發(fā)布時(shí)間：2018-01-30 20:06

  本文關(guān)鍵詞： 滬深300指數(shù)效應(yīng) 異常收益率 信息含量假說(shuō) 分割市場(chǎng)假說(shuō)　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：指數(shù)效應(yīng)是指當(dāng)股票調(diào)入或調(diào)出某個(gè)指數(shù)的時(shí)候,調(diào)入和調(diào)出股票的價(jià)格及成交量所出現(xiàn)的異常反應(yīng)。這種有悖于傳統(tǒng)金融市場(chǎng)的金融異像廣受學(xué)者和投資者關(guān)注,國(guó)外對(duì)指數(shù)效應(yīng)的研究已較成熟,形成了價(jià)格壓力假說(shuō)、流動(dòng)性假說(shuō)、向下的需求曲線假說(shuō)、信息含量假說(shuō)以及分割市場(chǎng)假說(shuō)等的5種理論假說(shuō)。本文以2007.7-2013.7滬深300指數(shù)調(diào)入和調(diào)出股票為研究對(duì)象,利用事件窗研究法檢驗(yàn)價(jià)格效應(yīng)和成交量效應(yīng),發(fā)現(xiàn)滬深300調(diào)入和調(diào)出股票的指數(shù)效應(yīng)顯著,且具不對(duì)稱(chēng)性：調(diào)入股票異常收益率在短事件窗中有微弱反轉(zhuǎn)跡象,但在長(zhǎng)期中不反轉(zhuǎn),而調(diào)出股票會(huì)反轉(zhuǎn),且反轉(zhuǎn)后在長(zhǎng)事件窗內(nèi)累計(jì)異常收益率遠(yuǎn)超過(guò)調(diào)入股票組合；調(diào)出股票的平均交易比率的調(diào)高要略延遲于調(diào)入股票,但在長(zhǎng)窗口期中其調(diào)高的幅度要大于調(diào)入股票。滬深300指數(shù)效應(yīng)的存在性和不對(duì)稱(chēng)性是一種與傳統(tǒng)金融理論對(duì)立的金融異像,是對(duì)我國(guó)證券市場(chǎng)有效性以及投資者的行為和心理特征進(jìn)行研究的很好切入點(diǎn),且在理論上提供滬深300指數(shù)效應(yīng)的解釋有利于指導(dǎo)投資者的套利投資實(shí)踐。本文研究指出歸因于指數(shù)基金追蹤行為的價(jià)格壓力假說(shuō)只能部分地解釋滬深300指數(shù)效應(yīng)。本文將調(diào)入和調(diào)出股票價(jià)格效應(yīng)的不對(duì)稱(chēng)性與公司基本面的研究相結(jié)合,通過(guò)分析滬深300調(diào)整后EPS預(yù)測(cè)值、EPS預(yù)測(cè)誤差以及實(shí)際EPS的變動(dòng),證實(shí)了信息含量假說(shuō)的解釋力；通過(guò)對(duì)滬深300調(diào)整成分股的股東數(shù)、機(jī)構(gòu)投資者數(shù)量和機(jī)構(gòu)投資者占比、分析師覆蓋率、影子價(jià)格等因素變化量分析后,證實(shí)了分割市場(chǎng)假說(shuō)的解釋力；以累計(jì)異常收益CAR120對(duì)流動(dòng)性假說(shuō)、信息含量假說(shuō)和分割市場(chǎng)假說(shuō)中各個(gè)經(jīng)典指標(biāo)進(jìn)行多元回歸分析,發(fā)現(xiàn)指數(shù)成分股調(diào)整前后EPS的變動(dòng)是能解釋調(diào)入股票和調(diào)出股票價(jià)格效應(yīng)存在性和不對(duì)稱(chēng)性的主要因素,信息含量假說(shuō)對(duì)滬深300指數(shù)效應(yīng)的解釋力度相對(duì)較大。最后,通過(guò)分析滬深300調(diào)整事件中與投資者行為相關(guān)因素的變動(dòng),本文為機(jī)構(gòu)投資者和普通投資者提出了指數(shù)調(diào)整事件后投資決策選擇的啟示。
[Abstract]:Exponential effect is when a stock is transferred in or out of an index. The abnormal reaction in and out of the stock price and trading volume, which is contrary to the financial phenomenon of traditional financial markets, has been widely concerned by scholars and investors, the foreign research on the index effect has been more mature. Formed the price pressure hypothesis, the liquidity hypothesis, the downward demand curve hypothesis. Information content hypothesis and segmentation market hypothesis. This paper takes the Shanghai and Shenzhen 300 index as the research object from 2007 to 2013.7. Using the event window research method to test the price effect and the trading volume effect, it is found that the index effect of Shanghai and Shenzhen 300 is significant. And asymmetry: the abnormal return on the stock in the short event window has a weak sign of reversal, but in the long run, the stock will reverse. And the accumulated abnormal return rate in the long event window after reversal is far more than the stock portfolio; The increase in the average trading ratio of a stock pulled out is slightly delayed by the transfer into the stock. However, in the long window period, the amplitude of its adjustment is larger than that of the stock market. The existence and asymmetry of Shanghai and Shenzhen 300 index effect is a kind of financial aberration opposite to the traditional financial theory. It is a good starting point to study the validity of Chinese securities market and the behavior and psychological characteristics of investors. In theory, the explanation of Shanghai and Shenzhen 300 index effect is helpful to guide investors' arbitrage investment practice. This paper points out that the price pressure hypothesis attributed to the index fund tracking behavior can only partially explain the Shanghai and Shenzhen 30. This paper combines the asymmetry of stock price effect in and out with the study of company fundamental. By analyzing the error of EPS prediction and the change of actual EPS after the adjustment of CSI 300, the explanatory power of the information content hypothesis is confirmed. Through the analysis of the number of shareholders, the number of institutional investors and the proportion of institutional investors, the coverage of analysts, the shadow price and other factors, the explanatory power of the segmentation market hypothesis is confirmed. Based on the cumulative abnormal return (CAR120), the multivariate regression analysis of the liquidity hypothesis, the information content hypothesis and the segmentation market hypothesis is carried out. It is found that the change of EPS before and after the adjustment of index stocks is the main factor which can explain the existence and asymmetry of stock price effect. The information content hypothesis is relatively strong to explain the CSI 300 index effect. Finally, by analyzing the changes of the factors related to investor behavior in the CSI 300 adjustment event. This paper provides inspiration for institutional investors and ordinary investors to choose the investment decision after the index adjustment event.
【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(lèi)號(hào)】：F832.51

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本文編號(hào)：1477121