指数调样对标的股票流动性及股东财富效应研究:来自上证50指数的证据  

A Research on the Underlying Stocks Liquidity and Shareholder's Wealth Effects of Index Revisions:Evidence from SSE 50 Index

作　　者：朱卫[1] 何凌云[1] 陈甜甜[1] 史国庆[2] 

机构地区：[1]中国矿业大学理学院,江苏徐州221116 [2]中国人民银行,北京100800

出　　处：《经济经纬》2013年第2期155-160,共6页Economic Survey

基　　金：江苏省社会科学研究基地项目(09JD001);江苏省社科联项目(10-C-15);中国矿业大学"中央高校基本科研业务费专项"(JGJ110758);中国矿业大学管理学院研究生优秀开题专项资金

摘　　要：本文以我国上证50指数在2005年～2011年调样的样本数据为样本,运用事件分析法分析了指数调样对标的股票流动性及股东财富效应的影响。结果表明:我国上证50指数存在着指数调样效应,但指数调样对股票流动性的影响要显著强于对股东财富效应的影响;并且调进指数上市公司的流动性要强于调出指数的上市公司。同时公司规模、偿债能力、盈利能力以及成长能力等因素对股票流动性及股东财富的短期效应影响并不大,但成长能力强的公司在调样作用下其股票的流动性也得到加强。This paper analyze the effect of index revisions on the underlying stocks liquidity and shareholder’s wealth effect with events analysis by sampling SSE 50 Index from 2005 to 2011 and explores the influence factors.The results show that there exists the index sample effect in SSE 50 Index in China,but the effect of index revisions on the Stock Liquidity is significantly better than the influence of Shareholders’ Wealth Effect;the liquidity of inside index listed company is better than the outside index listed company.Besides,that the impacts of company size,liquidity,and profitability and growth ability are not very big to the Stock Liquidity and Shareholders’ Wealth Effect in short term.But the companies with great growth ability under the effect of index revisions,the liquidity of its stocks have been strengthened.

关 键 词：指数调样 股票流动性 股东财富效应 上证50指数 

分 类 号：F830.91[经济管理—金融学]