沪深300指数效应及其原因的探究分析

发布时间：2018-02-26 23:00

本文关键词： 沪深300指数指数效应验证假说相对异常收益率　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：指数调整的价格与成交量效应早已被国外学者所广泛关注,目前国外普遍的结论是指数效应的确存在,对于调入或者调出指数的股票会存在异常收益与异常成交量,所不同的是该效应是短期还是长期,以及效应的来源尚无定论。目前这一效应在国内的研究仍然较少,研究的方法上以传统的方法为主,相对缺乏创新。本文在前人研究的基础上,引入了参照标的的概念,提出相对异常收益的事件衡量指标,对沪深300指数进行了深入地研究发现：在传统的正常收益计算方法下,调入股票与调出股票均存在显著的异常收益,但是在相对异常收益的方法下,只有调入股票的指数调整效应在统计上显著,而调出股票的这一效应仅在公告日后20日的显著,说明这一效应只是暂时性的。随后本文深刻地分析了指数调整的价格效应背后可能的成因,并从监管成本、信息传递以及流动性等方面对样本再次进行了剖析,结果表明,多次调入指数的股票的价格效应不明显,且统计上不显著,表明监管成本在首次调入指数的时候已经得到了下降,而被调出指数不会导致该成本的上升；信息传递作用经统计发现在统计上十分显著,民企200指数尽管没有被指数型产品追踪,但是依然享有异常收益；最后考察流动性的变化,本文的结果显示不管是调入指数的股票还是调出指数的股票在公告日后的120日内均存在流动性改善的迹象,调出指数的股票的流动性并没有如预期中的出现下降。总体而言,本文的结论与验证假说,噪声交易理论相符,流动性假说相符
[Abstract]:The price and volume effects of index adjustment have long been widely concerned by foreign scholars. At present, the universal conclusion abroad is that the index effect does exist, and there will be abnormal returns and abnormal trading volume for stocks transferred in or out of the index. The difference is whether the effect is short-term or long-term, and the source of the effect is still unknown. At present, the research on this effect is still few in our country, the research methods are mainly traditional methods and lack of innovation. On the basis of previous studies, this paper introduces the concept of reference object, puts forward the event measurement index of relative abnormal return, and makes an in-depth study of the CSI 300 index. It is found that under the traditional normal income calculation method, There are significant abnormal returns in and out of stocks, but under the method of relative abnormal returns, only the index adjustment effect of the transferred stocks is statistically significant, while the effect of transferring out stocks is only significant in 20th after the announcement. The result shows that this effect is only temporary. Then, this paper deeply analyzes the possible causes behind the price effect of index adjustment, and analyzes the sample again from the aspects of regulatory cost, information transmission and liquidity. The results show that, The price effect of the stocks transferred into the index is not obvious and statistically insignificant, which indicates that the cost of supervision has been reduced at the first time of the index, but the cost will not be increased when the index is transferred out of the index. The role of information transmission is statistically significant. Although the private enterprise 200 index is not tracked by index products, it still enjoys abnormal returns. Finally, it examines the change of liquidity. The results of this paper show that there are signs of liquidity improvement within 120 days after the announcement whether the stocks transferred into or out of the index show signs of liquidity improvement, and the liquidity of the stocks transferred out of the index has not decreased as expected. In general, the conclusion of this paper is consistent with the verification hypothesis, the noise trading theory, and the liquidity hypothesis.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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