沪深300指数效应的实证研究

发布时间：2018-01-30 20:06

本文关键词： 沪深300指数效应异常收益率信息含量假说分割市场假说　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：指数效应是指当股票调入或调出某个指数的时候,调入和调出股票的价格及成交量所出现的异常反应。这种有悖于传统金融市场的金融异像广受学者和投资者关注,国外对指数效应的研究已较成熟,形成了价格压力假说、流动性假说、向下的需求曲线假说、信息含量假说以及分割市场假说等的5种理论假说。本文以2007.7-2013.7沪深300指数调入和调出股票为研究对象,利用事件窗研究法检验价格效应和成交量效应,发现沪深300调入和调出股票的指数效应显著,且具不对称性：调入股票异常收益率在短事件窗中有微弱反转迹象,但在长期中不反转,而调出股票会反转,且反转后在长事件窗内累计异常收益率远超过调入股票组合；调出股票的平均交易比率的调高要略延迟于调入股票,但在长窗口期中其调高的幅度要大于调入股票。沪深300指数效应的存在性和不对称性是一种与传统金融理论对立的金融异像,是对我国证券市场有效性以及投资者的行为和心理特征进行研究的很好切入点,且在理论上提供沪深300指数效应的解释有利于指导投资者的套利投资实践。本文研究指出归因于指数基金追踪行为的价格压力假说只能部分地解释沪深300指数效应。本文将调入和调出股票价格效应的不对称性与公司基本面的研究相结合,通过分析沪深300调整后EPS预测值、EPS预测误差以及实际EPS的变动,证实了信息含量假说的解释力；通过对沪深300调整成分股的股东数、机构投资者数量和机构投资者占比、分析师覆盖率、影子价格等因素变化量分析后,证实了分割市场假说的解释力；以累计异常收益CAR120对流动性假说、信息含量假说和分割市场假说中各个经典指标进行多元回归分析,发现指数成分股调整前后EPS的变动是能解释调入股票和调出股票价格效应存在性和不对称性的主要因素,信息含量假说对沪深300指数效应的解释力度相对较大。最后,通过分析沪深300调整事件中与投资者行为相关因素的变动,本文为机构投资者和普通投资者提出了指数调整事件后投资决策选择的启示。
[Abstract]:Exponential effect is when a stock is transferred in or out of an index. The abnormal reaction in and out of the stock price and trading volume, which is contrary to the financial phenomenon of traditional financial markets, has been widely concerned by scholars and investors, the foreign research on the index effect has been more mature. Formed the price pressure hypothesis, the liquidity hypothesis, the downward demand curve hypothesis. Information content hypothesis and segmentation market hypothesis. This paper takes the Shanghai and Shenzhen 300 index as the research object from 2007 to 2013.7. Using the event window research method to test the price effect and the trading volume effect, it is found that the index effect of Shanghai and Shenzhen 300 is significant. And asymmetry: the abnormal return on the stock in the short event window has a weak sign of reversal, but in the long run, the stock will reverse. And the accumulated abnormal return rate in the long event window after reversal is far more than the stock portfolio; The increase in the average trading ratio of a stock pulled out is slightly delayed by the transfer into the stock. However, in the long window period, the amplitude of its adjustment is larger than that of the stock market. The existence and asymmetry of Shanghai and Shenzhen 300 index effect is a kind of financial aberration opposite to the traditional financial theory. It is a good starting point to study the validity of Chinese securities market and the behavior and psychological characteristics of investors. In theory, the explanation of Shanghai and Shenzhen 300 index effect is helpful to guide investors' arbitrage investment practice. This paper points out that the price pressure hypothesis attributed to the index fund tracking behavior can only partially explain the Shanghai and Shenzhen 30. This paper combines the asymmetry of stock price effect in and out with the study of company fundamental. By analyzing the error of EPS prediction and the change of actual EPS after the adjustment of CSI 300, the explanatory power of the information content hypothesis is confirmed. Through the analysis of the number of shareholders, the number of institutional investors and the proportion of institutional investors, the coverage of analysts, the shadow price and other factors, the explanatory power of the segmentation market hypothesis is confirmed. Based on the cumulative abnormal return (CAR120), the multivariate regression analysis of the liquidity hypothesis, the information content hypothesis and the segmentation market hypothesis is carried out. It is found that the change of EPS before and after the adjustment of index stocks is the main factor which can explain the existence and asymmetry of stock price effect. The information content hypothesis is relatively strong to explain the CSI 300 index effect. Finally, by analyzing the changes of the factors related to investor behavior in the CSI 300 adjustment event. This paper provides inspiration for institutional investors and ordinary investors to choose the investment decision after the index adjustment event.
【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

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