沪深股市指数效应的行为金融学解释  

A Behavioral Financial Explanation for the Index Effect of Shanghai & Shenzhen Stock Markets

作　　者：马召勇[1] 封文丽[1] 

机构地区：[1]河北经贸大学金融学院,河北石家庄050061

出　　处：《河南金融管理干部学院学报》2008年第6期64-68,共5页Journal of Henan College of Financial Management Cadres

摘　　要：指数效应是证券市场的一个异常现象。利用事件分析方法,以沪深300指数和上证180指数调整的样本股为研究对象,检验个股在调整前后的异常收益率和异常交易量,得出指数效应显著存在的结论,用行为金融理论解释其成因,同时提出指数效应的应用、保护中小投资者和完善监管等方面的建议。Index effect is an abnormal phenomenon in securities market. By event analysis methods, taking Hu - shen 300 index and SHSE 180 index -adjusted sample stocks as research object, abnormal yield rates and abnormal volumes of individual stocks before and after adjustment are tested. A conclusion is made that there is a prominent index effect. An behavioral financial explanation is made for the reason, and suggestions are made utilizing index effect, protecting medium- and small- sized investors and consummating supervision, etc.

关 键 词：指数效应 行为金融学 异常收益率 异常成交量 

分 类 号：F832.51[经济管理—金融学]