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中南大学学报(社会科学版)
ZHONGNAN DAXUE XUEBAO(SHEHUI KEXUE BAN)

2015年02月第21卷第1期
   
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文章编号:1672-3104(2015)01-0111-08
 
沪深300成分股调整与股票收益的同步性研究
 
饶育蕾,鲍玮,彭叠峰
 
(中南大学商学院,湖南长沙,410083)
 
摘  要: 对2005—2012年间调入沪深300指数股票样本进行分析,实证发现股票与指数成分股的同步性在加入指数后出现上升,并且在金融危机时期和沪深300股指期货成立后调入股票的同步性上升现象更为显著。这一结果与基于情绪的同步性理论预期相一致。进一步实证发现,调入股票的同步性上升现象与股票在调入后换手率的变化无关,文章的结果不支持非交易假说。此外,信息效应在股指期货成立后效果更加明显,因而信息扩散理论可以部分解释调入股票同步性的变化现象。
 
关键词: 同步性;沪深300指数;股指期货;贝塔;投资者情绪
 
 
SHSW-SZSE300 index adjustment and stocks return co-movement
 
RAO Yulei, BAO Wei, PENG Diefeng
 
(School of Business, Central South University, Changsha 410083, China)
 
Abstract: In this paper, the authors analyze the stock samples added into Shanghai and Shenzhen 300 index (SHSE-SZSE300) during 2005—2011. The results empirically reveal an increase of co-movement between added stock and index constituents after the index replacements, and show that, such phenomenon has been notable in the recent financial crisis and after the introduction of the SHSE-SZSE300 index futures. These findings are consistent with the expectations of sentiment-based co-movement theory. Further specific studies suggest that, after the index replacement, the enhancement of co-movement is independent of the changes in added stock turnover. Therefore, it can be concluded that the results of this paper cannot easily be explained by the non-trading hypothesis. In addition, the effect of information reaction on added stocks is obviously increased after the introduction of the SHSE-SZSE300 index futures. So the co-movement phenomenon could be partly explained by the information diffusion theory.
 
Key words: co-movement; SHSE-SZSE300 index; stock index future; beta; investor sentiment
 
 
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