本文選題：指數(shù)效應(yīng) + 異常收益　； 參考：《南京理工大學(xué)》2012年碩士論文

【摘要】：指數(shù)效應(yīng)作為與有效市場假說相悖的金融學(xué)異象之一,被大量的學(xué)者所關(guān)注,他們對股市中是否存在這一效應(yīng)進(jìn)行研究,并且試圖對其進(jìn)行解釋。迄今為止,已經(jīng)有不少學(xué)者發(fā)現(xiàn)在不同的股票市場上指數(shù)效應(yīng)的存在,與此同時(shí),他們發(fā)展了數(shù)種關(guān)于指數(shù)效應(yīng)的假說以對這種效應(yīng)進(jìn)行解釋,一開始只是在傳統(tǒng)金融學(xué)范圍進(jìn)行解釋,后來逐漸發(fā)展到投資者心理角度。這些假說包括長期需求曲線向下假說、價(jià)格壓力假說、信息假說、市場分割假說等。 因?yàn)槲覈笖?shù)的發(fā)展較晚,所以國內(nèi)學(xué)者對指數(shù)效應(yīng)的研究還比較少。本文主要是為了研究我國滬深300指數(shù)是否存在指數(shù)效應(yīng),并試圖解釋其存在的原因。文章采用事件研究法,以指數(shù)調(diào)整事件宣告日前后60日為事件窗口期,分析在此期間的價(jià)格效應(yīng)和成交量效應(yīng)。結(jié)果發(fā)現(xiàn)調(diào)入事件存在顯著的價(jià)格效應(yīng),并且能夠持續(xù),而調(diào)出事件則不如調(diào)入事件明顯,較調(diào)入事件存在一定的滯后,且長期來看累積平均異常收益趨向于正值�；谝陨咸攸c(diǎn),本文試圖用市場分割理論對其進(jìn)行解釋。筆者收集了股東數(shù)量、機(jī)構(gòu)股東數(shù)量、公司規(guī)模等數(shù)據(jù),并求得調(diào)整前后影子成本的變化,發(fā)現(xiàn)影子成本能夠解釋指數(shù)效應(yīng)的存在原因。另外,本文還通過回歸分析得到了影響累計(jì)異常收益的部分因素。
[Abstract]:As one of the anomalies of finance contrary to the efficient market hypothesis, the exponential effect has been concerned by a large number of scholars. They study the existence of this effect in the stock market and try to explain it. Up to now, many scholars have found the existence of exponential effect in different stock markets. At the same time, they have developed several hypotheses to explain this effect. It was explained at first in the context of traditional finance, then gradually in the perspective of investor psychology. These hypotheses include long-term demand curve downward hypothesis, price pressure hypothesis, information hypothesis, market segmentation hypothesis and so on. Because of the late development of the index in our country, there are few researches on the index effect in our country. The purpose of this paper is to study whether there is an exponential effect in China's Shanghai and Shenzhen 300 index and to explain the reasons for its existence. In this paper, the event research method is used to analyze the price effect and the volume effect during the event window period, which is 60 days before and after the exponential adjustment of the event announcement date. The results show that the transfer event has significant price effect and can be sustained, while the outward event is less obvious than the call in event, and has a certain lag compared with the call in event, and the cumulative average abnormal income tends to be positive in the long run. Based on the above characteristics, this paper tries to use the theory of market segmentation to explain it. The author collects the data of the number of shareholders, the number of institutional shareholders and the size of the company, and obtains the changes of shadow cost before and after adjustment, and finds that shadow cost can explain the existence of exponential effect. In addition, some factors affecting cumulative abnormal returns are obtained by regression analysis.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 張建剛;張維;;上證180指數(shù)效應(yīng)實(shí)證研究[J];北京航空航天大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2007年01期

2 劉斌才;上海證券市場“指數(shù)效應(yīng)”的實(shí)證檢驗(yàn)[J];黑龍江對外經(jīng)貿(mào);2004年04期

3 汪旭東;;滬深300指數(shù)效應(yīng)實(shí)證分析[J];技術(shù)與市場;2009年10期

4 黃長青,陳偉忠;中國股票市場指數(shù)效應(yīng)的實(shí)證研究[J];同濟(jì)大學(xué)學(xué)報(bào)(自然科學(xué)版);2005年02期

5 宋逢明,王春燕;上證180和深成指的指數(shù)效應(yīng)研究[J];證券市場導(dǎo)報(bào);2005年06期

，

本文編號：1868856