上证180指数效应实证研究

详细信息

Empirical Analysis of SSE 180 Index Effects

摘要: 选取上证180指数2002年12月到2005年1月期间五次成份股调整为样本，采用标准化残差方法克服了事件研究中因聚类问题对统计结果的影响，对指数调整期间的价格和成交量效应进行实证研究。研究发现，调入和调出股票均对调整信息做出了相应的反应，调入股票存在正的持久的超额收益，调出股票负的超额收益发生了反转。这种非对称现象可以由投资者关注和市场分割假说解释
- 指数效应 /
- 事件研究法 /
- 投资者关注与市场分割假说
Abstract: Based on the four index replacement samples from 2002 to 2004, the pap er has examined the price effects and trading volume effects of SSE180. Standard ized residual method solves the problem of clustering in event study. The result s show that both additions and deletions respond to the replacement information. The additions have positive and permanent abnormal returns while the negative a bnormal returns of deletions reverse in the following 30 days. The asymmetric pr ice effects of additions and deletions can be explained by investor awareness an d market segmentation hypothesis.
- rket segmentation hypothesisindex effect /
- event study /
- investor awareness and ma

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