沪深300指数效应实证研究与特征分析
发布时间：2018-10-10 11:03
【摘要】：指数效应,也被称为指数调整效应,是指在指数成份股发生调整时,调入和调出的样本股会出现价格和成交量异常的现象。在过去的10年中,指数、指数基金和指数衍生产品在我国市场迅速发展,指数产业化的发展模式已经初步形成,因此A股市场的指数效应也受到了机构投资者和学者的广泛关注。本文选取了2009年1月至2013年12月期间沪深300指数11次定期调样的438只股票作为样本,通过对股票异常收益率、异常成交量、异常波动率的测算和构建模型等多个角度实证检验了我国股票市场指数效应的存在性,并分析了其表现出来的特征。实证结果表明：沪深300指数在公告日至实施日这个区间内存在显著的指数效应,公告日和实施日前后的表现并不显著。指数效应具有短期性和非对称性的特征,最适合解释我国现阶段指数效应的理论解说是价格压力假说。指数效应随着指数产品的发展而增强,尤其在2010年以后指数调样效应较之前表现得更加的显著。最后,本文也为股票市场上不同身份的参与主体提出了政策建议。
[Abstract]:The index effect, also known as the index adjustment effect, refers to the abnormal price and trading volume of the stock in and out of the sample stock when the index component stock is adjusted. In the past 10 years, index funds and index derivatives have developed rapidly in China's market, and the development model of index industrialization has taken shape. As a result, A-share market index effect has also been widely concerned by institutional investors and scholars. From January 2009 to December 2013, 438 stocks of Shanghai and Shenzhen 300 index were selected as samples. This paper empirically tests the existence of the index effect in China's stock market and analyzes its characteristics from several angles, such as the measurement of abnormal volatility and the construction of models. The empirical results show that the CSI 300 index has significant exponential effect during the period from the announcement date to the implementation date, but the performance before and after the announcement day and the implementation day is not significant. Index effect has the characteristics of short term and asymmetry. The most suitable theoretical explanation for the index effect at present is the price pressure hypothesis. The index effect increases with the development of the index product, especially after 2010, the index adjustment effect is more obvious than before. Finally, this paper also puts forward policy recommendations for different participants in the stock market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
本文编号：2261522
[Abstract]:The index effect, also known as the index adjustment effect, refers to the abnormal price and trading volume of the stock in and out of the sample stock when the index component stock is adjusted. In the past 10 years, index funds and index derivatives have developed rapidly in China's market, and the development model of index industrialization has taken shape. As a result, A-share market index effect has also been widely concerned by institutional investors and scholars. From January 2009 to December 2013, 438 stocks of Shanghai and Shenzhen 300 index were selected as samples. This paper empirically tests the existence of the index effect in China's stock market and analyzes its characteristics from several angles, such as the measurement of abnormal volatility and the construction of models. The empirical results show that the CSI 300 index has significant exponential effect during the period from the announcement date to the implementation date, but the performance before and after the announcement day and the implementation day is not significant. Index effect has the characteristics of short term and asymmetry. The most suitable theoretical explanation for the index effect at present is the price pressure hypothesis. The index effect increases with the development of the index product, especially after 2010, the index adjustment effect is more obvious than before. Finally, this paper also puts forward policy recommendations for different participants in the stock market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
【参考文献】
相关重要报纸文章 前1条
1 深圳证券交易所博士后工作站 邢精平;[N];证券时报;2005年
，本文编号：2261522
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