国外策略指数研究述评及对我国的启示  

A Review of Foreign Researches on Strategy Index and Its Enlightenment to China

作　　者：徐国祥[1,2] 刘芳[2] 

机构地区：[1]上海财经大学应用统计研究中心,上海200433 [2]上海财经大学统计与管理学院,上海200433

出　　处：《上海财经大学学报（哲学社会科学版）》2011年第3期90-96,共7页Journal of Shanghai University of Finance and Economics

摘　　要：策略指数是除了传统的只做多的市值加权指数之外的指数,近几年来在国外得到了迅速发展,但在国内的发展却相对滞后,理论研究尚属空白。有鉴于此,本文首次对国外策略指数的相关研究进行了全面和系统的回顾,提出了策略指数的科学定义,引入适应性市场假说这一前沿理论诠释了策略指数的理论基础,并对策略指数编制方法和投资优势等方面的相关研究进行了总结与评述,以期为国内策略指数的开发与管理提供有益的借鉴。Strategy index is the innovation of traditional capitalization-weighted index taking bull position only and has developed quickly abroad in recent years. But relevant re- searches in China lag behind foreign researches and theoretical study is still vacant. In view of this situation, this paper makes a complete and systematic review of foreign researches on strategy index for the first time, and puts forward the scientific definition of strategy index. Then it applies the adaptive markets hypothesis to explain the theoretical basis of strategy in- dex and makes a summary of researches on compiling method and investment advantages so as to provide meaningful enlightenment for domestic development and management of strate- gy index.

关 键 词：策略指数 适应性市场假说 研究述评 

分 类 号：F830.91[经济管理—金融学]