本文選題：指數效應 + 異常收益��； 參考：《南京理工大學》2012年碩士論文

【摘要】：指數效應作為與有效市場假說相悖的金融學異象之一,被大量的學者所關注,他們對股市中是否存在這一效應進行研究,并且試圖對其進行解釋。迄今為止,已經有不少學者發(fā)現在不同的股票市場上指數效應的存在,與此同時,他們發(fā)展了數種關于指數效應的假說以對這種效應進行解釋,一開始只是在傳統金融學范圍進行解釋,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、價格壓力假說、信息假說、市場分割假說等。 因為我國指數的發(fā)展較晚,所以國內學者對指數效應的研究還比較少。本文主要是為了研究我國滬深300指數是否存在指數效應,并試圖解釋其存在的原因。文章采用事件研究法,以指數調整事件宣告日前后60日為事件窗口期,分析在此期間的價格效應和成交量效應。結果發(fā)現調入事件存在顯著的價格效應,并且能夠持續(xù),而調出事件則不如調入事件明顯,較調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,本文試圖用市場分割理論對其進行解釋。筆者收集了股東數量、機構股東數量、公司規(guī)模等數據,并求得調整前后影子成本的變化,發(fā)現影子成本能夠解釋指數效應的存在原因。另外,本文還通過回歸分析得到了影響累計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.
【學位授予單位】：南京理工大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51

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本文編號：1868856