本文選題：滬深300指數(shù) + 指數(shù)效應(yīng)　； 參考：《陜西師范大學(xué)》2013年碩士論文

【摘要】：指數(shù)調(diào)樣效應(yīng),也被稱為指數(shù)效應(yīng),它是指當(dāng)指數(shù)成分股調(diào)整時(shí),指數(shù)調(diào)入股票和調(diào)出股票在價(jià)格和交易量方面出現(xiàn)的異常反應(yīng)。一般來說,對于指數(shù)調(diào)入股票,股票價(jià)格上漲,交易量上升；對于指數(shù)調(diào)出股票,股票價(jià)格下跌,交易量下降。目前,對指數(shù)效應(yīng)的研究已經(jīng)成為市場參與主體行為研究的一個(gè)重要方面。 自Shleifer(1986)提出指數(shù)效應(yīng)現(xiàn)象以來,它就因?yàn)榕c有效市場假說相違背而備受關(guān)注,多年來,各國學(xué)者對指數(shù)效應(yīng)現(xiàn)象進(jìn)行了大量的研究,但至今對于指數(shù)效應(yīng)的解釋都未能達(dá)成統(tǒng)一看法。目前對指數(shù)效應(yīng)的解釋主要存在以下五種假說：價(jià)格壓力假說、向下需求曲線假說、流動(dòng)性假說、信息含量假說、市場分割假說。這些假說最主要的差異在于：指數(shù)成分股的調(diào)整對股票價(jià)格和交易量的影響是不是長期的；調(diào)入股票和調(diào)出股票在異常收益率和異常交易量上的影響是不是對稱的；指數(shù)成分股的調(diào)整是不是零信息事件等。雖然上面這些假設(shè)都是充滿爭議的,但都已獲得相關(guān)的數(shù)據(jù)支持。研究結(jié)論的差異可以歸因于選擇樣本期的不同及作者對長短期定義的不同。 本文采用事件研究方法,以滬深300指數(shù)在2009年6月至2011年12月間的6次定期調(diào)整和2次臨時(shí)調(diào)整的調(diào)整成分股為研究對象,重點(diǎn)研究了滬深300指數(shù)成分股的調(diào)整對股票價(jià)格和交易量的影響。事件研究法是現(xiàn)代金融學(xué)的經(jīng)典研究方法,它用估計(jì)窗估計(jì)模型參數(shù),用短期事件窗和長期事件窗來考察樣本在短長期的表現(xiàn)。本文設(shè)定了兩個(gè)時(shí)間基點(diǎn)：宣布日(AD)和生效日(ED)；設(shè)定宣布日前120個(gè)交易日(AD-120)至宣布日前5個(gè)交易日(AD-5)為估計(jì)窗,宣布日前5個(gè)交易日至生效日后15個(gè)交易日(ED+15)為短期事件窗,宣布日前5個(gè)交易日(AD-5)至生效日后60個(gè)交易日(ED+60)為長期事件窗。指數(shù)效應(yīng)對股票價(jià)格的影響稱為價(jià)格效應(yīng),用股票的超額收益來衡量,事件研究法中至關(guān)重要的一個(gè)問題是準(zhǔn)確計(jì)算超額收益,國內(nèi)對指數(shù)效應(yīng)的研究大多采用簡單收益模型和CAPM模型,但大量的研究表明,基于Fama-French三因素模型最能解釋股票收益的變化,本文采用Fama-French三因素模型來計(jì)算股票的超額收益,這也是本文的重點(diǎn)創(chuàng)新所在。 實(shí)證研究發(fā)現(xiàn)滬深300指數(shù)存在顯著地指數(shù)效應(yīng),但是調(diào)出股票和調(diào)入股票的指數(shù)效應(yīng)并不對稱,調(diào)入股票的指數(shù)效應(yīng)更為顯著,符合有效市場分割假說。從短期事件窗的分析中,我們可以看出調(diào)出股票在宣布日和生效日出現(xiàn)顯著地異常收益率和異常交易比率,而調(diào)入股票的價(jià)格和交易量效應(yīng)并沒有調(diào)出股票顯著,這可能是因?yàn)橹笖?shù)基金進(jìn)行策略性交易引起的——它們?yōu)榱吮荛_生效日當(dāng)天的價(jià)格壓力放棄跟蹤誤差最小化的管理目標(biāo),選擇在生效日前后調(diào)整投資組合；在宣布日至生效日期間,調(diào)出股票價(jià)格顯著下跌,交易量顯著增加,而調(diào)入股票的價(jià)格和交易量顯著上漲,這與指數(shù)效應(yīng)理論相吻合。在這期間股票價(jià)格和交易量的變化,一方面是由指數(shù)基金調(diào)整投資組合所造成的,另一方面也可能是由其他投資者的跟風(fēng)和投機(jī)行為所引起的。在長期事件窗的分析中,我們發(fā)現(xiàn)調(diào)入股票的指數(shù)效應(yīng)更為顯著。宣布日后,調(diào)入股票價(jià)格和交易量都顯著增長,雖然在生效日之后出現(xiàn)反轉(zhuǎn)現(xiàn)象,但并沒有回到宣布日之前的價(jià)格水平；對于調(diào)出股票,股票價(jià)格在生效日之后一段時(shí)間出現(xiàn)顯著反轉(zhuǎn),在宣布日后60個(gè)交易日,也就是宣布日后半年,調(diào)出股票的價(jià)格不僅回到指數(shù)調(diào)整前的水平,而且得到正的累計(jì)異常收益率；調(diào)出股票的交易量在生效日后出現(xiàn)反轉(zhuǎn)基本回到宣布日之前的水平。從調(diào)入股票和調(diào)出股票的市場反應(yīng)我們得出：調(diào)入股票的指數(shù)效應(yīng)符合流動(dòng)性假說和信息含量假說,而調(diào)出股票的指數(shù)效應(yīng)符合價(jià)格壓力假說。
[Abstract]:The index effect, also known as the index effect, refers to the abnormal reaction of the index into the stock and the volume of the stock when the index is adjusted. Generally speaking, the stock price is rising and the volume of the transaction is rising. At present, the research on index effect has become an important aspect of market participants' behavior research.
Since Shleifer (1986) puts forward the phenomenon of exponential effect, it has attracted much attention because of the violation of the effective market hypothesis. For many years, many scholars have done a lot of research on the phenomenon of index effect, but so far there is no unified view on the interpretation of the index effect. The following five hypotheses have been mainly explained for the index effect. The price pressure hypothesis, the downward demand curve hypothesis, the liquidity hypothesis, the information content hypothesis, the market segmentation hypothesis. The most important difference of these hypotheses is whether the influence of the adjustment of the index shares on the stock price and the volume of the transaction is not long; the effect of the transfer of stock and the out of stock on the abnormal return and the abnormal volume of transaction is the effect of the adjustment of stock and the transfer of the stock. It is not symmetrical; the readjustment of an index component is not a zero information event. Although all these assumptions are controversial, they have been supported by relevant data. The differences in the conclusion of the study can be attributed to the difference in the selection period and the difference between the author's definition of the length and the short term.
This paper uses the method of event study to study the influence of the readjustment of the Shanghai and Shenzhen 300 index component shares on the stock price and the volume of transactions with the Shanghai and Shenzhen 300 index between the 6 periodic adjustment and the 2 temporary adjusted readjustment stocks between June 2009 and December 2011. The event study method is a classical study method of modern finance. The estimation window estimates the model parameters with short-term event window and long event window to examine the short and long term performance. This paper sets two time base points: announcement day (AD) and effective day (ED); set the 120 trading days before the announcement (AD-120) to the 5 trading days prior to the announcement (AD-5) as the estimate window, announcing the first 5 trading days to 15 after the effective day A trading day (ED+15) is a short event window, announcing the 5 trading days (AD-5) and the 60 trading days after the effective day (ED+60) as a long term event window. The effect of the index effect on the stock price is called the price effect, and is measured by the excess returns of the stock. The study of number effect mostly adopts the simple income model and CAPM model, but a large number of studies show that the three factor model based on Fama-French can explain the change of stock returns most. This paper uses the Fama-French three factor model to calculate the excess return of the stock, which is the key innovation of this paper.
The empirical study found that the Shanghai and Shenzhen 300 index has a significant exponential effect, but the index effect of the stock transfer and the stock transfer is unsymmetrical, and the index effect of the transfer to the stock is more significant, which is in line with the effective market segmentation hypothesis. From the analysis of the short event window, we can see that the stock is significantly abnormal in the announcement day and the effective day. The rate of return and the rate of abnormal transaction, while the price and volume effect transferred to the stock did not make the stock significant. This may be caused by the strategic trading of the index fund - the management goals that they have given up to minimize the tracking error in order to avoid the price pressure on the day of the effective day, and choose to adjust the investment group after the effective day. In the period of the date of announcement to the date of entry into force, the price of the stock fell significantly, the volume of the transaction increased significantly, and the price and volume of the transfer to the stock rose significantly, which coincided with the theory of the index effect. It was caused by the follow and speculation of other investors. In the analysis of the long event window, we found that the index effect of entering the stock was more significant. The price and volume of stock in the stock exchange increased significantly after the day, although the reversal phenomenon occurred after the effective day, but did not return to the price level before the announcement. At the 60 trading day after the announcement, the price of the stock is not only returned to the level before the index adjustment, but also the positive cumulative abnormal return rate; the volume of the exchange of stocks back after the effective day is basically back. By announcing the level before the day. From the reaction to the stock market and the stock market, we conclude that the index effect in the stock is in line with the liquidity hypothesis and the information content hypothesis, while the index effect of the stock is in line with the price pressure hypothesis.
【學(xué)位授予單位】：陜西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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