper uses the method of event study to study the influence of the readjustment of the Shanghai and Shenzhen 300 index component shares on the stock price and the volume of transactions with the Shanghai and Shenzhen 300 index between the 6 periodic adjustment and the 2 temporary adjusted readjustment stocks between June 2009 and December 2011. The event study method is a classical study method of modern finance. The estimation window estimates the model parameters with short-term event window and long event window to examine the short and long term performance. This paper sets two time base points: announcement day (AD) and effective day (ED); set the 120 trading days before the announcement (AD-120) to the 5 trading days prior to the announcement (AD-5) as the estimate window, announcing the first 5 trading days to 15 after the effective day A trading day (ED+15) is a short event window, announcing the 5 trading days (AD-5) and the 60 trading days after the effective day (ED+60) as a long term event window. The effect of the index effect on the stock price is called the price effect, and is measured by the excess returns of the stock. The study of number effect mostly adopts the simple income model and CAPM model, but a large number of studies show that the three factor model based on Fama-French can explain the change of stock returns most. This paper uses the Fama-French three factor model to calculate the excess return of the stock, which is the key innovation of this paper.
The empirical study found that the Shanghai and Shenzhen 300 index has a significant exponential effect, but the index effect of the stock transfer and the stock transfer is unsymmetrical, and the index effect of the transfer to the stock is more significant, which is in line with the effective market segmentation hypothesis. From the analysis of the short event window, we can see that the stock is significantly abnormal in the announcement day and the effective day. The rate of return and the rate of abnormal transaction, while the price and volume effect transferred to the stock did not make the stock significant. This may be caused by the strategic trading of the index fund - the management goals that they have given up to minimize the tracking error in order to avoid the price pressure on the day of the effective day, and choose to adjust the investment group after the effective day. In the period of the date of announcement to the date of entry into force, the price of the stock fell significantly, the volume of the transaction increased significantly, and the price and volume of the transfer to the stock rose significantly, which coincided with the theory of the index effect. It was caused by the follow and speculation of other investors. In the analysis of the long event window, we found that the index effect of entering the stock was more significant. The price and volume of stock in the stock exchange increased significantly after the day, although the reversal phenomenon occurred after the effective day, but did not return to the price level before the announcement. At the 60 trading day after the announcement, the price of the stock is not only returned to the level before the index adjustment, but also the positive cumulative abnormal return rate; the volume of the exchange of stocks back after the effective day is basically back. By announcing the level before the day. From the reaction to the stock market and the stock market, we conclude that the index effect in the stock is in line with the liquidity hypothesis and the information content hypothesis, while the index effect of the stock is in line with the price pressure hypothesis.
【学位授予单位】：陕西师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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