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題名 滬深300指數成分股調整效應研究
The Price Effect Associated with Changes in the CSI 300 List作者 沈怡
Shen, Sherry貢獻者 陳威光<br>林靖庭
Chen, Wei Kuang<br>Lin, Ching Ting
沈怡
Shen, Sherry關鍵詞 指數調整效應
滬深300指數
長期
CSI300日期 2013 上傳時間 7-Jul-2014 11:13:06 (UTC+8) 摘要 指數成分股調整效應是行為財務領域的一大研究課題。近年來隨著中國股市不斷發展，各類指數衍生品層出不窮，指數的編制和調整也就產生越來越大的影響。另一方面，中國股市仍屬於新興市場，指數成分股調整的效應相較國外發達市場也許存在其特殊之處。而面對這一重要課題，中國學界和業界的研究卻略顯不足。鑒於此，本文從短期和長期兩個角度來研究對中國股市影響最大的指數——滬深300指數的成分股調整效應。在滬深300指數成分股調整的短期效應方面，本文從股價和成交量兩個方面進行了研究。實證結果顯示，在股票剛被調入指數後，股價會產生正的異常報酬且成交量上升，而被調出指數的股票成交量會略微上升且產生負的異常報酬。但是與國外的實證結果相比，滬深300指數成分股調整的短期效應並沒有非常明顯，本文認為這可能與中國股市機構投資人占比過少有關。在指數成分股調整對調入股和調出股的長期影響方面，本文首先研究了指數調整後的長期股價表現，發現調入股的股價累積報酬優於指數，但不如調入指數前自身的股價表現，調出股則與之相反。接著對股東人數、機構投資人數量和股價波動度進行比較分析。研究發現，指數調整之後，調入股的股東人數會顯著上升，調出股的股東會減少，但該因素對指數調整後股票的長期異常報酬沒有明顯影響；指數成分股調整後機構投資人數量和股價波動度也有明顯變化——調入股的機構投資人增加，波動度降低，調出股機構投資人減少，波動度上升——且這兩個因素對股價異常報酬的影響是顯著的。另外，公司規模大小也是影響股價異常報酬的一個顯著因素。
The effect of stock index composition changes is one of the important subjects in the field of behavioral finance. With the rapid development of Chinese equity market, stock index is playing an increasingly important part. Chinese equity market, on the other hand, is still at emerging stage, the stock index composition changes may have the different effect from that of the developed countries. However，the correlative study in China is far from enough. This paper investigates the CSI 300 which is the most influential stock index in China to find out the the effect of stock index composition changes in both short term and long term.In the short term, the study focuses on the price and volume. The empirical results show that there is a positive abnormal returns and increasing trading volume of added firms, while a negative abnormal returns and slightly increasing trading volume of deleted firms. However, compared with empirical results abroad, short-term effects associated with the change of the CSI 300 index list is not very obvious, which may be accounted for too little institutional investors in the Chinese stock market.In the long term, this paper firstly studies the long-term stock price performance of the index adjustment. For additions, cumulative return after index adjustment is better than that of the CSI 300 index, but is worse than the performance before the adjustment, while the deletions performance is opposite. Secondly, number of shareholders, institutional investors and stock price volatility are analyzed. There is a significant increase in the number of shareholders of added firms and a decline for deleted firms, but this factor has little influence for abnormal stock price returns. Similarly, for additions, institutional investors increases and volatility reduces, deletions are opposite. Abnormal stock price returns are significantly affected by the number of institutional investors and volatility. In addition, the company size is also a significant factor affecting the abnormal returns.參考文獻 Blume, M., & Edelen, R. (2002). On Replicating the S&P 500 Index. Rodney L. White Center for Financial Research Working Paper, (08-02). Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59(4), 1901-1930. Cooper, D., & Woglom, G. (2003). The S&P 500 effect: Not so good in the long run. The Journal of Investing, 12(4), 62-73. Dhillon, U., & Johnson, H. (1991). Changes in the Standard and Poor`s 500 List. Journal of Business, 75-85. Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815-829. Hegde, S. P., & McDermott, J. B. (2003). The liquidity effects of revisions to the S&P 500 index: An empirical analysis. Journal of Financial Markets,6(3), 413-459. Kadlec, G. B., & McConnell, J. J. (1994). The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings. The Journal of Finance, 49(2), 611-636. Kappou, K., Brooks, C., & Ward, C. (2010). The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume. Journal of Banking & Finance, 34(1), 116-126. Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand curves for stocks do slope down: New evidence from an index weights adjustment. The Journal of Finance, 55(2), 893-912. Liu, S. (2011). The price effects of index additions: A new explanation. Journal of Economics and Business, 63(2), 152-165. Lynch, A. W., & Mendenhall, R. R. (1997). New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index. The Journal of Business, 70(3), 351-83. Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The journal of finance, 42(3), 483-510. Platikanova, P. (2008). Long-term price effect of S&P 500 addition and earnings quality. Financial Analysts Journal, 62-76. Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance. Oxford university press.Takeuchi, S. (1990). Accuracy of Nikkei average in tracking market questioned. Japan Economic Journal, 32-35.中證指數研究報告. （2013）. 滬深300指數近年調樣效應分析中證指數研究報告. （2009）. A股市場指數效應研究及啟示深圳證券交易所.（2013）. 從近年資料看深市機構投資者結構和行為變化特徵國泰君安證券指數專題報告，2012，2012年指數成份股調整效應比較研究邢精平. （2005）. 指數成份股調整股價與成交量效應研究. 深交所, （6）, 36-36. 描述 碩士
國立政治大學
金融研究所
101352037
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352037 資料類型 thesis dc.contributor.advisor 陳威光<br>林靖庭 zh_TW dc.contributor.advisor Chen, Wei Kuang<br>Lin, Ching Ting en_US dc.contributor.author (Authors) 沈怡 zh_TW dc.contributor.author (Authors) Shen, Sherry en_US dc.creator (作者) 沈怡 zh_TW dc.creator (作者) Shen, Sherry en_US dc.date (日期) 2013 en_US dc.date.accessioned 7-Jul-2014 11:13:06 (UTC+8) - dc.date.available 7-Jul-2014 11:13:06 (UTC+8) - dc.date.issued (上傳時間) 7-Jul-2014 11:13:06 (UTC+8) - dc.identifier (Other Identifiers) G0101352037 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67331 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 101352037 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 指數成分股調整效應是行為財務領域的一大研究課題。近年來隨著中國股市不斷發展，各類指數衍生品層出不窮，指數的編制和調整也就產生越來越大的影響。另一方面，中國股市仍屬於新興市場，指數成分股調整的效應相較國外發達市場也許存在其特殊之處。而面對這一重要課題，中國學界和業界的研究卻略顯不足。鑒於此，本文從短期和長期兩個角度來研究對中國股市影響最大的指數——滬深300指數的成分股調整效應。在滬深300指數成分股調整的短期效應方面，本文從股價和成交量兩個方面進行了研究。實證結果顯示，在股票剛被調入指數後，股價會產生正的異常報酬且成交量上升，而被調出指數的股票成交量會略微上升且產生負的異常報酬。但是與國外的實證結果相比，滬深300指數成分股調整的短期效應並沒有非常明顯，本文認為這可能與中國股市機構投資人占比過少有關。在指數成分股調整對調入股和調出股的長期影響方面，本文首先研究了指數調整後的長期股價表現，發現調入股的股價累積報酬優於指數，但不如調入指數前自身的股價表現，調出股則與之相反。接著對股東人數、機構投資人數量和股價波動度進行比較分析。研究發現，指數調整之後，調入股的股東人數會顯著上升，調出股的股東會減少，但該因素對指數調整後股票的長期異常報酬沒有明顯影響；指數成分股調整後機構投資人數量和股價波動度也有明顯變化——調入股的機構投資人增加，波動度降低，調出股機構投資人減少，波動度上升——且這兩個因素對股價異常報酬的影響是顯著的。另外，公司規模大小也是影響股價異常報酬的一個顯著因素。 zh_TW dc.description.abstract (摘要) The effect of stock index composition changes is one of the important subjects in the field of behavioral finance. With the rapid development of Chinese equity market, stock index is playing an increasingly important part. Chinese equity market, on the other hand, is still at emerging stage, the stock index composition changes may have the different effect from that of the developed countries. However，the correlative study in China is far from enough. This paper investigates the CSI 300 which is the most influential stock index in China to find out the the effect of stock index composition changes in both short term and long term.In the short term, the study focuses on the price and volume. The empirical results show that there is a positive abnormal returns and increasing trading volume of added firms, while a negative abnormal returns and slightly increasing trading volume of deleted firms. However, compared with empirical results abroad, short-term effects associated with the change of the CSI 300 index list is not very obvious, which may be accounted for too little institutional investors in the Chinese stock market.In the long term, this paper firstly studies the long-term stock price performance of the index adjustment. For additions, cumulative return after index adjustment is better than that of the CSI 300 index, but is worse than the performance before the adjustment, while the deletions performance is opposite. Secondly, number of shareholders, institutional investors and stock price volatility are analyzed. There is a significant increase in the number of shareholders of added firms and a decline for deleted firms, but this factor has little influence for abnormal stock price returns. Similarly, for additions, institutional investors increases and volatility reduces, deletions are opposite. Abnormal stock price returns are significantly affected by the number of institutional investors and volatility. In addition, the company size is also a significant factor affecting the abnormal returns. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究動機與目的 3第二章 理論綜述與文獻回顧 5第一節 有效市場假說 5第二節 指數成分股調整效應相關理論與文獻回顧 9第三章 滬深300指數介紹與樣本選取 18第一節 滬深300指數簡介 18第二節 樣本選取 21第四章 指數成分股調整的短期效應 24第一節 研究方法 24第二節 實證結果 26第五章 指數成分股調整的長期影響 34第一節 指數成分股調整對股價收益的長期影響 34第二節 指數成分股調整對股票其他因素的長期影響 38第三節 股價超額收益與各因素之間的關係 44第六章 結論 47參考文獻 49 zh_TW dc.format.extent 836559 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352037 en_US dc.subject (關鍵詞) 指數調整效應 zh_TW dc.subject (關鍵詞) 滬深300指數 zh_TW dc.subject (關鍵詞) 長期 zh_TW dc.subject (關鍵詞) CSI300 en_US dc.title (題名) 滬深300指數成分股調整效應研究 zh_TW dc.title (題名) The Price Effect Associated with Changes in the CSI 300 List en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Blume, M., & Edelen, R. (2002). On Replicating the S&P 500 Index. Rodney L. White Center for Financial Research Working Paper, (08-02). Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59(4), 1901-1930. Cooper, D., & Woglom, G. (2003). The S&P 500 effect: Not so good in the long run. The Journal of Investing, 12(4), 62-73. Dhillon, U., & Johnson, H. (1991). Changes in the Standard and Poor`s 500 List. Journal of Business, 75-85. Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815-829. Hegde, S. P., & McDermott, J. B. (2003). The liquidity effects of revisions to the S&P 500 index: An empirical analysis. Journal of Financial Markets,6(3), 413-459. Kadlec, G. B., & McConnell, J. J. (1994). The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings. The Journal of Finance, 49(2), 611-636. Kappou, K., Brooks, C., & Ward, C. (2010). The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume. Journal of Banking & Finance, 34(1), 116-126. Kaul, A., Mehrotra, V., & Morck, R. (2000). Demand curves for stocks do slope down: New evidence from an index weights adjustment. The Journal of Finance, 55(2), 893-912. Liu, S. (2011). The price effects of index additions: A new explanation. Journal of Economics and Business, 63(2), 152-165. Lynch, A. W., & Mendenhall, R. R. (1997). New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index. The Journal of Business, 70(3), 351-83. Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The journal of finance, 42(3), 483-510. Platikanova, P. (2008). Long-term price effect of S&P 500 addition and earnings quality. Financial Analysts Journal, 62-76. Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance. Oxford university press.Takeuchi, S. (1990). Accuracy of Nikkei average in tracking market questioned. Japan Economic Journal, 32-35.中證指數研究報告. （2013）. 滬深300指數近年調樣效應分析中證指數研究報告. （2009）. A股市場指數效應研究及啟示深圳證券交易所.（2013）. 從近年資料看深市機構投資者結構和行為變化特徵國泰君安證券指數專題報告，2012，2012年指數成份股調整效應比較研究邢精平. （2005）. 指數成份股調整股價與成交量效應研究. 深交所, （6）, 36-36. zh_TW
