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題名 指數調整效應:以滬深300 為例
The Comprehensive Analyze of Index Composition Change in CSI300 Index
作者 温智恒
Wun, Chi Hang
貢獻者 陳威光<br>林靖庭
Chen, Wei Kuang<br>Lin, Ching Ting
温智恒
Wun, Chi Hang
關鍵詞 影子成本
指數調整
滬深300
shadow cost
index composition change
CSI 300
日期 2015
上傳時間 27-Jul-2015 11:24:05 (UTC+8)
摘要 本篇論文以滬深300 指數調整前後期的異常報酬、影子成本、流動性、資訊不稱性及套利風險的變動觀察中國投資者的行為。本研究發現在調整後的短期間中中國股票的報酬與國外文獻的變動方向一致,調入股將上漲而調出股則下跌，但於長期則有十分明顯的相反傾向。本文將影子成本等四個變數加入作前後期變動的觀察。發現調整期前後影子成本、流動性、套利風險和資訊不對稱性的變動都與與文獻變動方向假設一致。最後本文把異常報酬作應變數，其餘各項作自變數去觀察四個變數影響報酬的程度和方向。回歸後發現只有流動性的影響符合前人以S&P500 作指標的研究,其他則是有著不一致的影響。本文認為這個現象與文獻中不同的原因是滬
深300 指數偏向於納入高估的股票而剔除低估的股票。滬深300 指數是以股票前一年的交易量大小作標準，這使得81%交易量為個人投資者提供的滬深300 指數偏向納入高估股票。這可能使得中國市場的指數調整效應與文獻並不一致。
This paper empirically examines the differences of abnormal return, shadow cost, liquidity effect, information asymmetry and arbitrage risk during the composition change of CSI300 index to observe the behavior of investors in China market. Although this paper examines the short term return of adjusted stock change in the same direction as recent studies, added
stocks increase and deleted stocks decrease, the long term return reverse. This paper also computes those four variables to observe their changes during the adjustment. The results show that the movements of these four variables are similar to the previous studies. To
observe how these variables affect the return of the stocks, this paper computes a regression analysis with the cumulative abnormal return as the dependent variable. The results show that only the affection of liquidity matches the recent studies of S&P 500, when the others are not. The reason of this phenomenon maybe because of the CSI 300 index intends to include the overestimated stocks and exclude the underestimated stocks. The adjustment is determined by the past one year trading volume, which means that the market, with individual investors provided 81 % of trading volume, may possibly overestimate the included stocks. That maybe the reason why the influence of composition change is not similar to recent studies.
參考文獻 Baran, L., King, T.D., 2012. Cost of equity and S&P 500 index revisions. Financial Management 41, 457–481.
Blume, M., & Edelen, R. (2002). On Replicating the S&P 500 Index. Rodney L. White Center for Financial Research Working Paper, (08-02).
Bryan, Mase. (2007). The impact of changes in the FTSE 100 index. The Financial Review. 42, 461–484.
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.
Erwin, Gayle R., and James M. Miller (1998). "The liquidity effects associated with addition of a stock to the S&P 500 index: Evidence from bid/ask spreads." Financial Review, 1998: 33(1), 131–146.
S&P 500 index: Evidence from bid/ask spreads." Financial Review, 1998: 33(1), 131–146.
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.
Kalok C., Hung W.K & Gordon T.N.T (2013) A comprehensive long-term analysis of S&P 500 index additions. The Journal of Banking and Finance, 37(12).
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.
Rahul R., & Youna H. (2015). Is there Asymmetric Information About Systematic Factors? Evidence from Commonality in Liquidity. The International Journal of Business and Finance Research, 9(2).
Shen Y. (2014). The Price Effect Associated with Changes in the CSI 300 List.
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.
Song. (2013). 上海证券市场投资者结构与行为报告
Wurgler, Jeffrey, and Ekaterina Zhuravskaya (2002). "Does arbitrage flatten demand curves for stocks?" Journal of Business, 2002: 75(4), 583-608.
Zhou, Haigang (2011). "Asymmetric changes in stock prices and investor recognition around revisions to the S&P 500 index." Financial Analysts Journal, 2011: 67(1), 72-84.
描述 碩士
國立政治大學
金融研究所
102352035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352035
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 Tingen_US
dc.contributor.author (Authors) 温智恒zh_TW
dc.contributor.author (Authors) Wun, Chi Hangen_US
dc.creator (作者) 温智恒zh_TW
dc.creator (作者) Wun, Chi Hangen_US
dc.date (日期) 2015en_US
dc.date.accessioned 27-Jul-2015 11:24:05 (UTC+8)-
dc.date.available 27-Jul-2015 11:24:05 (UTC+8)-
dc.date.issued (上傳時間) 27-Jul-2015 11:24:05 (UTC+8)-
dc.identifier (Other Identifiers) G0102352035en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76874-
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) 102352035zh_TW
dc.description.abstract (摘要) 本篇論文以滬深300 指數調整前後期的異常報酬、影子成本、流動性、資訊不稱性及套利風險的變動觀察中國投資者的行為。本研究發現在調整後的短期間中中國股票的報酬與國外文獻的變動方向一致,調入股將上漲而調出股則下跌，但於長期則有十分明顯的相反傾向。本文將影子成本等四個變數加入作前後期變動的觀察。發現調整期前後影子成本、流動性、套利風險和資訊不對稱性的變動都與與文獻變動方向假設一致。最後本文把異常報酬作應變數，其餘各項作自變數去觀察四個變數影響報酬的程度和方向。回歸後發現只有流動性的影響符合前人以S&P500 作指標的研究,其他則是有著不一致的影響。本文認為這個現象與文獻中不同的原因是滬
深300 指數偏向於納入高估的股票而剔除低估的股票。滬深300 指數是以股票前一年的交易量大小作標準，這使得81%交易量為個人投資者提供的滬深300 指數偏向納入高估股票。這可能使得中國市場的指數調整效應與文獻並不一致。		zh_TW
dc.description.abstract (摘要) This paper empirically examines the differences of abnormal return, shadow cost, liquidity effect, information asymmetry and arbitrage risk during the composition change of CSI300 index to observe the behavior of investors in China market. Although this paper examines the short term return of adjusted stock change in the same direction as recent studies, added
stocks increase and deleted stocks decrease, the long term return reverse. This paper also computes those four variables to observe their changes during the adjustment. The results show that the movements of these four variables are similar to the previous studies. To
observe how these variables affect the return of the stocks, this paper computes a regression analysis with the cumulative abnormal return as the dependent variable. The results show that only the affection of liquidity matches the recent studies of S&P 500, when the others are not. The reason of this phenomenon maybe because of the CSI 300 index intends to include the overestimated stocks and exclude the underestimated stocks. The adjustment is determined by the past one year trading volume, which means that the market, with individual investors provided 81 % of trading volume, may possibly overestimate the included stocks. That maybe the reason why the influence of composition change is not similar to recent studies.		en_US
dc.description.tableofcontents Table of Contents
1. Introduction 1
2. About the CSI300 Index 3
3. Literature Review and Model Construction 4
3.1 Downward Sloping Demand Curve Hypothesis 5
3.2 Price Pressure Hypothesis 5
3.3 Liquidity Effect Hypothesis 6
3.4 Investors Recognition Hypothesis 6
3.5 Information Hypothesis 7
3.6 Arbitrage Risk Hypothesis 8
4. Data and Methodology 8
4.1 Abnormal Return 9
4.2 Shadow Cost 11
4.3 Information Asymmetry 11
4.4 Liquidity Effect 12
4.5 Arbitrage Risk 12
5 Effect of Composition Change 13
5.1 Changes of Shadow Cost 18
5.2 Changes of Information Asymmetry 19
5.3 Changes of Liquidity Effect 19
5.4 Changes of Arbitrage Risk 20
6 Regression Analysis 21
7 Conclusions 27
References 28		zh_TW
dc.format.extent 593995 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352035en_US
dc.subject (關鍵詞) 影子成本zh_TW
dc.subject (關鍵詞) 指數調整zh_TW
dc.subject (關鍵詞) 滬深300zh_TW
dc.subject (關鍵詞) shadow costen_US
dc.subject (關鍵詞) index composition changeen_US
dc.subject (關鍵詞) CSI 300en_US
dc.title (題名) 指數調整效應:以滬深300 為例zh_TW
dc.title (題名) The Comprehensive Analyze of Index Composition Change in CSI300 Indexen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Baran, L., King, T.D., 2012. Cost of equity and S&P 500 index revisions. Financial Management 41, 457–481.
Blume, M., & Edelen, R. (2002). On Replicating the S&P 500 Index. Rodney L. White Center for Financial Research Working Paper, (08-02).
Bryan, Mase. (2007). The impact of changes in the FTSE 100 index. The Financial Review. 42, 461–484.
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.
Erwin, Gayle R., and James M. Miller (1998). "The liquidity effects associated with addition of a stock to the S&P 500 index: Evidence from bid/ask spreads." Financial Review, 1998: 33(1), 131–146.
S&P 500 index: Evidence from bid/ask spreads." Financial Review, 1998: 33(1), 131–146.
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.
Kalok C., Hung W.K & Gordon T.N.T (2013) A comprehensive long-term analysis of S&P 500 index additions. The Journal of Banking and Finance, 37(12).
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.
Rahul R., & Youna H. (2015). Is there Asymmetric Information About Systematic Factors? Evidence from Commonality in Liquidity. The International Journal of Business and Finance Research, 9(2).
Shen Y. (2014). The Price Effect Associated with Changes in the CSI 300 List.
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.
Song. (2013). 上海证券市场投资者结构与行为报告
Wurgler, Jeffrey, and Ekaterina Zhuravskaya (2002). "Does arbitrage flatten demand curves for stocks?" Journal of Business, 2002: 75(4), 583-608.
Zhou, Haigang (2011). "Asymmetric changes in stock prices and investor recognition around revisions to the S&P 500 index." Financial Analysts Journal, 2011: 67(1), 72-84.		zh_TW