【摘要】：指數(shù)效應(yīng),也被稱為指數(shù)調(diào)整效應(yīng),是指在指數(shù)成份股發(fā)生調(diào)整時(shí),調(diào)入和調(diào)出的樣本股會(huì)出現(xiàn)價(jià)格和成交量異常的現(xiàn)象。在過去的10年中,指數(shù)、指數(shù)基金和指數(shù)衍生產(chǎn)品在我國(guó)市場(chǎng)迅速發(fā)展,指數(shù)產(chǎn)業(yè)化的發(fā)展模式已經(jīng)初步形成,因此A股市場(chǎng)的指數(shù)效應(yīng)也受到了機(jī)構(gòu)投資者和學(xué)者的廣泛關(guān)注。本文選取了2009年1月至2013年12月期間滬深300指數(shù)11次定期調(diào)樣的438只股票作為樣本,通過對(duì)股票異常收益率、異常成交量、異常波動(dòng)率的測(cè)算和構(gòu)建模型等多個(gè)角度實(shí)證檢驗(yàn)了我國(guó)股票市場(chǎng)指數(shù)效應(yīng)的存在性,并分析了其表現(xiàn)出來的特征。實(shí)證結(jié)果表明：滬深300指數(shù)在公告日至實(shí)施日這個(gè)區(qū)間內(nèi)存在顯著的指數(shù)效應(yīng),公告日和實(shí)施日前后的表現(xiàn)并不顯著。指數(shù)效應(yīng)具有短期性和非對(duì)稱性的特征,最適合解釋我國(guó)現(xiàn)階段指數(shù)效應(yīng)的理論解說是價(jià)格壓力假說。指數(shù)效應(yīng)隨著指數(shù)產(chǎn)品的發(fā)展而增強(qiáng),尤其在2010年以后指數(shù)調(diào)樣效應(yīng)較之前表現(xiàn)得更加的顯著。最后,本文也為股票市場(chǎng)上不同身份的參與主體提出了政策建議。
[Abstract]:The index effect, also known as the index adjustment effect, refers to the abnormal price and trading volume of the stock in and out of the sample stock when the index component stock is adjusted. In the past 10 years, index funds and index derivatives have developed rapidly in China's market, and the development model of index industrialization has taken shape. As a result, A-share market index effect has also been widely concerned by institutional investors and scholars. From January 2009 to December 2013, 438 stocks of Shanghai and Shenzhen 300 index were selected as samples. This paper empirically tests the existence of the index effect in China's stock market and analyzes its characteristics from several angles, such as the measurement of abnormal volatility and the construction of models. The empirical results show that the CSI 300 index has significant exponential effect during the period from the announcement date to the implementation date, but the performance before and after the announcement day and the implementation day is not significant. Index effect has the characteristics of short term and asymmetry. The most suitable theoretical explanation for the index effect at present is the price pressure hypothesis. The index effect increases with the development of the index product, especially after 2010, the index adjustment effect is more obvious than before. Finally, this paper also puts forward policy recommendations for different participants in the stock market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：2261522