延迟新股纳入对股票指数的影响研究

发布时间：2018-01-06 13:12

本文关键词：延迟新股纳入对股票指数的影响研究　出处：《证券市场导报》2016年07期 　论文类型：期刊论文

【摘要】：考虑到新股上市后长期弱势且我国常用新股快速进入指数的方法,本文提出新股延迟纳入股指的建议。以上证综指为标的,考察如果实施新股延迟纳入指数对上证综指收益率的影响,观察时间区间为2006年6月12日~2015年3月6日。研究结果发现,如果延迟新股纳入指数的时间,上证综指的收益率在观察期间内获得了显著提升,采取不同的纳入时间的调整指数均获得了超过50%的累计超额收益率。研究还发现,指数收益率的提升很大程度上是通过减弱(超级)大盘股上市后纳入指数计算造成对指数平均收益率的拖累实现的。
[Abstract]:Considering the long-term weakness of the new stock market and the method of fast entry of the new stock in our country, this paper puts forward the suggestion that the new stock should be delayed into the stock index, taking the Shanghai Composite Index as the target. If the implementation of the new stock delayed inclusion index on the Shanghai Composite Index yield impact, the observation time range from June 12th 2006 to March 6th 2015. The results of the study found. If new shares are delayed for inclusion in the index, the yield on the Shanghai Composite index has risen significantly during the observation period. The adjustment index with different incorporation time obtained cumulative excess return rate of more than 50%. The study also found that. The rise in index yields is largely due to the drag on the average index yield caused by the incorporation of index calculations into the stock market after the listing of (super) large-cap stocks.
【作者单位】：复旦大学经济学院;
【分类号】：F832.51
【正文快照】： 引言股价指数在市场上地位日益重要,编制的指数能否很好反映市场概况、能否满足投资者投资的需求也就成为一个值得持续关注的话题。其中一个值得关注的问题是新股的长期弱势对股票指数的影响。我国主要股价指数(如上证综指、沪深300、上证180指数)的编制目前采取新股迅速进入

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