本文關(guān)鍵詞： 滬深300指數(shù) 指數(shù)效應(yīng) 驗(yàn)證假說 相對(duì)異常收益率　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：指數(shù)調(diào)整的價(jià)格與成交量效應(yīng)早已被國(guó)外學(xué)者所廣泛關(guān)注,目前國(guó)外普遍的結(jié)論是指數(shù)效應(yīng)的確存在,對(duì)于調(diào)入或者調(diào)出指數(shù)的股票會(huì)存在異常收益與異常成交量,所不同的是該效應(yīng)是短期還是長(zhǎng)期,以及效應(yīng)的來源尚無定論。目前這一效應(yīng)在國(guó)內(nèi)的研究仍然較少,研究的方法上以傳統(tǒng)的方法為主,相對(duì)缺乏創(chuàng)新。 本文在前人研究的基礎(chǔ)上,引入了參照標(biāo)的的概念,提出相對(duì)異常收益的事件衡量指標(biāo),對(duì)滬深300指數(shù)進(jìn)行了深入地研究發(fā)現(xiàn)：在傳統(tǒng)的正常收益計(jì)算方法下,調(diào)入股票與調(diào)出股票均存在顯著的異常收益,但是在相對(duì)異常收益的方法下,只有調(diào)入股票的指數(shù)調(diào)整效應(yīng)在統(tǒng)計(jì)上顯著,而調(diào)出股票的這一效應(yīng)僅在公告日后20日的顯著,說明這一效應(yīng)只是暫時(shí)性的。隨后本文深刻地分析了指數(shù)調(diào)整的價(jià)格效應(yīng)背后可能的成因,并從監(jiān)管成本、信息傳遞以及流動(dòng)性等方面對(duì)樣本再次進(jìn)行了剖析,結(jié)果表明,多次調(diào)入指數(shù)的股票的價(jià)格效應(yīng)不明顯,且統(tǒng)計(jì)上不顯著,表明監(jiān)管成本在首次調(diào)入指數(shù)的時(shí)候已經(jīng)得到了下降,而被調(diào)出指數(shù)不會(huì)導(dǎo)致該成本的上升；信息傳遞作用經(jīng)統(tǒng)計(jì)發(fā)現(xiàn)在統(tǒng)計(jì)上十分顯著,民企200指數(shù)盡管沒有被指數(shù)型產(chǎn)品追蹤,但是依然享有異常收益；最后考察流動(dòng)性的變化,本文的結(jié)果顯示不管是調(diào)入指數(shù)的股票還是調(diào)出指數(shù)的股票在公告日后的120日內(nèi)均存在流動(dòng)性改善的跡象,調(diào)出指數(shù)的股票的流動(dòng)性并沒有如預(yù)期中的出現(xiàn)下降。 總體而言,本文的結(jié)論與驗(yàn)證假說,噪聲交易理論相符,流動(dòng)性假說相符
[Abstract]:The price and volume effects of index adjustment have long been widely concerned by foreign scholars. At present, the universal conclusion abroad is that the index effect does exist, and there will be abnormal returns and abnormal trading volume for stocks transferred in or out of the index. The difference is whether the effect is short-term or long-term, and the source of the effect is still unknown. At present, the research on this effect is still few in our country, the research methods are mainly traditional methods and lack of innovation. On the basis of previous studies, this paper introduces the concept of reference object, puts forward the event measurement index of relative abnormal return, and makes an in-depth study of the CSI 300 index. It is found that under the traditional normal income calculation method, There are significant abnormal returns in and out of stocks, but under the method of relative abnormal returns, only the index adjustment effect of the transferred stocks is statistically significant, while the effect of transferring out stocks is only significant in 20th after the announcement. The result shows that this effect is only temporary. Then, this paper deeply analyzes the possible causes behind the price effect of index adjustment, and analyzes the sample again from the aspects of regulatory cost, information transmission and liquidity. The results show that, The price effect of the stocks transferred into the index is not obvious and statistically insignificant, which indicates that the cost of supervision has been reduced at the first time of the index, but the cost will not be increased when the index is transferred out of the index. The role of information transmission is statistically significant. Although the private enterprise 200 index is not tracked by index products, it still enjoys abnormal returns. Finally, it examines the change of liquidity. The results of this paper show that there are signs of liquidity improvement within 120 days after the announcement whether the stocks transferred into or out of the index show signs of liquidity improvement, and the liquidity of the stocks transferred out of the index has not decreased as expected. In general, the conclusion of this paper is consistent with the verification hypothesis, the noise trading theory, and the liquidity hypothesis.
【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】：2013
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1540027