除息日股票价格波动——基于国际市场的对比实证分析  

作　　者：李刚[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《特区经济》2012年第10期103-105,共3页Special Zone Economy

摘　　要：本文探讨了四个不同地域(美国、英国、日本和中国)的资本市场在金融危机时期,其代表性的蓝筹股在除息日的价格波动行为。实证结果发现:在除息日,对于纽约和上海交易所,股票价格的下跌量等同于红利数额并且没有证据表明超额收益和短期交易的存在;对于东京交易所,股价下跌少于股息量,恰恰相反,伦敦交易所的股票下跌量超过股息额,这表明上述两个交易所的股票在除息日前后存在着异常收益和短期套利交易行为。This paper examines the most liquid common stock （blue-chip） prices behavior on the ex-day in a period of financial crisis and covers four major capi- tal markets from different geographic locations （the US, the UK, Japan, and China）. On the New York and Shanghai Stock Exchanges, we observe that the stock prices drop does not differ from the dividend amount on the ex-dividend day and there is no evidence of abnor- mal return and short-term trading. On the Tokyo Stock Exchange, the stock prices fall less than the dividend amount, which is in contrast to the London Stock Ex- change, where the stock prices fall more than the divi- dend amount. On the Tokyo and London Stock Exchanges, we observe abnormal return and short -term trading around the ex-day.

关 键 词：除息 异常收益 短期交易 

分 类 号：F831.51[经济管理—金融学] F821F224